外汇相对价值-何时追涨、何时止盈-Global Markets Daily_ Relative Value in FX – When to Chase and When to Fade (Jenkins)

Summary of Key Points from the Conference Call Industry Overview - The report focuses on the foreign exchange (FX) market, particularly on non-Dollar crosses and their relative value in the current economic environment [2][4]. Core Insights and Arguments - Dollar Performance: The Dollar's downtrend has stalled, but conditions are expected to favor a resumption of this downtrend in the coming months. Investors are seeking alternative sources of alpha in FX portfolios, particularly through relative value FX crosses [3][4]. - Behavioral Differences: Non-Dollar crosses exhibit mean reversion properties, while Dollar pairs show higher momentum. This is supported by momentum indicators such as moving averages and relative strength indices (RSIs) [3][8]. - Mean Reversion Opportunities: The best mean reversion opportunities arise after sharp moves in relative value crosses that diverge from cyclical fundamentals, as indicated by the GSBEER model [3][25]. - Current Focused Crosses: EUR/CHF and AUD/NZD are highlighted as major relative crosses with notable recent directional momentum. Tactical mean reversion is suggested for EUR/CHF (upside) and AUD/NZD (downside) [30][31]. - Sterling Underperformance: There is an expectation for Sterling to underperform against currencies like EUR, NOK, and SEK [30]. Important but Overlooked Content - Correlation Analysis: Most non-Dollar crosses have low correlation with the trade-weighted Dollar, with specific currencies like CAD, CNH, and SGD potentially introducing synthetic Dollar exposure [5][7]. - Intra-Regional vs. Cross-Regional: Intra-regional crosses tend to have lower volatility and clearer mean reversion properties compared to cross-regional pairs, which are influenced by different structural trends [8][11]. - Momentum Indicators: The report emphasizes that momentum signals are more reliable when combined with cyclical fair value models, enhancing the quality of trading signals [25][29]. - Statistical Evidence: The report provides statistical evidence showing that non-Dollar crosses tend to mean-revert after extreme RSI levels, while Dollar pairs typically continue in the same direction [14][15]. Conclusion - The FX market is currently characterized by a complex interplay of momentum and mean reversion dynamics, with specific focus on non-Dollar crosses. Investors are advised to consider these factors when making trading decisions, particularly in light of the current economic uncertainties and the anticipated return of the Dollar's downtrend [4][30].