巴黎银行-外汇-外汇趋势分析-fx momentum-20170822-bnpparibas

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1、Thisdocumenthasbeenproducedby:TheSEKhasthemostbullishmomentumintheG10,accordingtoBNPParibasLondonBranchourmeasure.TheriseinSwedish2yyieldsmeansthattheratescomponenthasbecomemorebullishfortheSEK.MichaelSneydBullishEURmomentumhasnowfaded,withitsscorene

2、utralat+5GlobalHeadofFXStrategy&Macro(-/+100scale).However,theFXcomponentremainsverybullish.QuantitativeStrategistJPYmomentumhasturnedbearishovertheweekastheequityNatalieRickardcomponenthasbecomelessbullish.GraduateBearishAUDmomentumhasincreasedtoasc

3、oreof-32,butbearishNZDmomentumhasmoderatedfurtherthisweek.Chart1:BullishyieldssupportSEKmomentumChart2:BullishEURmomentumhasnowfadedChart3:JapaneseequitiesbecomelessbullishChart4:AUDmomentumremainsbearishAllchartsources:Macrobond,BNPParibasAllchartsour

4、ces:Macrobond,BNPParibasInCharts2and4,eachcomponentscorevariesbetween+/-33.3.InCharts1and3,theoverallscoreisasumofthethreecomponentsandvariesbetween+/-100.BNPParibasFXMomentum(scaleof-100to100)100Bullishmomentum22-Aug-201715-Aug-20174250331150-1-10-11-

5、16-50-32-33-100BearishmomentumSEKCHFUSDEURGBPCADNZDJPYAUDNOKSource:BNPParibasPleaserefertoimportantinformationattheendofthereportwww.GlobalMarkets.bnpparibas.comBNPParibasFXMomentumportfolioreturns*Source:Macrobond,BNPParibas*Portfolioofequallyweighted

6、basketsofeachG10currencywithpositionsizesdeterminedbythemomentumscoresand10%voltarget.Indexedto1Jan2010Three-yearplotofG10currencymomentumscoresUSDoverallmomentumGBPoverallmomentumEURoverallmomentumJPYoverallmomentumAUDoverallmomentumCADoverallmomentum

7、Allchartsources:Macrobond,BNPParibasAllchartsources:Macrobond,BNPParibas22August20172FXQuantInsightwww.GlobalMarkets.bnpparibas.comNZDoverallmomentumCHFoverallmomentumNOKoverallmomentumSEKoverallmomentumAllchartsources:Macrobond,BNPParibasAllchartsourc

8、es:Macrobond,BNPParibasBriefintroductiontoBNPParibasFXMomentumBNPParibasFXMomentummeasuresthestrengthofacurrency’sbullishorbearishtrend,providingascoreforeachcurrencybetween+100and-100.Thelargerthescoreforacurrency,thestrongeritstrendap