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2、GLOBAL26March2019EQUITY&DERIVATIVESBefriendthetrend–membersmomentumstrategyindicativeoffutureperformance,whichmaybebetterorworsethanpriorresults.Thesehypothetical,pastperformancesimulationsaretheresultofestimatesmadebyBNPParibas,asofagivenmoment,onthebasisofparameters,marketconditions,andh
3、istoricaldataselectedbyBNPParibas,andshouldnotbeusedasguidance,inanyway,offutureperformance.TheabovegraphisforillustrativepurposesonlyDALBAR,Inc.operatesasafinancialservicesmarketresearchcompany.Itoffersevaluation,auditing,ratingbusinesses,customerperformance,andproductqualityservices.EdmundShin
4、g,GlobalHeadofEquity&DerivativeStrategyBNPParibasLondonBranchMODELSIGNALConsidera'MembersMomentum'strategy,basedonamonthlybreadthindicator.§InUS:invest50%inequitiesSPTRorBNPIFMU,and50%inlong-termbondsLT11TRUUindex(indicatorref.53.91)§InEUR:invest50%inequitiesSXXTorBNPIFME,and50%inlong-termbondsL
5、EG2TREUindex(indicatorref.52.79)§InUSandEUR:nosignaltohedgeasindicatorsareKEYMESSAGE•TheBNPParibasequityderivativesteamhasdesignedanewstrategybasedonabreadthofmomentumindicator:‘MembersMomentum’.•Backtestingofthestrategysuggestsitcouldoutperformothermomentumstrategiesinrisk/returnterms,whileredu
6、cingthemaximumdrawdown.•Theendoflastyear’smarketcorrectionandthisyear’spositivemarkettrendsuggestamomentumstrategycouldmonetisethepositivemarkettrend,whilelimitingdownsideduringthenextcorrection.above50Fig.1:10-yearrealisedreturns:averageinvestorvsstrategySources:DALBARInc.,BNPParibas,Bloomberg;
7、fromJanuary2008toDecember2017tomakethecomparisonwithDALBAR’sresultsreasonable.PastresultsarenotBehaviouralbiascanbeonereasoninvestorstypicallyselloutafteralargedrawdowninequitymarketsanddonotbuybackin,missingthepotentialrecovery(forexampleinMarch2009afterthefinancialcrisis).Peoplemayreactfarmor
8、eacutelytoa50%lossthana50%gainduetolossaversion(Kahneman&Tversky,1979).Asimpletrend-systemtotimetheentryorexitfromequitiesisawaytoavoidthispotentialbias.Thissystematicstrategycanpotentiallyoutperformaverage'biased'assetalloc
