ImageVerifierCode 换一换
格式:PDF , 页数:14 ,大小:3.74MB ,
资源ID:3046658      下载积分:2 积分
快捷下载
登录下载
邮箱/手机:
温馨提示:
快捷下载时,用户名和密码都是您填写的邮箱或者手机号,方便查询和重复下载(系统自动生成)。 如填写123,账号就是123,密码也是123。
特别说明:
请自助下载,系统不会自动发送文件的哦; 如果您已付费,想二次下载,请登录后访问:我的下载记录
支付方式: 支付宝扫码支付 微信扫码支付   
验证码:   换一换

加入VIP,免费下载
 

温馨提示:由于个人手机设置不同,如果发现不能下载,请复制以下地址【https://www.wnwk.com/docdown/3046658.html】到电脑端继续下载(重复下载不扣费)。

已注册用户请登录:
账号:
密码:
验证码:   换一换
  忘记密码?
三方登录: QQ登录  

下载须知

1: 本站所有资源如无特殊说明,都需要本地电脑安装OFFICE2007和PDF阅读器。
2: 试题试卷类文档,如果标题没有明确说明有答案则都视为没有答案,请知晓。
3: 文件的所有权益归上传用户所有。
4. 未经权益所有人同意不得将文件中的内容挪作商业或盈利用途。
5. 本站仅提供交流平台,并不能对任何下载内容负责。
6. 下载文件中如有侵权或不适当内容,请与我们联系,我们立即纠正。
7. 本站不保证下载资源的准确性、安全性和完整性, 同时也不承担用户因使用这些下载资源对自己和他人造成任何形式的伤害或损失。

版权提示 | 免责声明

本文(巴黎银行-全球-外汇策略-全球外汇分析-20190124-12页.pdf)为本站会员(a****2)主动上传,蜗牛文库仅提供信息存储空间,仅对用户上传内容的表现方式做保护处理,对上载内容本身不做任何修改或编辑。 若此文所含内容侵犯了您的版权或隐私,请立即通知蜗牛文库(发送邮件至admin@wnwk.com或直接QQ联系客服),我们立即给予删除!

巴黎银行-全球-外汇策略-全球外汇分析-20190124-12页.pdf

1、MACRO QUANT STRATEGY|G10 FX Michael Sneyd,CFAAlex Jekov,Head of Macro Quantitative&Derivatives Strategy|Kris Gjini,FX Strategist|,Cross Asset Strategist|Benedicte Lowe Shaun Daly,Cross Asset Strategist|,FX Strategist|BNP Paribas London Branch FX POSITIONING ANALYSIS|GLOBAL 24 January 2019 USD positi

2、oning remains neutral.GBP shorts have moderated to-16 from-22 last week as the Trending Indicator component hasextended its large long positioning.EUR shorts have been cut to-12 and JPY longs cut to+18.CAD shorts have been squeezedleaving the market neutral on the CAD(at+1 from-8 last week).The mark

3、et has increased its NOK and CAD long positions to+14 and+10,respectively,andincreased short positions on the SEK and CHF to-8 and-9,respectively.The AUD is now the largest G10 short with shorts increased to a score of-17 over the week.Chart 1:BNP Paribas FX Positioning Analysis overall positioning*

4、Source:BNP Paribas*The positioning scores above are reported as apercentile based on the prior five years of data.These percentiles are rescaled to give a value between-50 and+50.Values above 40 and below-40 represent extreme positions.To interpret a score of-27,for example,add 50 to give 23.This te

5、lls us that 23%of observations over the past five years have been below the current observation.Client Exposure IMM Risk Reversals FX Fund Position Tracker BNPP Trending Indicator Buy Sell Pressure-3 29 6-32-5 16 USD-9 4 9-5-26-43 EUR 36-33 26 30 17 29 JPY-5-30-28-21 24-33 GBP-4-34-33-9-18 47 CHF-26

6、 8-18 39-11 12 CAD 4-23-29-8-17-26 AUD-23 19 35-13 8 33 NZD 43-27-3-13 16 NOK-10-18-9 3-42 SEK-17-16-12-9-8 1 2 10 14 18-50-40-30-20-1001020304050AUDGBPEURCHFSEKCADUSDNZDNOKJPY23-Jan-201916-Jan-2019SHORT LONG SHORT LONG SHORT LONG SHORT LONG Client exposure Internal sales desks estimate of FX invest

7、or exposureIMM The commitment of traders(COT)is a widely used proxy for US-based hedge-fund/CTA activityRisk reversals Risk reversals indicate the relative price of calls relative to puts,and thus incorporate an option“market sentiment”FX Fund position tracker Regression based decomposition of curre

8、ncy fund positioningBNPP trending indicator A technical measure of the strength of a currencys momentumBuy sell pressure An indicator of price momentum and direction that utilises tick data,aggressor information and price movements.The overall currency score is then calculated as the equally weighte

9、d average of the components MACRO QUANT STRATEGY|G10 FX 2 24 January 2019 Chart 2:Absolute total G10 positioning Three-year plot of G10 currency positioning scores Chart 3:USD overall positioning Chart 4:GBP overall positioning Chart 5:EUR overall positioning Chart 6:JPY overall positioning Chart 7:

10、AUD overall positioning Chart 8:CAD overall positioning All charts source:BNP Paribas All charts source:BNP Paribas MACRO QUANT STRATEGY|G10 FX 3 24 January 2019 Chart 9:NZD overall positioning Chart 10:CHF overall positioning Chart 11:NOK overall positioning Chart 12:SEK overall positioning All cha

11、rts source:BNP Paribas All charts source:BNP Paribas One-year plot of G10 currency positioning individual scores Chart 13:USD positioning components Chart 14:GBP positioning components Chart 15:EUR positioning components Chart 16:JPY positioning components All charts source:BNP Paribas All charts so

12、urce:BNP Paribas IMM last updated as of the 18th of Dec18,due to US partial government shutdown MACRO QUANT STRATEGY|G10 FX 4 24 January 2019 Chart 17:AUD positioning components Chart 18:CAD positioning components Chart 19:NZD positioning components Chart 20:CHF positioning components Chart 21:NOK p

13、ositioning components Chart 22:SEK positioning components All charts source:BNP Paribas All charts source:BNP Paribas MACRO QUANT STRATEGY|G10 FX 5 24 January 2019 STRATEGY CONTACTS STRATEGIST JOB TITLE LEGAL ENTITY PHONE Michael Sneyd,CFA Head of Macro Quantitative&Derivatives Strategy BNP Paribas

14、London branch 44 20 7595 1307 Sam Lynton-Brown,CFA Head of G10 FX Strategy,Europe BNP Paribas London branch 44 20 7595 8467 Parisha Saimbi G10 FX and Sterling Rates Strategist BNP Paribas London branch 44 20 75958351 Alex Jekov FX Strategist BNP Paribas London branch 44 20 7595 4185 Shaun Daly FX St

15、rategist BNP Paribas London branch 44 20 7595 1870 Daniel Katzive,CFA Head of FX Strategy North America BNP Paribas Securities Corp(New York)1 212 841 2408 Vasilis Koutsaftis FX Options Strategist BNP Paribas Securities Corp(New York)1 212 471 7973 Wike Groenenberg Head of Emerging Markets Research,

16、CEEMEA&APAC BNP Paribas London branch 44 20 7595 8746 Altaz Dagha APAC IR Strategist BNP Paribas Singapore Branch 65 6210 4994 Dawn Kwa Asia FX&IR Strategist BNP Paribas Singapore Branch 65 6210 3263 Tianhe Ji China Strategist BNP Paribas China Limited (Beijing)86 10 6535 0836 Gabriel Gersztein Head

17、 of Global Emerging Markets Strategy Banco BNP Paribas Brasil S.A.(Sao Paulo)55 11 3841 3421 Samuel Castro FX&IR Latam Strategist Banco BNP Paribas Brasil S.A.(Sao Paulo)55 11 3841 3492 Luca Maia FX&IR Latam Strategist Banco BNP Paribas Brasil S.A.(Sao Paulo)55 11 3841 3447 Andre Digiacomo FX&IR Lat

18、am Strategist Banco BNP Paribas Brasil S.A.(Sao Paulo)55 11 3841 3445 Kris Gjini Cross Asset Strategist BNP Paribas London branch 44 20 7595 1603 Benedicte Lowe Cross Asset Strategist BNP Paribas London branch 44 20 7595 1993 EDITORIAL AND PRODUCTION COVERAGE LEGAL ENTITY PHONE Amanda Grantham-Hill

19、Market Economics and Strategy BNP Paribas London Branch 44 20 7595 1687 Anna McLauchlin Market Economics and Strategy BNP Paribas London Branch 44 20 7595 3754 Elina Talvitie Market Economics and Strategy BNP Paribas London Branch 44 20 7595 2588 Jessica Bakkioui Market Economics and Strategy BNP Pa

20、ribas London Branch 44 20 7595 8478 Varghese Joseph Market Economics and Strategy BNP Paribas Securities Corp 1 212 841 3698 Online BNP Paribas Global Markets Website BNP Paribas Strategy Website Fixed Income Research BPFR Emerging Markets Research BPFR G10 Interest Rate Research BPBS Market Economi

21、cs BPEC MACRO QUANT STRATEGY|G10 FX 6 24 January 2019 Legal Notice LEGAL NOTICE This document has been written by our Strategist and Economist teams within the BNP Paribas group of companies(collectively“BNPP”);it does not purport to be an exhaustive analysis,and may be subject to conflicts of inter

22、est resulting from their interaction with sales and trading which could affect the objectivity of this report.This document is non-independent research for the purpose of the UK Financial Conduct Authority rules.For the purposes of the recast Markets in Financial Instruments Directive(2014/65/EU)(Mi

23、FID II),non-independent research constitutes a marketing communication.This document is not investment research for the purposes of MiFID II.It has not been prepared in accordance with legal requirements designed to provide the independence of investment research,and is not subject to any prohibitio

24、n on dealing ahead of the dissemination of investment research.The content in this document/communication may also contain“Research”as defined under the MiFID II unbundling rules.If the document/communication contains Research,it is intended for those firms who are either in scope of the MiFID II un

25、bundling rules and have signed up to one of the BNPP Global Markets Research packages,or firms that are out of scope of the MiFID II unbundling rules and therefore not required to pay for Research under MiFID II.Please note that it is your firms responsibility to ensure that you do not view or use t

26、he Research content in this document if your firm has not signed up to one of the BNPP Global Markets Research packages,except where your firm is out of scope of the MiFID II unbundling rules.STEER is a trade mark of BNPP.MARKETS 360 is a trade mark of BNP Paribas This document constitutes a marketi

27、ng communication and has been prepared by BNPP for,and is directed at,(a)Professional Clients and Eligible Counterparties as defined by the recast Markets in Financial Instruments Directive(2014/65/EU)(MiFID II),and(b)where relevant,persons who have professional experience in matters relating to inv

28、estments falling within Article 19(5)of the Financial Services and Markets Act 2000(Financial Promotion)Order 2005,and at other persons to whom it may lawfully be communicated(together“Relevant Persons”)under the regulations of any relevant jurisdiction.Any investment or investment activity to which

29、 this document relates is available only to and will be engaged in only with Relevant Persons.Any person who is not a Relevant Person should not act or rely on this document or its content.Securities described herein may not be eligible for sale in all jurisdictions or to certain categories of inves

30、tors.The information and opinions contained in this document have been obtained from,or are based on,public sources believed to be reliable,but there is no guarantee of the accuracy,completeness or fitness for any particular purpose of such information and such information may not have been independ

31、ently verified by BNPP or by any person.None of BNPP,any of its subsidiary undertakings or affiliates or its members,directors,officers,agents or employees accepts any responsibility or liability whatsoever or makes any representation or warranty,express or implied,as to the accuracy and completenes

32、s of the information or any opinions based thereon and contained in this document and it should not be relied upon as such.This document does not constitute or form any part of any offer to sell or issue and is not a solicitation of any offer to purchase any financial instrument,nor shall it or any

33、part of it nor the fact of its distribution form the basis of,or be relied on,in connection with any contract or investment decision.To the extent that any transaction is subsequently entered into between the recipient and BNPP,such transaction will be entered into upon such terms as may be agreed b

34、y the parties in the relevant documentation.Information and opinions contained in this document are published for the information of recipients,but are not to be relied upon as authoritative or taken in substitution for the exercise of judgment by any recipient,are subject to change without notice a

35、nd not intended to provide the sole basis of any evaluation of the instruments discussed herein.In providing this document,BNPP does not offer investment,financial,legal,tax or any other type of advice to,nor has any fiduciary duties towards,recipients.Any reference to past performance is not indica

36、tive of future performance,which may be better or worse than prior results.Any hypothetical,past performance simulations are the result of estimates made by BNPP,as of a given moment,on the basis of parameters,market conditions,and historical data selected by BNPP,and should not be used as guidance,

37、in any way,of future performance.To the fullest extent permitted by law,no BNPP group company accepts any liability whatsoever(including in negligence)for any direct or consequential loss arising from any use of or reliance on material contained in this document even where advised of the possibility

38、 of such losses.All estimates and opinions included in this document are made as of the date of this document.Unless otherwise indicated in this document there is no intention to update this document.BNPP may make a market in,or may,as principal or agent,buy or sell securities of any issuer or perso

39、n mentioned in this document or derivatives thereon.Prices,yields and other similar information included in this document are included for information purposes however numerous factors will affect market pricing at any particular time,such information may be subject to rapid change and there is no c

40、ertainty that transactions could be executed at any specified price.BNPP may have a financial interest in any issuer or person mentioned in this document,including a long or short position in their securities and/or options,futures or other derivative instruments based thereon,or vice versa.BNPP,inc

41、luding its officers and employees may serve or have served as an officer,director or in an advisory capacity for any person mentioned in this document.BNPP may,from time to time,solicit,perform or have performed investment banking,underwriting or other services(including acting as adviser,manager,un

42、derwriter or lender)within the last 12 months for any person referred to in this document.BNPP may be a party to an agreement with any person relating to the production of this document.BNPP may to the extent permitted by law,have acted upon or used the information contained herein,or the analysis o

43、n which it was based,before the document was published.BNPP may receive or intend to seek compensation for investment banking services in the next three months from or in relation to any person mentioned in this document.Any person mentioned in this document may have been provided with relevant sect

44、ions of this document prior to its publication in order to verify its factual accuracy.This document is for information purposes only and there is no assurance that a transaction(s)will be entered into on such indicative terms.Any indicative price(s)contained herein have been prepared in good faith

45、in accordance with BNPPs own internal models and calculation methods and/or are based on or use available price sources where considered relevant.Indicative price(s)based on different models or assumptions may yield different results.Numerous factors may affect the price(s),which may or may not be t

46、aken into account.Therefore,these indicative price(s)may vary significantly from indicative price(s)obtained from other sources or market participants.BNPP expressly disclaims any responsibility for the accuracy or completeness of its own internal models or calculation methods,the accuracy or reliab

47、ility of any price sources used,any errors or omissions in computing or disseminating these indicative price(s),and for any use you make of the price(s)provided.The indicative price(s)do not represent(i)the actual terms on which a new transaction could be entered into,(ii)the actual terms on which a

48、ny existing transactions could be unwound,(iii)the calculation or estimate of an amount that would be payable following an early termination of the transactions or(iv)the price(s)given to the transactions by BNPP in its own books of account for financial reporting,credit or risk management purposes.

49、As an investment bank with a wide range of activities,BNPP may face conflicts of interest,which are resolved under applicable legal provisions and internal guidelines.You should be aware,however,that BNPP may engage in transactions in a manner inconsistent with the views expressed in this document,e

50、ither for its own account or for the account of its clients.MACRO QUANT STRATEGY|G10 FX 7 24 January 2019 This document may contain certain performance data based on back-testing,i.e.simulations of performance of a strategy,index or assets as if it had actually existed during a defined period of tim

copyright@ 2008-2023 wnwk.com网站版权所有

经营许可证编号:浙ICP备2024059924号-2