巴黎银行-南美-投资策略-哥伦比亚风险资产投资策略

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1、LATINAMERICASTRATEGYPleaserefertoimportantinformationattheendofthereportColombianriskassets:DivergingdriversThisdocumenthasbeenproducedby:WeupdatedourPrincipalComponentAnalysisonColombiariskassetsinordertoBancoBNPParibasBrasilS.A.understandthemaindriversbehindtheirperformance.GabrielGersztein

2、TheresultssuggesttheUSDsystemicrisk,USratesandtermsoftradehavebeenthemostimportantdriversfortheColombianpesoandthe5yCDSoverthepastHeadofFX&IRLatamStrategyCommodityQuantStrategyweeks.+551138413421ThefactthatmovesinFXarenowmuchmorecorrelatedwithtermsoftradeisawelcomeretracementtowardsfundament

3、als,inourview.WhenwefactorintheGustavoMendoncarallyseeninoilintoourfactormodel,thescopeforfurtherrallyisstillFX&IRLatamStrategyconsiderable.WeremainshortUSDCOP.CommodityQuantStrategy+551138413445Regardingrates,theabsenceofco-variancebetweenIBRswaps(bothintheshort-endandlong-endofthecurve)ande

4、xternalvariablessuggeststhatdomesticSamuelCastrofactorshavebeenthemostimportantdriversoverthepastweeks.WefindFX&IRLatamStrategyevidencethatEconomicSurpriseshavehadthehighestadherencewithCOPratesCommodityQuantStrategyrecently.+551138413492WhathasbeendrivingColombianriskassets?Movementsbetweenas

5、setclassesareinextricablylinked.Monitoringtheselinkscanbetime-consuminganddoesnotidentifyorquantifywhatdrivesassetpricesandtowhatextent.Additionally,thereareperiodswheremorethantwofactorscombinetoexplainpricedynamics;theseperiodsarecommonlycharacterisedbystrongsystemicrisk.Theproposedframework

6、monitorstherelationshipsbetweenselecteddomesticassetsandexternalmarketfactorsbyusingPrincipalComponentAnalysis(PCA).Thefirststepistoidentifythethreemoststatisticallysignificantcomponentsofthesedataseries.Acorrelationand/oraco-variancematrixarethemostcommonmethodstomonitorco-movementsamongasset

7、s.However,thesematricescanbecomebulkywhenmanyassetsareincluded.Theapproachweproposeidentifiesthemainmarketfactorsandmonitorsthesensitivitiesofassetstoeachofthesefactors.Theexplanatorypowerofthefirstprincipalcomponentissubstantiallyhighe