20170911-法国巴黎银行-BNP_Paribas_STEER_16页_776kb

报告摘要

BNP Paribas FX STRATEGY | FX QUANT INSIGHT Summary

Core Content

This document outlines the BNP Paribas STEER™ Model trading signals for the FX market as of 11 September 2017, focusing on G10 currencies, CEEMEA (Central and Eastern Europe, the Middle East, and Eastern Europe), Asia, and Latin America. It includes fair value estimates, spot rates, z-scores, and trading positions with their respective targets and stop-loss levels.

Main Trading Signals

New Signals

11-Sep-17: LONG USDSGD
- Entry Rate: 1.3430
- Target: 1.3507
- Stop Loss: 1.3391
- Return: 0.00%

Closed Signals (No new signals closed today)

08-Sep-17: LONG USDTRY
- Entry Rate: 3.4024
- Target: 3.4301
- Stop Loss: 3.3886
- Return: 0.25%
08-Sep-17: LONG USDRUB
- Entry Rate: 56.8993
- Target: 57.5320
- Stop Loss: 56.5830
- Return: 0.80%
31-Aug-17: SHORT USDTHB
- Entry Rate: 33.213
- Target: 33.010
- Stop Loss: 33.315
- Return: 0.26%

Recently Closed Signals

24-Aug-17: LONG NZDUSD
- Entry Rate: 0.7208
- Close Rate: 0.7273 (08-Sep-17)
- Return: 0.91%
06-Sep-17: SHORT EURSEK
- Entry Rate: 9.4868
- Close Rate: 9.5409 (07-Sep-17)
- Return: -0.57%
07-Sep-17: LONG USDCLP
- Entry Rate: 616.7300
- Close Rate: 614.7500 (07-Sep-17)
- Return: -0.32%

Key Insights

G10 Currencies

Most G10 pairs are trading in line with their fair values.
USDJPY is close to its current STEER of 108.73.
EURNOK is starting to appear overvalued, with a z-score of 1.36 (1.02%).
EURSEK has a z-score of 1.31 (2.46%) and is considered overvalued.
EURCHF has a z-score of 2.39 (3.41%) and is overvalued.
EURGBP has a z-score of 1.31 (2.46%) and is overvalued.
EURUSD has a z-score of 2.73 (3.42%) and is overvalued.

CEEMEA & Asia

USDTRY, USDRUB, and USDSGD have declined in spot rates since the end of August.
The decline appears overdone according to the STEER model.
USDILS is below its STEER, with a z-score of -2.18 (-1.51%).
USDTHB is above its STEER, with a z-score of 2.26 (1.22%).
USDKRW is below its STEER, with a z-score of -1.16 (-0.79%).
USDINR is slightly above its STEER, with a z-score of 0.12 (0.04%).

Latin America

USDCLP is below its STEER, with a z-score of -1.27 (-0.83%).
USDMXN is below its STEER, with a z-score of -1.18 (-0.98%).
USDCOP is slightly above its STEER, with a z-score of 0.04 (0.03%).
USDBRL is slightly above its STEER, with a z-score of 0.57 (0.48%).
USDPEN is slightly above its STEER, with a z-score of 1.39 (0.39%).

Notes

The STEER model suggests that the recent USD weakness against emerging market currencies appears overdone.
The model has taken profit on the NZDUSD long signal after the pair converged back to its STEER.
The z-score indicates the deviation from the short-term value, with positive values indicating overvaluation and negative values indicating undervaluation.
The dotted line in the charts indicates when the model does not pass the co-integration filter.

Strategy Contacts

FX Strategy & Macro Quantitative Strategist

Michael Sneyd, CFA: London, Tel: 44 20 7595 1307, Email: michael.sneyd@uk.bnpparibas.com
Sam Lynton-Brown: London, Tel: 44 20 7595 8467, Email: sam.lynton-brown@uk.bnpparibas.com
Clara Leonard: London, Tel: 44 20 7595 1424, Email: clara.leonard@uk.bnpparibas.com
Natalie Rickard: London, Tel: 44 20 7595 8270, Email: natalie.rickard@uk.bnpparibas.com
Daniel Katzive, CFA: New York, Tel: 1 212 841 2408, Email: daniel.katzive@us.bnpparibas.com

Emerging Markets FX & IR Strategy

Wike Groenenberg: London, Tel: 44 20 7595 8746, Email: wike.groenenberg@uk.bnpparibas.com
Marcelo Carvalho: Sao Paulo, Tel: 55 11 3841 3418, Email: marcelo.carvalho@br.bnpparibas.com
Piotr Chwiejczak: London, Tel: 44 20 7595 8715, Email: piotr.chwiejczak@uk.bnpparibas.com
Sai Ulluri: London, Tel: 44 20 7595 1872, Email: sai.ulluri@uk.bnpparibas.com
Erkin Isik, CFA: Istanbul, Tel: 90 216 635 2987, Email: erkin.isik@teb.com.tr
Mirza Baig: Singapore, Tel: 65 6210 3262, Email: mirza.s.baig@asia.bnpparibas.com
Dawn Kwa: Singapore, Tel: 65 6210 3263, Email: dawn.kwa@asia.bnpparibas.com
Altaz Dagna: Singapore, Tel: 65 6210 4994, Email: altaz.dagna@asia.bnpparibas.com
Kun Shan: Shanghai, Tel: 86 21 2896 2773, Email: kun.shan@asia.bnpparibas.com
Tianhe Ji: Beijing, Tel: 86 10 6535 0836, Email: tianhe.ji@asia.bnpparibas.com
Gabriel Gersztein: Sao Paulo, Tel: 55 11 3841 3421, Email: gabriel.gersztein@br.bnpparibas.com
Samuel Castro: Sao Paulo, Tel: 55 11 3841 3492, Email: samuel.castro@br.bnpparibas.com
Gustavo Mendonca: Sao Paulo, Tel: 55 11 3841 3445, Email: gustavo.mendonca@br.bnpparibas.com

Production and Distribution

Barbara Consuelo: London, Tel: 44 20 7595 8486, Email: Barbara.Consuelo@uk.bnpparibas.com
Amanda Grantham-Hill: London, Tel: 44 20 7595 4107, Email: amanda.grantham-hill@uk.bnpparibas.com
Anna McLauchlin: London, Tel: 44 20 7595 3754, Email: anna.mclauchlin@uk.bnpparibas.com
Louise Bylicki: New York, Tel: 1 212 471 6479, Email: louise.bylicki@us.bnpparibas.com

Legal Notice

This document is a marketing communication and not investment research.
It may be subject to conflicts of interest due to interactions with sales and trading.
STEER™ is a trademark of BNP Paribas.
No BNP Paribas group company accepts responsibility for the accuracy or completeness of the information or opinions.
Indicative prices are based on internal models and may vary from other sources.
Back-tested performance is for illustrative purposes only and does not guarantee future results.
The document is confidential and must not be distributed without prior written consent.

United States Disclosures

Options are complex instruments and not suitable for every investor.
ETFs have risks, including tracking error and currency/geopolitical risks for international investments.
BNP Paribas and its affiliates may have conflicts of interest and may engage in transactions contrary to the views expressed in this document.

Additional Notes

The document is exclusive and updated daily by www.baogaoba.xyz.
It is intended for professional clients and relevant persons as defined by MiFID and other regulations.
The information is subject to change and not intended to be the sole basis for investment decisions.

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