巴黎银行-外汇策略-外汇驱动力-20170905-fx momentum-bnp paribas

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1、Thisdocumenthasbeenproducedby:MomentumacrossG10currenciesappearsweakagainthisweek,BNPParibasLondonBranchwith8ofthe10currenciesscoring25orless(-/+100scale).ThestrongesttrendisstillthebullishSEK;bothSwedishyieldsMichaelSneydandFXaresendingbullishsignalsforthecurrency.GlobalHeadofFXStrate

2、gy&MacroJPYhasthemostbearishmomentumintheG10,astheFXQuantitativeStrategistcomponentremainsverybearishandJapaneseyieldshaveNatalieRickardbecomeincreasinglybearishforthecurrency.GraduateChart1:G10FXMomentumisweakChart2:BullishSEKthestrongesttrendintheG10Chart3:JPYmomentummoderatelybearish

3、Chart4:JapaneseyieldsturnbearishfortheJPYAllchartsources:Macrobond,BNPParibasAllchartsources:Macrobond,BNPParibasInCharts2and4,eachcomponentscorevariesbetween+/-33.3.InCharts1and3,theoverallscoreisasumofthethreecomponentsandvariesbetween+/-100.BNPParibasFXMomentum(scaleof-100to100)100Bul

4、lishmomentum05-Sep-201729-Aug-2017455031110-2-7-10-13-14-22-25-50-100BearishmomentumSEKCHFEURUSDCADGBPAUDNOKNZDJPYSource:BNPParibasPleaserefertoimportantinformationattheendofthereportwww.GlobalMarkets.bnpparibas.comBNPParibasFXMomentumportfolioreturns*Source:Macrobond,BNPParibas*Portfoli

5、oofequallyweightedbasketsofeachG10currencywithpositionsizesdeterminedbythemomentumscoresand10%voltarget.Indexedto1Jan2010Three-yearplotofG10currencymomentumscoresUSDoverallmomentumGBPoverallmomentumEURoverallmomentumJPYoverallmomentumAUDoverallmomentumCADoverallmomentumAllchartsources:Ma

6、crobond,BNPParibasAllchartsources:Macrobond,BNPParibas05September20172FXQuantInsightwww.GlobalMarkets.bnpparibas.comNZDoverallmomentumCHFoverallmomentumNOKoverallmomentumSEKoverallmomentumAllchartsources:Macrobond,BNPParibasAllchartsources:Macrobond,BNPParibasBriefintroductiontoBNPPariba

7、sFXMomentumBNPParibasFXMomentummeasuresthestrengthofacurrency’sbullishorbearishtrend,providingascoreforeachcurrencybetween+100and-100.Thelargerthescoreforacurrency,thestrongeritstrendappearstobe.Whenanexchangeratehasatrend,itmeansfuturemovesarelikelytobeinthesamedirection