巴黎银行-全球-外汇市场-动机分析-20171010-bnpparibas-fxmomentum

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1、Thisdocumenthasbeenproducedby:BearishNZDmomentumhasincreasedto-68(-/+100scale),oneofBNPParibasLondonBranchthemostbearishscoresforthecurrencysince2015.OverallUSDmomentumisneutralat-1.USDmomentumhasrarelyNatalieRickarddippedintobearishterritoryoverthepastfiveyears.FXStrategis

2、tSEKmomentumremainsbullish,withboththeyieldandFXMichaelSneydcomponentssendingstrongbullishsignalsforthecurrency.GlobalHeadofFXStrategy&AcrosstheG10,withtheexceptionoftheSEKandNZD,Cross-AssetStrategistmomentumappearslightatthemoment.Chart1:BearishNZDtrendatmulti-yearextremeC

3、hart2:EquitiesturnverybearishfortheNZDChart3:USDmomentumrarelybearishsince2014Chart4:SEKRatesandFXsendbullishsignalsAllchartsources:Macrobond,BNPParibasAllchartsources:Macrobond,BNPParibasInCharts2and3,eachcomponentscorevariesbetween+/-33.3.InChart4,theoverallscoreisasumofthe

4、threecomponentsandvariesbetween+/-100.BNPParibasFXmomentum(scaleof-100to100)100Bullishmomentum10-Oct-201703-Oct-2017445022141380-1-7-14-50-24-68-100BearishmomentumSEKCADCHFEURGBPUSDJPYNOKAUDNZDSource:BNPParibasPleaserefertoimportantinformationattheendofthereportwww.GlobalMark

5、ets.bnpparibas.comBNPParibasFXmomentumportfolioreturns*Source:Macrobond,BNPParibas*PortfolioofequallyweightedbasketsofeachG10currencywithpositionsizesdeterminedbythemomentumscoresand10%voltarget.Indexedto1Jan2010Three-yearplotofG10currencymomentumscoresUSDoverallmomentumGBPov

6、erallmomentumEURoverallmomentumJPYoverallmomentumAUDoverallmomentumCADoverallmomentumAllchartsources:Macrobond,BNPParibasAllchartsources:Macrobond,BNPParibas10October20172FXQuantInsightwww.GlobalMarkets.bnpparibas.comNZDoverallmomentumCHFoverallmomentumNOKoverallmomentumSEKov

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

8、,thestrongeritstrendappearstobe.Whenanexchangeratehasatrend,itmeansf