巴黎银行-全球-外汇市场-外汇驱动力-20171212-9页_1mb

Summary of BNP Paribas FX Momentum Report (12 December 2017)

Core Content

BNP Paribas FX Momentum is a strategy that evaluates the strength of currency trends using a scoring system ranging from -100 to +100. The strategy considers not only the momentum of exchange rates but also the momentum of relative interest rates and equity market performance to provide a more comprehensive view of currency trends.

The report highlights the momentum scores of various G10 currencies as of 12 December 2017, offering insights into their current trends and potential future movements.

Key Currency Momentum Scores

• USD: The USD momentum is increasingly bullish with a score of +38. This is driven by positive equity and rates momentum.
• NZD: The NZD continues its extremely bearish trend with a momentum score of -76.
• AUD: AUD momentum is also bearish at -44.
• CAD: CAD momentum remains the most bullish in the G10 space at +53, primarily due to strong rates momentum.
• CHF: CHF momentum has moderated to +7, influenced by bearish FX momentum.

The report includes visual representations of these momentum scores, sourced from Macrobond and BNP Paribas, which illustrate the trends and score variations for each currency.

Strategy Overview

• The FX Momentum strategy is based on the use of two moving averages to identify trends in exchange rates.
• It also incorporates the momentum of FX drivers such as interest rates and equity markets.
• The strategy has historically provided a Sharpe ratio of 0.79 since 2002, based on trading a basket of major currency pairs.
• The portfolio is composed of equally-weighted baskets of each G10 currency, with position sizes determined by the momentum scores and a 10% volatility target.

Portfolio Returns

• The BNP Paribas FX Momentum portfolio returns are indexed to 1 January 2010.
• The returns are based on a portfolio of major currency pairs, reflecting the strategy's performance over time.

Legal and Compliance Information

• The document is a marketing communication and not independent research.
• It is intended for Relevant Persons, including Professional Clients and Eligible Counterparties.
• BNP Paribas may have conflicts of interest and may engage in transactions inconsistent with the views expressed in the document.
• The document may contain back-tested performance data, which is for illustrative purposes only and not indicative of future results.
• The information provided is not investment advice and should not be relied upon as such.
• The document is subject to legal notices and may not be suitable for all investors.

Contacts

• Global Head of FX Strategy & Cross-Asset Strategist: Michael Sneyd, London
• FX Strategists: Sam Lynton-Brown, Natalie Rickard, Alex Jekov, Daniel Katzive, Vasilis Koutsaftis
• Emerging Markets FX & IR Strategy: Wike Groenenberg, Marcelo Carvalho, Piotr Chwiejczak, Sai Ulluri, Erkin Isik, Mirza Baig, Dawn Kwa, Altaz Daghia, Kun Shan, Tianhe Ji, Gabriel Gersztein, Samuel Castro, Gustavo Mendonca

Distribution and Legal Disclaimer

• The document is produced by BNP Paribas London Branch.
• It is for the use of intended recipients and may not be reproduced or distributed without prior written consent.
• BNP Paribas and its affiliates disclaim all liability for any use of the document or its content.
• The document may include indicated prices based on internal models and price sources, which are not guaranteed to be accurate or reflective of actual market conditions.
• It is not a prospectus, advertisement, or public offering and does not provide investment, tax, or legal advice.

Additional Disclosures

• Options: Complex instruments with high risk, suitable only for sophisticated investors.
• ETFs: May involve tracking error, currency, and geopolitical risks. BNP Paribas may have conflicts of interest.
• Securities: Some may not be registered under US Securities Laws and are considered restricted securities.

Jurisdictional Information

• The report is distributed in various jurisdictions, including the UK, France, Germany, Belgium, Ireland, Italy, and the Netherlands, each with specific regulatory and legal notices.

This summary provides an overview of the key points from the BNP Paribas FX Momentum report, highlighting the current momentum scores, strategy methodology, and important legal and compliance disclosures.