巴黎银行-全球-资本市场-资产组合投资策略

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1、PleaserefertoimportantinformationattheendofthereportandMARdisclosure.KeypointsfromBNPParibasMarFA™MacroBNPParibasMarFA™isourcross-assetquantframeworkthatmonitorsthecorrelations,drivingfactorsandvaluationsof75assetsacrossrates,equities,credit,FXandcommodities.Inthisupdatewefo

2、cusonthemostrelevantsignalsfromboththelong-termvariant:MarFA™Macro,basedon12mcorrelations.Theframeworkidentifies‘macrofactors’thatcorrespondwithassetclassperformanceandsignalmispricinginassetsthatarelikelytocorrectoverthenext1-2months.Thesedrivingfactorsarelargelyunchangedfromour

3、lastupdateon16January.MarFA™Macroidentifiesthefollowingvariablestobethemacrofactorsdrivingassets.Werecommendmonitoringthesecarefully.Macrofactor#1:Economicactivity,capturedbysurveydatasuchasPMIs-Thisisthesinglemostimportantfactor,particularlyimportantforperformanceofequitiesandc

4、redit.Macrofactor#2:Inflationexpectations,capturedby5y5yinflationandsurveys-Importantforperformanceof10yratesandcurves.Macrofactor#3:Economicdatasurprisesindevelopedmarkets,especiallytheUSImportantforUSDFXpairsandfixedincome.Ourshort-termvariant,MarFA™Trading,identifiesthefoll

5、owingvariablestobethemarketfactorsthatareimportantforassets.Theseshouldalsobemonitoredcarefullyinthecurrentmarketenvironment:Marketfactor#1:US5yrealyields-Importanceacrossrates,equities,FX,creditandcommodities.Marketfactor#2:Impliedvolatility,especiallyinequitiesandFX-Particula

6、rlyimportantforequitesandcredit.Marketfactor#3:Riskappetite,capturedbytheBNPPRiskPremiumIndex(BNPSGRPIndex)-Mostimportantforequitymarkets.MarFA™Macrohasthemajorityoftradingsignalsatthemoment.Thefollowingassetsareexpectedtocorrectoverthenext1-2months:oInequities,theNikkei225,FTSE

7、100,Germany’sDAX,SwissSMIandCanada’sTSXappearoversoldfollowingtherecentsell-off.oInrates,US10ynominalandrealyieldsstillappeartoohighbyaround20bpand10bprespectively,whileItalianandAustralian10yyieldsappeartoolow.oIncredit,themajorcreditindicesappearfairlyvaluedduetothedeclineinfai

8、r-valuesrecentweeks.oIncommodities,Plati