巴黎银行-外汇策略-外汇驱动力-20170912-bnp paribas-fx momentum

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1、Thisdocumenthasbeenproducedby:MomentumacrosstheG10remainsweak,withour‘strengthofBNPParibasLondonBranchmomentum’scorelessthan30fornineoutoftencurrencies.SEKbullishmomentumisthestrongestintheG10,asbothSEKNatalieRickardratesandFXmarketssendbullishsignals.FXStrategistCADm

2、omentumhasturnedslightlybullishthisweekfollowingitsMichaelSneydfurtherrallylastweek.GlobalHeadofFXStrategy&BearishJPYmomentumhasmoderatedtoascoreof-8thisweekCross-AssetStrategistastheFXcomponenthasbecomemuchlessbearish.Chart1:G10FXmomentumisweakChart2:BullishSEKthestron

3、gesttrendintheG10Chart3:CADFXmomentumturnsslightlybullishChart4:BearishJPYmomentummoderatesAllchartsources:Macrobond,BNPParibasAllchartsources:Macrobond,BNPParibasInCharts2and3,eachcomponentscorevariesbetween+/-33.3.InChart4,theoverallscoreisasumofthethreecomponentsandva

4、riesbetween+/-100.BNPParibasFXmomentum(scaleof-100to100)Bullishmomentum10012-Sep-201705-Sep-20175039261450-8-10-15-17-19-22-50-100BearishmomentumSEKCHFCADEURJPYUSDNOKAUDGBPNZDSource:BNPParibasPleaserefertoimportantinformationattheendofthereportwww.GlobalMarkets.bnppariba

5、s.comBNPParibasFXmomentumportfolioreturns*Source:Macrobond,BNPParibas*Portfolioofequally-weightedbasketsofeachG10currencywithpositionsizesdeterminedbythemomentumscoresand10%voltarget.Indexedto1Jan2010Three-yearplotofG10currencymomentumscoresUSDoverallmomentumGBPoverallmo

6、mentumEURoverallmomentumJPYoverallmomentumAUDoverallmomentumCADoverallmomentumAllchartsources:Macrobond,BNPParibasAllchartsources:Macrobond,BNPParibas12September20172FXQuantInsightwww.GlobalMarkets.bnpparibas.comNZDoverallmomentumCHFoverallmomentumNOKoverallmomentumSEKov

7、erallmomentumAllchartsources:Macrobond,BNPParibasAllchartsources:Macrobond,BNPParibasBriefintroductiontoBNPParibasFXMomentumBNPParibasFXMomentummeasuresthestrengthofacurrency’sbullishorbearishtrend,providingascoreforeachcurrencybetween+100and-100.Thelargerthescoreforacur

8、rency,thestrongeritstrendappearstobe.Whenanexchangeratehasatrend,itmeansfuturemovesarelikelytobeinthesa