巴黎银行-外汇市场-外汇策略：外汇驱动力-20170829-fx momentum-bnp paribas

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1、Thisdocumenthasbeenproducedby:OverallmomentuminG10appearsweak,withour‘strengthofBNPParibasLondonBranchmomentum’scorelessthan30foreightoutoftencurrencies.BullishSEKmomentumisthestrongestsignal,drivenbybullishMichaelSneydFXandyieldmomentum.GlobalHeadofFXStrategy&MacroJPYmomentumhasbecomemoreb

2、earish,withascoreof-27(-/+QuantitativeStrategist100scale),driveninpartbyunderperformingJapaneseequities.NatalieRickardTheNZDhasextendeditsbearishmomentumto-26.GraduateEURmomentumremainsneutralasbullishFXmomentumisoffsetbybearishyieldmomentum.Chart1:BullishFX,yieldssupportSEKmomentumChart2:JP

3、YcontinuesitsbearishtrendChart3:NZDbearishmomentumextendsChart4:EURmomentumremainsneutralAllchartsources:Macrobond,BNPParibasAllchartsources:Macrobond,BNPParibasInCharts2and4,eachcomponentscorevariesbetween+/-33.3.InCharts1and3,theoverallscoreisasumofthethreecomponentsandvariesbetween+/-100.BN

4、PParibasFXMomentum(scaleof-100to100)100Bullishmomentum29-Aug-201722-Aug-20174750328710-5-17-23-26-27-50-100BearishmomentumSEKCHFEURUSDGBPCADAUDNOKNZDJPYPleaserefertoimportantinformationattheendofthereportwww.GlobalMarkets.bnpparibas.comSource:BNPParibasBNPParibasFXMomentumportfolioreturns*Sour

5、ce:Macrobond,BNPParibas*PortfolioofequallyweightedbasketsofeachG10currencywithpositionsizesdeterminedbythemomentumscoresand10%voltarget.Indexedto1Jan2010Three-yearplotofG10currencymomentumscoresUSDoverallmomentumGBPoverallmomentumEURoverallmomentumJPYoverallmomentumAUDoverallmomentumCADoverall

6、momentumAllchartsources:Macrobond,BNPParibasAllchartsources:Macrobond,BNPParibas29August20172FXQuantInsightwww.GlobalMarkets.bnpparibas.comNZDoverallmomentumCHFoverallmomentumNOKoverallmomentumSEKoverallmomentumAllchartsources:Macrobond,BNPParibasAllchartsources:Macrobond,BNPParibasBriefintrod

7、uctiontoBNPParibasFXMomentumBNPParibasFXMomentummeasuresthestrengthofacurrency’sbullishorbearishtrend,providingascoreforeachcurrencybetween+100and-100.Thelargerthescoreforacurrency,thestrongeritstrendappearstobe.Whenanexchangeratehasatr