20180122-法国巴黎银行-FX_QUANT_INSIGHT_BNP_PARIBAS_STEER_15页_777kb

BNP Paribas FX Strategy Summary - 22 January 2018

Core Content Overview

This document provides an analysis of the BNP Paribas STEER™ Model for foreign exchange (FX) strategies as of 22 January 2018. It outlines current trading signals, deviation from short-term value (z-scores), and the performance of closed positions. The report also includes insights into the global, CEEMEA, and Latin America FX markets, along with legal and disclosure information.

Trading Signals and Performance

Closed Signals

• 19-Jan-18: LONG USDZAR
  • Entry Rate: 12.1366
  • Close Rate: 12.0872 (22-Jan-18)
  • Return: -0.41%
  • Reason: USDZAR no longer passed the co-integration filter, indicating reduced statistical confidence in the model for this pair.

Existing Signals

• 19-Jan-18: SHORT GBPUSD
  • Entry Rate: 1.3895
  • Target: 1.3663
  • Stop Loss: 1.4028
  • Return: 0.22%

Recently Closed Signals

• 05-Jan-18: SHORT AUDUSD

  • Entry Rate: 0.7845
  • Close Rate: 0.7924 (12-Jan-18)
  • Return: -1.01%

• 12-Jan-18: LONG USDCOP

  • Entry Rate: 2853.2000
  • Close Rate: 2847.2500 (12-Jan-18)
  • Return: -0.21%

• 15-Jan-18: LONG USDSGD

  • Entry Rate: 1.3220
  • Close Rate: 1.3186 (17-Jan-18)
  • Return: -0.26%

• 15-Jan-18: SHORT USDKRW

  • Entry Rate: 1062.7000
  • Close Rate: 1066.5500 (17-Jan-18)
  • Return: -0.36%

• 08-Jan-18: LONG EURNOK

  • Entry Rate: 9.6854
  • Close Rate: 9.5804 (17-Jan-18)
  • Return: -1.08%

FX Market Insights

G10 Currencies

• GBPUSD is trading 1.6 z-scores above its short-term fair value (FV=1.3663), and STEER remains short on this pair.
• Commodity currencies are broadly overbought:
  • USDCAD is 2.4 z-scores below its FV=1.2700
  • EURNOK is 2.1 z-scores below its FV=9.8348
  • AUDUSD is 1.9 z-scores overvalued (FV=0.7837)
• EURGBP is 1.19 z-scores below its FV=0.9035
• EURUSD is 0.84 z-scores below its FV=1.2345
• EURSEK is 0.05 z-scores below its FV=9.8364

Emerging Markets (EM) FX

• Most EM pairs are trading in line with their STEERs.
• EURHUF and EURRON are overvalued, with z-scores of 2.14 and 2.34 respectively.

Latin America FX

• USDMXN is 1.51 z-scores below its FV=18.8954
• USDBRL is 1.33 z-scores below its FV=3.2337
• USDCLP is 0.32 z-scores below its FV=609.85
• USDCOP is 0.28 z-scores below its FV=2854
• USDPEN is 0.36 z-scores above its FV=3.2131

Key Points and Main Views

• GBPUSD remains a short-term target for the STEER™ model due to its overvaluation.
• USDCAD and EURNOK are undervalued, with z-scores of -2.41 and -2.05, respectively.
• AUDUSD is overvalued by 1.9 z-scores.
• USDZAR was a long position that closed at a loss due to not passing the co-integration filter.
• EURHUF and EURRON are overvalued in the EM segment.
• USDPEN is the only EM currency currently overvalued in the Latin America segment.
• The model uses z-scores to indicate deviation from fair value and provides trading signals based on statistical confidence and co-integration.

FX Strategy Contacts

Global FX Strategy

Emerging Markets FX & IR Strategy

Legal and Disclosure Information

• This document is a marketing communication and not investment research.
• It is not intended for retail investors and may involve high risk.
• BNP Paribas may have financial interests in the mentioned currencies or entities.
• The information is based on public sources and may not be independently verified.
• All performance data is for illustrative purposes and not a guarantee of future results.
• No liability is accepted for any use of the information.
• The document may include back-tested performance data, which is not a substitute for actual investment decisions.
• It does not constitute an offer to sell or issue securities, nor a solicitation of an offer to buy.
• BNP Paribas may act as an advisor, manager, or underwriter for the mentioned entities.
• The information is confidential and may not be distributed without prior consent.