巴黎银行-全球-外汇策略-全球外汇定位分析-20190627.pdf

《巴黎银行-全球-外汇策略-全球外汇定位分析-20190627.pdf》由会员上传分享，免费在线阅读，更多相关内容在行业资料-天天文库。

1、FLASH

2、FXPOSITIONINGANALYSIS

3、GLOBAL27June2019™MACROQUANTSTRATEGY

4、G10FXUSDpositioningisshortwithascoreof-18(-/+50scale).Thisrepresentstheshortestpositioningscoresince18April2018.FXinvestorsextendGBPshortstoascoreof-20asaresultoftheFXFundPositionTrackerandRiskReversalco

5、mponentsofourmeasureunwindinglongs.JPYlongsarecuttoascoreof+19asaresultoftheRiskReversalcomponentbuildingshorts.ThemarketislongNOKwithascoreof+25,havingturnedneutralonthecurrencyatthestartofJune.Fig.1:BNPParibasFXPositioningAnalysis–overallpositioning*SHORTLONGNOK25C

6、AD23JPY19CHF1226-Jun-2019EUR819-Jun-2019SEK7NZD3AUD-12USD-18GBP-20-50-40-30-20-1001020304050Source:BNPParibas*ThepositioningscoresabovearereportedasaFXFundBNPPBuySellClientRiskpercentilebasedonthepriorfiveyearsofdata.ExposureIMMReversalsPositionTrendingPressureTheseper

7、centilesarerescaledtogiveavalueTrackerIndicatorbetween−50and+50.Valuesabove40andbelow1817-32-49-31-31USD−40representextremepositions.84-1349-45EURTointerpretascoreof−27,forexample,add50to3324-18251338JPYgive23.Thistellsusthat23%ofobservationsover-30-262-26-32-5GBPthepa

8、stfiveyearshavebeenbelowthecurrentobservation.-22-7-25453248CHF-10-1640502348CAD-15-46-2544-28-2AUD-31-4445495-8NZD26-49-152640NOK-38-144217SEKClientexposure–Internalsalesdesks’estimateofFXinvestorexposure.IMM–Thecommitmentoftraders(COT)isawidelyusedproxyforUS-basedh

9、edge-fund/CTAactivity.Riskreversals–Riskreversalsindicatetherelativepriceofcallsrelativetoputs,andthusincorporateanoption“marketsentiment”.FXFundpositiontracker–Regressionbaseddecompositionofcurrencyfundpositioning.BNPPtrendingindicator–Atechnicalmeasureofthestrengt

10、hofacurrency’smomentum.Buysellpressure–Anindicatorofpricemomentumanddirectionthatutilisestickdata,aggressorinformationandpricemovements.TheoverallcurrencyscoreisthencalculatedastheequallyweightedaverageofthecomponentsMichaelSneyd,CFA,HeadofMacroQuantitative&Derivative

11、sStrategy

12、AlexJekov,FXStrategist

13、KrisGjini,MacroQuantStrategist

14、BenedicteLowe,CrossAssetStrategist

15、BNPParibasLondonBr