巴黎银行-全球-外汇策略-外汇驱动力-20170926-bnpparibas-fxmomentum

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1、Thisdocumenthasbeenproducedby:BothEURandUSDoverallmomentumremainsbroadlyneutral,atBNPParibasLondonBranchscoresof+7and-8,respectively.However,theFXcomponentsarebearishfortheUSD(-33)andbullishfortheEUR(+18).ClaraLeonardSEKmomentumremainsthemostbullishinG1

2、0,drivenbybothaFXStrategistbullishratesandFXcomponents.AUDandNZDhavethemostMichaelSneydbearishoverallsignals.GlobalHeadofFXStrategy&OverallG10momentumremainsweak,withour‘strengthofCross-AssetStrategistmomentum’score(sumofabsolutevaluesofmomentumscores)do

3、wnto184(from400inJune).Chart1:BothEUR&USDmomentumisneutralChart2:ButUSDFXmomentumremainsbearish...Chart3:...asdoesEURFXmomentumChart4:MomentumremainsverylightinG10Allchartsources:Macrobond,BNPParibasAllchartsources:Macrobond,BNPParibasInCharts2and3,eachco

4、mponentscorevariesbetween+/-33.3.InChart4,theoverallscoreisasumofthethreecomponentsandvariesbetween+/-100.BNPParibasFXmomentum(scaleof-100to100)100Bullishmomentum26-Sep-201719-Sep-2017395017161470-5-5-8-50-23-50-100BearishmomentumSEKCHFGBPCADEURJPYNOKUSDA

5、UDNZDSource:BNPParibasPleaserefertoimportantinformationattheendofthereportwww.GlobalMarkets.bnpparibas.comBNPParibasFXmomentumportfolioreturns*Source:Macrobond,BNPParibas*PortfolioofequallyweightedbasketsofeachG10currencywithpositionsizesdeterminedbythemo

6、mentumscoresand10%voltarget.Indexedto1Jan2010Three-yearplotofG10currencymomentumscoresUSDoverallmomentumGBPoverallmomentumEURoverallmomentumJPYoverallmomentumAUDoverallmomentumCADoverallmomentumAllchartsources:Macrobond,BNPParibasAllchartsources:Macrobond

7、,BNPParibas26September20172FXQuantInsightwww.GlobalMarkets.bnpparibas.comNZDoverallmomentumCHFoverallmomentumNOKoverallmomentumSEKoverallmomentumAllchartsources:Macrobond,BNPParibasAllchartsources:Macrobond,BNPParibasBriefintroductiontoBNPParibasFXMomentu

8、mBNPParibasFXMomentummeasuresthestrengthofacurrency’sbullishorbearishtrend,providingascoreforeachcurrencybetween+100and-100.Thelargerthescoreforacurrency,thestrongeritstrendappearstobe.Whenanexchangeratehasatrend,it