巴黎银行-全球-资本市场-资产组合投资策略-20180207-17页.pdfVIP

     Please refer to important information at the end of the report and MAR disclosure. Key points from BNP Paribas MarFA™ Macro 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 focus on the most relevant signals from both the long-term variant: MarFA™ Macro, based on 12m correlations. The framework identifies ‘macro factors’ that correspond with asset class performance and signal mispricing in assets that are likely to correct over the next 1-2 months. These driving factors are largely unchanged from our last update on 16 January. 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, 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. Our short-term variant, MarFA™ Trading, identifies the following variables to be the market factors that are important for assets. These should also be monitored carefully in the current market environment:  Market factor #1: US 5y real yields - Importance across rates, equities, FX, credit and commodities.  Market factor #2