巴黎银行-全球-量化策略-全球宏观量化策略研究-20190805-11页.pdf

MACRO QUANT STRATEGY | G10 FX Please refer to important information at the end of the report FLASH | GLOBAL 5 August 2019 Michael Sneyd, CFAAlex Jekov, Head of Macro Quantitative & Derivatives Strategy | Kris Gjini, FX Strategist | , Macro Quant Strategist | Benedicte Lowe , Cross Asset Strategist | BNP Paribas London Branch ™ GBP shorts extend to a score of -37, driven by the Buy Sell Pressure component buildingextreme GBP shorts.USD shorts unwind to a score of -5, with the IMM and BNPP Trending Indicator componentsturning positive on USD.JPY and CHF longs extend to scores of +28 and +19 respectively.AUD shorts build to a score of -27, while NZD positioning shifts from a moderate long to anegative score of -9.SEK shorts continue to extend, while NOK positioning is now net short with a score of -8.Fig. 1: BNP Paribas FX Positioning Analysis – overall positioning* Source: BNP Paribas*The positioning scores above are reported as a percentile 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 tells us that 23% of observations over the past five years have been below the current observation. **Following the discontinuation of the BTOP FX Index, the series used in the FX Fund Position Tracker has changed to the Parker Global Currency Manager Index. Please contact us for further details. Client Exposure IMM Risk Reversals FX Fund Position Tracker** BNPP Trending Indicator Buy Sell Pressure 6 2 -22 -2 12 -27 USD -5 -1 -25 -8 -3 -2 EUR 24 26 -4 34 41 49 JPY -40 -48 -35 -22 -37 -41 GBP 14 -5 -11 31 37 47 CHF 12 39 42 -38 39 31 CAD 1 -35 -2 -50 -34 -42 AUD -26 -28 42 -50 1 7 NZD 36 - 15 -50 -30 -11 NOK -28 - -8 -40 -25 -32 SEK -37 -27 -27 -9 -8 -7 -5 19 21 28 -50-40-30-20-1001020304050GBPAUDSEKNZDNOKEURUSDCHFCADJPY05-Aug-201929-Jul-2019SHORT LONG SHORT LONG SHORT LONG SHORT LONG Client exposure – Internal sales desks’ estimate of FX investor exposure.IMM – The commitment of traders (COT) is a widely used proxy for US-based hedge-fund/CTA activity.Risk 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 currency fund positioning.BNPP trending indicator – A technical measure of the strength of a currency’s momentum.Buy 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-weighted average of the componentsMACRO QUANT STRATEGY | G10 FX 2 05 August 2019 Fig. 2: Absolute total G10 positioning Three-year plot of G10 currency positioning scores Fig. 3: USD overall positioning Fig. 4: GBP overall positioning Fig. 5: EUR overall positioning Fig. 6: JPY overall positioning Fig. 7: AUD overall positioning Fig. 8: CAD overall positioning All chart sources: BNP Paribas All chart sources: BNP Paribas MACRO QUANT STRATEGY | G10 FX 3 05 August 2019 Fig. 9: NZD overall positioning Fig. 10: CHF overall positioning Fig. 11: NOK overall positioning Fig. 12: SEK overall positioning All chart sources: BNP Paribas All chart sources: BNP Paribas One-year plot of G10 currency positioning – individual scores Fig. 13: USD positioning components Fig. 14: GBP positioning components Fig. 15: EUR positioning components Fig. 16: JPY positioning components All chart sources: BNP Paribas All chart sources: BNP Paribas MACRO QUANT STRATEGY | G10 FX 4 05 August 2019 Fig. 17: AUD positioning components Fig. 18: CAD positioning components Fig. 19: NZD positioning components Fig. 20: CHF positioning components Fig. 21: NOK positioning components Fig. 22: SEK positioning components All chart sources: BNP Paribas All chart sources: BNP Paribas MACRO QUANT STRATEGY | G10 FX 5 05 August 2019 STRATEGY CONTACTS STRATEGIST JOB TITLE LEGAL ENTITY PHONE Michael Sneyd, CFA Head of Macro Quantitative & Derivatives Strategy BNP Paribas 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 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 (i) Altaz Dagha (ii) APAC IR Strategist (iii) BNP Paribas Singapore Branch 65 6210 4994 (iv) Dawn Kwa (v) Asia FX & IR Strategist (vi) BNP Paribas Singapore Branch 65 6210 3263 Tianhe Ji Head of FX LM Strategy for Global Markets China BNP Paribas China Limited (Beijing) 86 10 6535 0836 Gabriel Gersztein Head of Global Emerging Markets Strategy Banco BNP Paribas Brasil S.A. (Sao Paulo) 55 11 3841 3...