巴黎银行-全球-宏观经济-巴黎银行MAR模型：繁荣监测.pdfVIP

    Please refer to important information at the end of the report and MAR disclosure. Key points from BNP Paribas MarFA™ BNP Paribas MarFA™ is our cross-asset quant framework that monitors the correlations, driving factors and valuations of 75 assets across rates, equities, credit, FX and commodities. In this update we have selected the most relevant signals from both the long-term variant (MarFA™ Macro, based on 12m correlations) and the short-term (MarFA™trading, based on 3m correlations). The framework identifies ‘macro factors’ and ‘market factors’ that correspond with asset class performance and signal mispricings in assets that are likely to correct over the next 1-2 months (macro) or 1-2 weeks (trading). MarFA™ Macro identifies the following variables to be the macro factors driving assets. We recommend monitoring these carefully.  Macro factor #1: Economic activity, captured by survey data such as PMIs - This is the single most important factor, explaining around 53% of the total variance of asset universe and is particularly important for performance of equities and credit.  Macro factor #2: Inflation expectations, captured by 5y5y inflation and surveys - Important for performance of 10y rates and curves.  Macro factor #3: Economic data surprises in developed markets, especially the US  Important for USD FX pairs and fixed income. MarFA™ Trading identifies the following variables to be the market factors driving assets. We recommend monitoring these carefully.  Market factor #1: US 5y real yields - This factor explains 46% of the total variance of the asset universe and is importance across rates, equ