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报告摘要

BNP Paribas FX Momentum Summary (17 October 2017)

Core Content

This document provides an analysis of the FX Momentum strategy by BNP Paribas, highlighting the current trend scores for major currencies and their implications for trading decisions. The strategy uses a momentum-based approach to evaluate the strength of currency trends, incorporating factors beyond just exchange rates, such as interest rate and equity market momentum.

Key Currency Momentum Scores

NZD (New Zealand Dollar):
- Momentum score is -69, one of the lowest in two years.
- Indicates a very bearish trend.
SEK (Swedish Krona):
- Momentum score is bullish, remaining so for most of the year.
- Holds the most bullish momentum among G10 currencies.
CAD (Canadian Dollar):
- Momentum score is +28, indicating a bullish trend.
- Canadian rates momentum is extremely bullish, contributing to the CAD's positive score.
USD (US Dollar) and EUR (Euro):
- Both have neutral overall momentum.
- The USD FX component remains very bearish.

Strategy Overview

The FX Momentum strategy evaluates the strength of a currency's trend using a -100 to +100 scale.
A positive score indicates a bullish trend, while a negative score indicates a bearish trend.
The strategy uses two moving averages to detect trends in exchange rates.
In addition to exchange rate momentum, the strategy also considers interest rate momentum and equity market performance.
The strategy has historically delivered a Sharpe ratio of 0.79 since 2002 when trading a basket of major currency pairs.

FX Momentum Portfolio Returns

The portfolio is equally weighted based on momentum scores and is subject to a 10% volatility target.
The returns are indexed to 1 January 2010.

Key Charts and Data

Chart 1: Shows the bearish trend of NZD at a multi-year extreme.
Chart 2: Highlights the very bearish FX momentum of USD.
Chart 3: Demonstrates that SEK momentum has rarely been bearish since 2014.
Chart 4: Indicates that CAD rates momentum is extremely bullish.
Three-Year Plot: Displays the momentum scores of all G10 currencies, showing varying levels of trend strength.

Strategy Contacts

Michael Sneyd, CFA: Global Head of FX Strategy & Cross-Asset Strategist (London)
Natalie Rickard: FX Strategist (London)
Sam Lynton-Brown, Clara Leonard, and Daniel Katzive, CFA are also listed as key contacts for FX and cross-asset strategies in various regions.

Legal and Regulatory Notice

This document is non-independent research and is considered a marketing communication under MiFID.
It is not intended as investment research or financial advice.
BNP Paribas may have conflicts of interest due to its involvement in trading and investment banking activities.
The document contains performance data based on back-testing, which is not indicative of future results.
It is not a prospectus and is subject to regulatory restrictions in various jurisdictions.
The information is confidential and may not be distributed without prior written consent.
BNP Paribas may act as a market maker, advisor, or underwriter in relation to the financial instruments discussed.
The document may contain indicated prices, which are preliminary and not official transaction confirmations.

US Disclosures

Options: Complex instruments that may involve high risk and are only suitable for sophisticated investors.
ETFs: May carry tracking error, currency risk, and geopolitical risk.
Restricted Securities: Some securities may not be registered under US Securities Laws and are only available to Qualified Institutional Buyers or non-US persons under Regulation S.

Distribution and Jurisdictional Notes

The document is distributed in various jurisdictions by BNP Paribas branches and is subject to regulatory requirements in each.
It is intended for professional clients and eligible counterparties under MiFID.
In the UK, it is communicated by BNP Paribas London Branch.
In France, it is produced by BNP Paribas SA and BNP Paribas Arbitrage.
In Germany, it is distributed by BNP Paribas S.A. Niederlassung Deutschland.
In Belgium, it is supervised by the National Bank of Belgium and FSMA.
In Ireland, it is distributed by BNP Paribas S.A. Dublin Branch.
In Italy, it is distributed by BNP Paribas Italian Branch (Succursale Italia).
In the Netherlands, it is distributed by BNP Paribas Fortis SA/NV, Netherlands Branch.

Summary of Key Points

NZD is in a very bearish trend.
SEK has the most bullish momentum in the G10.
CAD is bullish, driven by strong interest rate momentum.
USD and EUR have neutral overall momentum, with USD FX being bearish.
The strategy is based on trend detection using moving averages and includes FX, rates, and equity components.
The strategy has a historical Sharpe ratio of 0.79.
The document is non-independent research and not investment advice.
It is subject to legal and regulatory disclosures in multiple jurisdictions.