- See more at: http://blogtimenow.com/blogging/automatically-redirect-blogger-blog-another-blog-website/#sthash.CpFtWfic.dpuf Traders digest: JP Morgan commodity currencies fair values according to quants

Monday 24 September 2012

JP Morgan commodity currencies fair values according to quants

JPM Short-Term Model For USD/CAD- fair value at 0.99-1.5% above the current spot level.
Model's variables include: 2Y yield spread (vol adjusted), WTI crude, and the CRB commodity index. (Makes sense why the longterm hedgefunds from UK and US were buying
JPM Long-Term Model For USD/CAD: fair value at 1.00- 2.5% above the current spot rate.
Model's variables include: the TSX equity index, global manufacturing PMI, and the Bank of Canada commodity price index.
JPM Short-Term Model For AUD/USD: fair value at 0.97- 7% below today’s level.
Model's variables include: 2Y yield spread (vol adjusted) and the CRB metal price index.
JPM Long-Term Model For AUD/USD: fair value at 0.90- 14% below today’s level.
Model's variables include: 10yr spread, Chinese manufacturing PMI, global manufacturing PMI, and the RBA commodity index.
JPM Short-Term Model For NZD/USD: fair value at 0.83, which is close to the current spot level.
Model's variables include: 2Y yield spread (vol adjusted), CRB food index, and milk futures prices.
JPM Long-Term Model For NZD/USD: fair value at 0.72-13% below the current level.
Model's variables include: the global manufacturing PMI, China manufacturing PMI, and ANZ world commodity price index.

more 

their year end forcasts on the other pairs are EURUSD- 1.30 GBPUSD- 1.62 USDJPY- 78

No comments:

Post a Comment