巴黎银行-全球-外汇市场-外汇驱动力-20171128-BNP_Paribas-FX_Momentum_9页_1mb

BNP Paribas FX Momentum Summary

Core Content

BNP Paribas FX Momentum is a strategy that evaluates the strength of trends in major currencies using a scoring system ranging from -100 to +100. The score reflects the momentum of exchange rates, interest rates, and equity markets. This strategy is used to determine the relative performance of G10 currencies and is based on a combination of FX drivers and exchange rate trends.

Key Currency Momentum Scores (as of 28 November 2017)

• CAD (Canadian Dollar): Strongly bullish with a score of +59, primarily due to positive interest rate momentum.
• AUD (Australian Dollar): Most bearish in the G10 with a score of -44.
• NZD (New Zealand Dollar): Most bearish in the G10 with a score of -75.
• EUR (Euro): Slightly bullish with a score of +10, driven by FX momentum becoming more bullish.
• USD (US Dollar): Neutral in overall momentum, although interest rate momentum remains strongly bullish.

Strategy Overview

• The strategy identifies trends by using two moving averages. If the shorter moving average is above the longer one, the trend is considered bullish.
• It incorporates the momentum of FX drivers, including interest rates and equity markets, to provide a more comprehensive view of currency trends.
• The strategy has historically delivered a Sharpe ratio of 0.79 since 2002 when trading a basket of major currency pairs.

Portfolio Returns and Methodology

• The FX Momentum portfolio is constructed using equally-weighted baskets of G10 currencies, with position sizes based on momentum scores and a 10% volatility target.
• Portfolio returns are indexed to 1 January 2010 and are based on the overall momentum scores.

Legal and Regulatory Information

• This document is non-independent research and is considered a marketing communication.
• It is intended for Professional Clients and Eligible Counterparties as defined under MiFID.
• BNP Paribas and its affiliates may have conflicts of interest due to their involvement in sales and trading activities.
• The document does not constitute an offer to sell or purchase any financial instrument and is not a prospectus or public offering.

Important Disclosures

• Options: Complex instruments with high risk; only suitable for sophisticated investors.
• ETFs: May involve tracking error, currency, and geopolitical risks. BNP Paribas may have financial interests or act as market makers.
• Unregistered Securities: Certain securities may not be registered under US Securities Laws and are restricted to Qualified Institutional Buyers or non-US persons under Regulation S.

Distribution and Contact Information

• Global FX Strategy Contacts:

  • Michael Sneyd: Global Head of FX Strategy & Cross-Asset Strategist, London
  • Natalie Rickard: FX Strategist, London
  • Sam Lynton-Brown: FX Strategist, London
  • Daniel Katzive: Head of FX Strategy North America, New York
  • Vasilis Koutsaftis: FX Options Strategist, New York
  • Emerging Markets FX & IR Strategy Contacts:
    • Wike Groenenberg: Head of Emerging Markets Research, CEEMEA & APAC, London
    • Marcelo Carvalho: Head of Emerging Markets Research, Latam, Sao Paulo
    • Altaz Daghia: AU/NZ IR Strategist, Singapore
    • Kun Shan: China Strategist, Shanghai
    • Tianhe Ji: China Strategist, Beijing
    • Gabriel Gersztein: Head FX & IR Latam Strategy, Sao Paulo
    • Samuel Castro: FX & IR Latam Strategist, Sao Paulo
    • Gustavo Mendonca: FX & IR Latam Strategist, Sao Paulo

• Production and Distribution:

  • Barbara Consuelo: Foreign Exchange, London
  • Amanda Grantham-Hill: London
  • Anna McLauchlin: London
  • Varghese Joseph: New York

Jurisdictional Information

• UK: This document is communicated by BNP Paribas London Branch, authorized by ECB, ACPR, and FCA.
• France: Produced and distributed by BNP Paribas SA and BNP Paribas Arbitrage, authorized by ECB and ACPR.
• Germany: Distributed by BNP Paribas S.A. Niederlassung Deutschland, authorized and supervised by ECB and ACPR.
• Belgium: Distributed by BNP Paribas Fortis SA/NV, supervised by ECB and National Bank of Belgium.
• Ireland: Distributed by BNP Paribas S.A., Dublin Branch, regulated in France.
• Italy: Distributed by BNP Paribas Succursale Italia, authorized and supervised by ECB and ACPR.
• Netherlands: Distributed by BNP Paribas Fortis SA/NV, Netherlands Branch, authorized and supervised by ECB and National Bank of the Netherlands.

Disclaimer

• The information and opinions in this document are based on public sources and may not be independently verified.
• No responsibility or liability is accepted for the accuracy or completeness of the information.
• Performance data may be based on back-testing and is not indicative of future results.
• This document is for informational purposes only and should not be relied upon as an offer or recommendation.
• All information is subject to change without notice and is provided on a strictly confidential basis.