巴黎银行-全球-量化策略-宏观量化策略-20190705.pdf

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1、FLASH

2、GLOBAL8July2019™MACROQUANTSTRATEGY

3、G10FXUSDshortsreducetoascoreof-18(-/+50scale),asaresultoftheBNPParibasTrendingIndicatorandBuySellpressurecomponentsunwindingshorts.FXinvestorsreduceEURlongstoascoreof+2,astheRiskReversalcomponentturningmorebearishontheEUR.Asaresul

4、t,netEURUSDlongexposuremoderatesto+20,from+32lastweek(1July).CADlongsextendtoascoreof+37asallcomponentswiththeexceptionoftheFXFundPositiontrackerturnmorepositiveonCAD.ThisrepresentsthelongestCADpositioningscoresince11January2011.ThemarketunwindsAUDshortstoaneutralscoreof-

5、1asaresultoftheRiskReversalcomponentsqueezingAUDshorts.Fig.1:BNPParibasFXPositioningAnalysis–overallpositioning*SHORTLONGCAD37NOK25JPY15CHF708-Jul-2019NZD301-Jul-2019EUR2SEK-1AUD-1USD-18GBP-18-50-40-30-20-1001020304050Source:BNPParibas*Thepositioningscoresabovearereportedas

6、aFXFundBNPPBuySellClientRiskpercentilebasedonthepriorfiveyearsofdata.ExposureIMMReversalsPositionTrendingPressureThesepercentilesarerescaledtogiveavalueTrackerIndicatorbetween−50and+50.Valuesabove40andbelow28-28-48-14-27USD−40representextremepositions.25-2146-20-1EURTointer

7、pretascoreof−27,forexample,add50to3126-31211430JPYgive23.Thistellsusthat23%ofobservationsover-36-296-26-327GBPthepastfiveyearshavebeenbelowthecurrentobservation.-9-9-26321342CHF171648504446CAD-9-46-640114AUD-23-4339486-7NZD37-404836NOK-27--1940-98SEKClientexposure–Internal

8、salesdesks’estimateofFXinvestorexposure.IMM–Thecommitmentoftraders(COT)isawidelyusedproxyforUS-basedhedge-fund/CTAactivity.Riskreversals–Riskreversalsindicatetherelativepriceofcallsrelativetoputs,andthusincorporateanoption“marketsentiment”.FXFundpositiontracker–Regressio

9、nbaseddecompositionofcurrencyfundpositioning.BNPPtrendingindicator–Atechnicalmeasureofthestrengthofacurrency’smomentum.Buysellpressure–Anindicatorofpricemomentumanddirectionthatutilisestickdata,aggressorinformationandpricemovements.Theoverallcurrencyscoreisthencalculateda

10、stheequallyweightedaverageofthecomponentsMichaelSneyd,CFA,HeadofMacroQuantitative&