德银-新兴市场-外汇市场-新兴市场外汇投资组合更新

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1、DeutscheBankResearchEmergingMarketsEconomicsDateForeignExchange23January2018FXSpotFXVolatilityGautamKalani,Ph.D.StrategistEMFX(+44)20754-57066gautam.kalani@db.comEMEAFXPortfolioUpdateandChartpack:RidingtheRandwagonInthisreport,weprovideanupdateofourEMEAFXviewsandrecenttr

2、ades,alongwithcorrespondingcharts.Webeginbyre-iteratingourbullishviewonbroaderEMFX,andwiththisbackdropthendelveintotheviewsonspecificEMEAcurrencies.Insum,wearebullishonZAR,TRY(tacticallyviaoptions),HUF;neutralonRUB,CZK;bearishonILS(tactically).Wecontinuetobelieveinthelon

3、g-termpositivestoryforPLN,butaresomewhatcautiousatcurrentlevelsgiventherecentoutperformance.RecentEMEAFXtrades:1)6m12.60USDZARdigitalputinitiatedinearlyDecember(15%cost);currentlyworth65%werecommendtakingprofitonthistrade2)ShortUSDZAR,initiatedinearlyJanuary(spot12.45);

4、returnsinceinitiation:+3.1%werecommendmaintainingthistrade,witha2%trailingstop3)3m3.65USDTRYdigitalputinitiatedinearlyJanuary(12%cost);stillwortharoundthesameamountwerecommendmaintainingthistrade4)ShortUSDRUBinitiatedinearlyNovember(spot59.4);returnsinceinitiation:+4.8

5、%werecommendtakingprofitonthistrade5)ShortEURHUFinitiatedinlateNovember(spot312);returnsinceinitiation:+0.8%werecommendmaintainingthistrade6)LongEURILSinitiatedinearlyJanuary(spot4.10);returnsinceinitiation:+2.1%werecommendmaintainingthistrade,witha1.5%trailingstop7)S

6、hortEURPLNinitiatedinlateSeptember(spot4.29);returnsinceinitiation:+3.4%werecommendmaintainingthistrade,witha1.5%trailingstopBroaderEMFX1)WearebullishonEMFX:i)EMFXvaluationsarestillattractive–onourpreferredDBeermodel,broadEMFXisstill5%undervalued;further,undervaluations

7、tendtocorrectamidsthigherEMgrowth,whichweexpectthisyear.ii)ThereisroomforfurtherEMinflows(particularlyintoequities),asEMequityallocationsarehoveringnearthelowsofthepast12years.iii)Higher,moresynchronizedgrowth(withwideningEM-DMgrowthdifferentials)issupportiveforEMcurrenc

8、ies,asitspursgreaterEMinflowsandboostsexport/investmentcycles.iv)EM’sexternalvulnerabilitieshavereduced