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报告摘要

FX Momentum Summary - 6 February 2018

Core Content

The document provides an analysis of FX Momentum for major currencies, using a scoring system ranging from -100 to +100, where a higher score indicates a stronger bullish trend and a lower score indicates a stronger bearish trend. The analysis is conducted by BNP Paribas London Branch, with key contributors including Michael Sneyd (Global Head of FX Strategy) and Alexander Jekov (Graduate).

Currency Momentum Scores

USD FX Momentum: Stabilised at negative levels, with an overall score of +33. This is due to positive USD rates and equity momentum, indicating a mixed but slightly bullish trend for the US dollar.
NOK FX Momentum: Turned more bullish, increasing from +16 to +29. The improvement is attributed to a significant boost in NOK rates momentum.
NZD FX Momentum: Remains the most bearish among G10 currencies, with a score of -81. The FX component is increasingly negative, contributing to the overall bearish sentiment.
CAD FX Momentum: Moderated this week but still remains bullish at +23. The trend is less strong than previous weeks but still shows positive momentum.

Methodology

BNP Paribas FX Momentum evaluates:

Exchange rate momentum: Identifies trends using two moving averages.
Interest rate momentum: Assesses the relative performance of interest rates.
Equity market momentum: Measures the relative performance of equity markets.

The overall momentum score is a composite of these three components. For USD, the score is based on rates and equity momentum. For other currencies like NOK and NZD, the FX component is a significant factor. The score range for USD and other currencies varies between +/-33.3 for individual components, and +/-100 for the overall score.

Portfolio Performance

The FX Momentum portfolio has a Sharpe ratio of 0.79 since 2002, based on equally-weighted baskets of major currency pairs, with position sizes determined by momentum scores and a 10% volatility target.

Visuals and Sources

Chart 1: USD rates and equity momentum are very bullish.
Chart 2: NOK rates momentum has turned neutral.
Chart 3: NZD momentum is extremely bearish.
Chart 4: CAD momentum is less bullish.
All charts are sourced from Macrobond and BNP Paribas.

FX Strategy Contacts

Strategist	Job Title	Legal Entity	Phone Number
Michael Sneyd, CFA	Global Head of FX Strategy & Cross-Asset Strategist	BNP Paribas London branch	44 20 7595 1307
Sam Lynton-Brown	FX Strategist	BNP Paribas London branch	44 20 7595 8467
Natalie Rickard	FX Strategist	BNP Paribas London branch	44 20 7595 8270
Alexander Jekov	Graduate	BNP Paribas London branch	44 20 7595 4185
Daniel Katzive, CFA	FX & IR CEEMEA Strategist	BNP Paribas Securities Corp (New York)	1 212 841 2408
Vasilis Koutsaftis	FX & IR CEEMEA Strategist	BNP Paribas Securities Corp (New York)	1 212 471 7973
Wike Groenenberg	Head of Emerging Markets Research, CEEMEA & APAC	BNP Paribas London branch	44 20 7595 8746
Marcelo Carvalho	Head of Emerging Markets Research, Latam	Banco BNP Paribas Brasil S.A. (Sao Paulo)	55 11 3841 3418
Piotr Chwiejczak	FX & IR CEEMEA Strategist	BNP Paribas London branch	44 20 7595 8715
Sai Ulluri	FX & IR CEEMEA Strategist	BNP Paribas London branch	44 20 7759 1872
Erkin Isik, CFA	FX & IR CEEMEA Strategist	Turk Ekonomi Bank A.S. (Istanbul)	90 216 635 2987
Mirza Baig	Head of FX & IR Asia Strategy	BNP Paribas Singapore Branch	65 6210 3262
Dawn Kwa	Graduate	BNP Paribas Singapore Branch	65 6210 3263
Altaz Daga	AU/NZ IR Strategist	BNP Paribas Singapore Branch	65 6210 4994
Kun Shan	China Strategist	BNP Paribas China Limited (Shanghai)	86 21 2896 2773
Tianhe Ji	China Strategist	BNP Paribas China Limited (Beijing)	86 10 6535 0836
Gabriel Gersztein	Head FX & IR Latam Strategy	Banco BNP Paribas Brasil S.A. (Sao Paulo)	55 11 3841 3421
Samuel Castro	FX & IR Latam Strategist	Banco BNP Paribas Brasil S.A. (Sao Paulo)	55 11 3841 3492
Gustavo Mendonca	FX & IR Latam Strategist	Banco BNP Paribas Brasil S.A. (Sao Paulo)	55 11 3841 3445

Legal and Compliance Information

The document is non-independent research under UK FCA rules and is considered a marketing communication under MiFID II.
It is not investment research and does not constitute an offer to sell or purchase any financial instrument.
It may contain simulated performance data and is not a prospectus or public offering.
Conflicts of interest may exist, as BNPP may engage in transactions inconsistent with the views expressed.
The document is intended for professional clients and is strictly confidential.
It may not be used by non-qualified investors or those not in compliance with MiFID II unbundling rules.

U.S. Disclosures

Options: Complex instruments not suitable for all investors. Only sophisticated investors may be appropriate for such investments.
ETFs: May involve tracking error, currency risk, geopolitical risk, and credit risk. BNPP may have conflicts of interest due to its role as a market maker or advisor.
Unregistered Securities: Some instruments may be "restricted securities" and are only available to QIBs or non-U.S. persons under Regulation S.

Additional Information

The BNP Paribas Global Markets Website is available at: www.globalmarkets.bnpparibas.com
Bloomberg references include:
- Fixed Income Research: BPFR
- G10 Interest Rate Research: BPBS
- Emerging Markets Research: BPFR
- Market Economics: BPEC

Disclaimer

No guarantee of accuracy or completeness is provided.
Past performance is not indicative of future results.
Simulated performance may not reflect real-world factors such as liquidity constraints, fees, or transaction costs.
Indicative prices are based on internal models and may vary from other sources.
BNPP disclaims all liability for any loss or damage arising from the use of this document.