20181221-法国巴黎银行-FX_QUANT_INSIGHT_BNP_PARIBAS_STEER_17页_1mb

BNP PARIBAS STEER™ | GLOBAL Summary (21 December 2018)

Core Content

BNP Paribas STEER™ is a quantitative trading model that provides currency pair trading signals based on macroeconomic and market data. This document outlines the trading signals for the end of 2018, including new and existing positions, and presents the model's performance and market analysis for various regions.

Trading Signals

New Signals (21-Dec-18)

• LONG EURCHF

  • Entry Rate: 1.1308
  • Target: 1.1493
  • Stop Loss: 1.1215
  • Return: 0.00%

• LONG USDBRL

  • Entry Rate: 3.8442
  • Target: 3.8789
  • Stop Loss: 3.8269
  • Return: 0.00%

• LONG USDCOP

  • Entry Rate: 3268.5000
  • Target: 3290.6557
  • Stop Loss: 3257.4221
  • Return: 0.00%

Existing Signals

• LONG NZDUSD (20-Dec-18)

  • Entry Rate: 0.6731
  • Target: 0.6887
  • Stop Loss: 0.6638
  • Return: 0.52%

• SHORT EURNOK (18-Dec-18)

  • Entry Rate: 9.8964
  • Target: 9.7800
  • Stop Loss: 9.9946
  • Return: -0.31%

Notes

• If USDBRL/USDCOP opens back within STEER's +/-1.5 z-score corridor (above 3.9045 and 3272.0535 respectively), the signals will be cancelled.

Performance Overview

• G10 FX Performance (2018): Mixed, with EM signals returning $14.7%$ and G10 signals having a loss of $12.64%$.
• Best Performing Pair: USDMXN with a cumulative return of $5.75%$.
• Worst Performing Pair: USDZAR with an aggregate loss of $4.26%$.

Market Analysis

G10 FX

• EURCHF: Fair value driven higher due to underperformance of Swiss equity markets relative to European equities. The decline in spot appears overdone.
• USDBRL: Fair value increased due to a decline in oil prices. The model indicates the spot decline is unjustified based on short-term fundamentals.
• USDCOP: Long position initiated due to local equity market weakness.
• EURNOK: Remains short with a target of 9.7800.
• NZDUSD: Remains long with a target of 0.6887.

CEEMEA

• EURCZK: Deviation from short-term value is -2.59 (-1.05%).
• USDILS: Deviation from short-term value is -2.15 (-1.29%).
• EURRON: Deviation from short-term value is -1.63 (-0.36%).
• EURHUF: Deviation from short-term value is -0.97 (-0.48%).
• EURPLN: Deviation from short-term value is 0.18 (0.08%).
• USDTRY: Deviation from short-term value is 0.33 (1.20%).
• USDRUB: Deviation from short-term value is 1.50 (1.40%).
• USDZAR: Deviation from short-term value is 2.85 (5.00%).

Asia

• USDTWD: Deviation from short-term value is -1.38 (-0.49%).
• USDTHB: Deviation from short-term value is -1.26 (-0.71%).
• USDSGD: Deviation from short-term value is -0.86 (-0.30%).
• USDKRW: Deviation from short-term value is -0.63 (-0.33%).
• USDINR: Deviation from short-term value is -0.62 (-1.40%).
• USDIDR: Deviation from short-term value is 0.09 (0.12%).
• USDMYR: Deviation from short-term value is 0.38 (0.21%).
• USDPHP: Deviation from short-term value is 1.11 (0.56%).

Latin America

• USDBRL: Deviation from short-term value is -3.24 (-2.92%).
• USDPEN: Deviation from short-term value is -2.69 (-1.76%).
• USDCOP: Deviation from short-term value is -1.66 (-1.13%).
• USDMXN: Deviation from short-term value is 0.47 (0.32%).
• USDCLP: Deviation from short-term value is 0.63 (0.46%).

Key Factors

• EURCHF: Fair value driven higher by Swiss equity market underperformance relative to European equities.
• USDBRL: Fair value increased due to a decline in oil prices; spot decline unjustified by fundamentals.
• USDCOP: Long position due to local equity market weakness.
• USDZAR: High deviation from short-term value, indicating potential overvaluation.
• EURGBP: High z-score (1.60), indicating overvaluation.
• USDTRY: Slight overvaluation with a positive z-score.
• USDRUB: Overvaluation with a z-score of 1.50.
• USDPHP: Fair value overvaluation with a z-score of 1.11.

Strategy Contacts

Production and Editorial

Legal Notice

• This document is non-independent research and is a marketing communication under MiFID II.
• It is not investment research and should not be relied upon as such.
• The information is for professional clients and eligible counterparties.
• BNPP may have conflicts of interest and may engage in transactions inconsistent with the views expressed.
• No liability is accepted for any direct or consequential loss arising from the use of this document.
• Performance data may be based on back-testing and is not indicative of future results.
• Information may be subject to change without notice.
• The document is for information purposes only and does not constitute an offer to sell or purchase any financial instruments.

Online and Bloomberg

• BNP Paribas Global Markets Website: www.globalmarkets.bnpparibas.com
• Bloomberg: BNP Paribas research RES / BNP

Disclaimer

• This document may contain performance data based on back-testing.
• Past performance is not indicative of future results.
• The information is not a prospectus or public offering.
• The document is confidential and should not be copied or distributed without prior consent.
• BNPP may have acted on the information before publication and may receive compensation for investment banking services in the next three months.