20160906-法国巴黎银行-Trading_Signals_11页_399kb
报告摘要
BNP Paribas STEER™ Model Summary
Core Content
The BNP Paribas STEER™ Model provides trading signals for various currency pairs based on short-term fair value analysis. It uses a z-score deviation to indicate whether a currency pair is overvalued or undervalued relative to its fundamentals. The model also includes notes on the rationale behind the signals and the impact of market conditions on the fair value estimates.
Main Trading Signals
New Signals
- 06-Sep-16: SHORT USDBRL at 3.2832, targeting 3.2481, with a stop loss at 3.3007. Return: 0.00%.
Closed Signals
- No closed signals were reported for the current update.
Existing Signals
- 05-Sep-16: SHORT GBPUSD at 1.3305, targeting 1.3031, with a stop loss at 1.3495. Return: -0.21%.
- 01-Sep-16: LONG EURGBP at 0.8480, targeting 0.8627, with a stop loss at 0.8321. Return: -1.34%.
- 01-Sep-16: SHORT USDCOP at 2971.7700, targeting 2946.3640, with a stop loss at 2984.4730. Return: 0.60%.
- 02-Sep-16: SHORT USDPEN at 3.3945, targeting 3.3678, with a stop loss at 3.4078. Return: -0.09%.
Recently Closed Signals
- 17-Aug-16: SHORT EURSEK at 9.4843, closed at 9.5542 (31-Aug-16). Return: -0.74%.
- 01-Sep-16: SHORT EURPLN at 4.3638, closed at 4.3787 (02-Sep-16). Return: -0.34%.
- 02-Sep-16: SHORT USDZAR at 14.6407, closed at 14.4220 (02-Sep-16). Return: 1.49%.
- 02-Sep-16: SHORT USDCLP at 680.5700, closed at 676.9800 (02-Sep-16). Return: 0.53%.
Key Observations
- GBP Overvaluation: STEER continues to signal that GBP is overvalued against USD and EUR.
- EURGBP: The long EURGBP signal targets 0.8627. The current spot rate is at 0.8370, with a z-score of -1.42, indicating it is undervalued.
- USDCOP and USDPEN: STEER is short USDCOP and USDPEN. The fair value of USDCOP has been lowered due to recent equity market strength in Colombia, but the spot rate has not fully reacted.
- USDBRL: A short signal was initiated for USDBRL, with the spot rate rising unjustified by fundamentals.
- Other Pairs: The model has signals for various currency pairs in different regions, including CEEMEA, Asia, and Latin America.
Z-Score Analysis
| Currency | STEER | Spot | z-score |
|---|---|---|---|
| EURGBP | 0.8627 | 0.8370 | -1.42(-3.13%) |
| EURNOK | 9.2797 | 9.2220 | -0.76(-0.63%) |
| EURUSD | 1.1242 | 1.1150 | -0.62(-0.81%) |
| USDCAD | 1.2943 | 1.2910 | -0.27(-0.26%) |
| AUDUSD | 0.7660 | 0.7630 | -0.26(-0.39%) |
| NZDUSD | 0.7299 | 0.7330 | 0.29(0.45%) |
| EURCHF | 1.0875 | 1.0930 | 0.70(0.48%) |
| GBPUSD | 1.3031 | 1.3330 | 1.25(2.25%) |
| EURSEK | 9.3643 | 9.5410 | 1.82(1.85%) |
| USDJPY | 99.50 | 103.60 | 1.94(3.96%) |
Driving Factors
- The model considers short-term fundamentals and market reactions when generating signals.
- In EM, the recent rise in spot rates for some currencies is not fully aligned with their fair value, likely due to market dynamics and external factors.
- In Latin America, the fair value of USDBRL and USDCOP has not fully reflected recent equity market changes.
Global Strategy Contacts
Cross Asset Strategy
- Michael Sneyd, CFA: Macro Quantitative Strategist, London, Tel: 44 20 7595 1307, Email: michael.sneyd@uk.bnpparibas.com
- Steven Saywell: Global Head of FX Strategy, London, Tel: 44 20 7595 8487, Email: steven.saywell@uk.bnpparibas.com
- Sam Lynton-Brown: FX Strategist, London, Tel: 44 20 7595 8467, Email: sam.lynton-brown@uk.bnpparibas.com
- Clara Leonard: FX Strategist, London, Tel: 44 20 7595 1424, Email: clara.leonard@uk.bnpparibas.com
- Daniel Katzive, CFA: Head of FX Strategy North America, New York, Tel: 1 212 841 2408, Email: daniel.katzive@us.bnpparibas.com
- Vasilis Koutsaftis: FX Options Strategist, New York, Tel: 1 212 471 7973, Email: vasilis.koutsaftis@americas.bnpparibas.com
Emerging Markets FX & IR Strategy
- Wike Groenenberg: Global Head of EM Strategy, London, Tel: 44 20 7595 8746, Email: wike.groenenberg@uk.bnpparibas.com
- Piotr Chwieczak: FX & IR CEEMEA Strategist, London, Tel: 44 20 7595 8715, Email: piotr.chwieczak@uk.bnpparibas.com
- Erkin Isik, CFA: FX & IR CEEMEA Strategist, Istanbul, Tel: 90 216 635 2987, Email: erkin.isik@teb.com.tr
- Mirza Baig: Head of FX & IR Asia Strategy, Singapore, Tel: 65 6210 3262, Email: mirza.s.baig@asia.bnpparibas.com
- Jennifer Kusuma: FX & IR Asia Strategist, Singapore, Tel: 65 6210 3263, Email: jennifer.kusuma@asia.bnpparibas.com
- Altaz Daghla: AU/NZ IR Strategist, Singapore, Tel: 65 6210 4994, Email: altaz.daghla@asia.bnpparibas.com
- Kun Shan: China Strategist, Shanghai, Tel: 86 21 2896 2773, Email: kun.shan@asia.bnpparibas.com
- Tianhe Ji: China Strategist, Shanghai, Tel: 86 21 2896 2785, Email: tianhe.ji@asia.bnpparibas.com
- Gabriel Gersztein: Head FX & IR Latam Strategy, Sao Paulo, Tel: 55 11 3841 3421, Email: gabriel.gersztein@br.bnpparibas.com
- Samuel Castro: FX & IR Latam Strategist, Sao Paulo, Tel: 55 11 3841 3492, Email: samuel.castro@br.bnpparibas.com
- Gustavo Mendonca: FX & IR Latam Strategist, Sao Paulo, Tel: 55 11 3841 3445, Email: gustavo.mendonca@br.bnpparibas.com
Production and Distribution
- The document is produced by BNP Paribas and distributed to specific clients in different regions.
- It is not intended for retail clients and is subject to legal and regulatory limitations.
- The report may be subject to conflicts of interest due to the interaction with sales and trading teams.
Disclaimer
- This document is not independent investment research and may not be relied upon as such.
- No liability is accepted for any loss arising from reliance on the information contained in this report.
- All information is based on public sources and may be subject to change without notice.
- The report is not intended to be a substitute for professional judgment.
展开完整摘要
试读结束，高清完整版pdf/doc/ppt,请点下载
