20180312-法国巴黎银行-BNP_Paribas_MarFA__Seeking_fair-value_15页_1mb

报告摘要

BNP Paribas MarFA™ Summary: Seeking Fair-Value

Core Content

BNP Paribas MarFA™ is a cross-asset correlation framework designed to identify driving factors and trading opportunities across various asset classes. It evaluates 75 assets in rates, equities, credit, FX, and commodities, using both long-term (MarFA™ Macro) and short-term (MarFA™ Trading) signals. The framework helps investors identify mispricings that are likely to correct within 1-2 months.

Key Asset Class Signals

Equities

S&P 500 has shifted to appear overvalued again after being cheap in February.
FTSE100, DAX, and Nikkei have 2-3% more room to rise to align with their fair values.
MSCI India is significantly oversold, trading 3.5% below its fair value.
MSCI EM is trading slightly above fair value but not enough to be a concern.
France's CAC, Swiss SMI, and Canada's TSX have recovered to align with their fair values.

Rates

US 10y nominal yield continues to appear too high.
US 10y real yields have moved closer to fair value.
French and Australian 10y yields appear too low.
Italy 10y yield is trading close to fair value.
UK 2yr yield is overvalued by 11.58 basis points.

Credit

US investment grade credit appears oversold.
Other major credit indices are fairly valued.

Commodities

Oil, gold, and platinum have corrected lower and are now fairly valued.
These commodities were overvalued in January by 10.5%, 3.2%, and 7.7%, respectively.
Platinum now appears slightly undervalued.

FX

USDJPY appears oversold.
USDCAD and EURSEK appear overvalued.
GBPUSD, AUDUSD, and EURPLN have corrected back to fair value.

Main Macro and Market Factors

Macro Factors (12-month correlations)

Economic activity data, especially from the eurozone and China – most important for equity and credit performance.
US 10y term premium, estimated using the Fed's ACM model – key for rates and curves.
Inflation expectations, captured by 5y5y inflation expectations and survey measures – important for USD FX pairs and risk-sensitive assets.

Market Factors (short-term)

US 10y real yields – important for rates and FX.
Risk appetite, captured by the BNPP Risk Premium Index (BNPSGRP Index) – particularly important for equities and credit.
Implied volatility in FX – relevant for several FX pairs.

Trading Strategy and Performance

A strategy of buying cheap assets and selling expensive ones has historically yielded a Sharpe ratio of 0.9 since the launch of MarFA™ in September 2016.
Recent market volatility has enhanced the performance of this strategy, with a Sharpe ratio of 2.9 since the January 16 update.
Deviations from fair value are temporary, and assets tend to correct back to their fair values within 1-2 months.

Summary of Deviations (as of 12 March 2018)

Most Overvalued

Asset	Z-score Deviation	Fair Value	Actual	Deviation (%)
EURSEK	2.3	9.92	10.15	2.32%
SP500	2.1	2719.9	2786.6	2.45%
UK 2yr yield	2.0	0.711	0.827	11.58 bp
US 10yr yield	2.0	2.84	2.899	5.91 bp
USDCAD	1.6	1.259	1.281	1.79%

Most Undervalued

Asset	Z-score Deviation	Fair Value	Actual	Deviation (%)
UK 2s10s	-3.6	81.42	66.07	-15.35 bp
MSCI India	-3.0	1253.6	1209.6	-3.51%
US IG Credit	-2.8	2838.1	2815.8	-0.79%
France 10yr yield	-2.1	1.001	0.89	-11.14 bp
USDJPY	-1.5	108.92	106.56	-2.17%
Sweden 10yr yield	-1.3	0.937	0.812	-12.5 bp
MSCI New Zealand	-1.3	128.47	126.09	-1.85%
DAX	-1.3	12707	12436	-2.14%

Important Notes

Z-score deviation > 2 is considered significant.
The framework may differ from MarFA™ Metals or Energy due to different drivers.
The report is a marketing communication and not independent investment research.
Conflicts of interest may exist due to interactions with sales and trading.
Legal disclaimer: The document is for informational purposes only and does not constitute an offer to sell or solicitation of an offer to buy.
ETF and securities disclosures: Some ETFs and securities may not be registered under US Securities Laws, and may be restricted.
Confidentiality: The information is provided strictly confidential and must not be copied or distributed without prior consent.

Conclusion

BNP Paribas MarFA™ is a comprehensive quantitative framework that identifies fair values and mispricings across multiple asset classes. It provides valuable insights into market trends, correlations, and potential trading opportunities. Investors are advised to monitor macro and market factors closely and to be aware of the risks and limitations associated with the framework. The framework is best suited for professional clients and relevant persons under applicable regulations.