高盛G69页全球外汇交易策略深度研究报告 英文

C$US$MXNBRLARSZARINRA$SEKNOK£€RUBCNYHK$NZ$PLNCHF¥QE2isanimportantfactorforfurtherpotentialappreciationofEMcurrencies.„ButtheweakUSBBoPpositionremainsthemainunderlyingdriverofUSDtrendweakness.„Weremaincautiousaboutnear-termdevelopmentsinFXasrisksentimentmaychange.„EuropeansovereignissuesandAsianpolicytighteningdeserveattention.„TheGlobalFXMonthlyAnalystNovember2010TheGlobalFXMonthlyAnalystGoldmanSachsGlobalEconomics,CommoditiesandStrategyResearchNovember2010ContentsOverviewRecommendedFXTradeIdeasiFeatureiiG3USDollar1Euro3JapaneseYen5Europe,MiddleEast&AfricaBritishPound7CzechKoruna8HungarianForint9IsraeliShekel10NorwegianKroner11PolishZloty12RussianRuble13SouthAfricanRand14SwedishKrona15SwissFranc16TurkishLira17AmericasArgentinePeso18BrazilianReal19CanadianDollar20ChileanPeso21ColombianPeso22MexicanPeso23PeruvianNewSol24VenezuelaBolivar25AsiaAustralianDollar26ChineseYuan27HongKongDollar28IndianRupee29IndonesianRupiah30KoreanWon31MalaysianRinggit32NewZealandDollar33PhilippinePeso34SingaporeDollar35TaiwanDollar36ThaiBaht37FXAnalyticsInterestRateForecasts38GSSentimentIndex39FXCurrents41GSTradeWeightedIndices43GSAnecdotalFlows45GSDEER47KeyEconomicData49PolicyRateForecasts54ExchangeRateForecasts55iTheGlobalFXMonthlyAnalystGoldmanSachsGlobalEconomics,CommoditiesandStrategyResearchNovember2010RecommendedFXTradeIdeasPleaseseeourGlobalMarketsDailyCommentandTradeUpdatesforchangesintheselivetradingstrategies,astheychangeinlinewithmarketdevelopmentsandourviews.TacticalFXTradePerformanceFiscalYear2010NumberCumReturnAvgReturnAvgDurationAllTrades29-1.0%-0.04%31daysProfitable1237.7%3.14%46daysLoss-Making17-38.7%-2.28%20daysFXIdeasinourTopTradesfor2010TradeEntryLevelTarget2.LongRussianEquities(RDXUSD),FXunhedged1645.920503.LongGBP/NZD2.292.607.Long'Growth'FXCurrent103.5111.88.LongPLN/JPY32.137.5Last20TacticalFXRecommendationsOpenQuoteCloseQuotePotentialDayTimeDayTimeReturnLongEURUSD12-Mar-1009:5124-Mar-1017:001.37351.3353-2.78%ShortUSDTWD31-Mar-1001:4721-May-1017:0031.740032.1500-1.28%ShortUSDSGD01-Apr-1002:4215-Apr-1012:551.39761.37231.84%LongTRYBRL14-Apr-1014:5117-Jun-1014:451.17781.1391-3.78%ShortEURGBP21-Apr-1021:2312-May-1011:040.86950.84952.35%ShortUSDMXN07-May-1016:5602-Jul-1018:1612.860813.0818-1.69%Long(MYR,IDR,PHP)JPY10-May-1001:5920-May-1017:00100.000096.5287-3.47%ShortUSDPLN10-May-1013:5221-May-1017:003.11103.2578-4.51%ShortUSDCNY(expiry10jun11)10-Jun-1015:2409-Nov-1017:006.75506.50803.80%ShortUSDKRW21-Jun-1015:1825-Jun-1017:001173.50001215.1000-3.42%ShortUSDPHP21-Jun-1015:2224-Jun-1017:0045.750046.1000-0.76%LongAUDCAD08-Jul-1015:4818-Aug-1017:000.91050.92511.60%ShortUSDSGD13-Jul-1000:3119-Aug-1003:531.38141.35152.21%ShortGBPSEK03-Aug-1018:1011-Aug-1013:0211.296311.4599-1.43%ShortMXNCLP05-Aug-1013:4715-Sep-1017:0041.181238.52616.71%ShortEURAUD09-Sep-1016:5101-Oct-1017:001.37551.4166-2.91%ShortINRKRW13-Sep-1005:1909-Nov-1017:0025.109125.06000.20%ShortMXNCLP21-Sep-1014:0709-Nov-1017:0038.996839.0503-0.14%ShortEURCHF24-Sep-1007:4101-Oct-1017:001.31191.3423-2.26%ShortEURCHF19-Oct-1017:3324-Oct-1017:001.34251.3637-1.55%DescriptionOpenCloseiiTheGlobalFXMonthlyAnalystGoldmanSachsGlobalEconomics,CommoditiesandStrategyResearchNovember2010FeatureAftertheQEAnnouncementWediscusstheoutlookfortheUSDaftertheQE2announcementbytheFed.WhileclearlyaUSD-negativedevelopment,weemphasisethatotherissues,inparticularpersistentexternalimbalances,remainatleastasimportantforthemedium-termoutlook.TheQE2decisionalsohasanimportantimpactonongoingG20negotiationsandthegrowinguseofcapitalcontrols.OurviewontheseissuesisthattheglobalrebalancingdebatewillcontinuetomakeslowbutsteadyprogressandthatcapitalcontrolswillnotderailtheunderlyingDollardepreciationtrend.Finally,wediscussnear-termriskstoourviews,mostofwhichwehavehighlightedinrecentmonths.AdeclineinrisksentimentandtherelatedDollar-boostingimpactviacrossassetcorrelationsremainsthekeyissue.Intermsofpotentialcatalysts,wearecurrentlyfocusingon:thepossibilitythattherecentUSdataimprovementwasonlytemporary;risingtensionsoverEuropeansovereignissues(again);atighteninginChina,andpotentiallyslowinggrowthmomentuminAsia.Allofthesewouldonlybeatemporaryconcerninourbasecasebutneverthelessdeservecarefulscrutiny.1.AftertheFedDecisionAtitslastFOMCmeetingtheFedannouncedthesecondinstalmentofQuantitativeEasing(QE2),broadlyinlinewithexpectations.NewTreasurypurchasesaimedatextendingtheFedbalancesheetcouldamounttoasmuchas$600bnoveraperiodofeightmonths.Inaddition,theFedwillshifttheequivalentof$300bnfromMBStotheTreasurymarket.ThetotalprojectedincreaseinTreasuryholdingsbythecentralbankwillthereforebeabout$900bn,whichcorrespondsalmostexactlytotheprojectedfederalbudgetdeficitoverthesameperiod.TheUSAdministrationprojectsdeficitsbetween$1.3trnand$1.4trnin2010and2011,whichpro-ratedforaneight-monthperiodisabout$900bn.GivenhowfartheUSeconomyisawayfromtheFed’stwinpolicytargetsoninflationandemployment,wethinkthetotalsizeofQE2willultimatelyamounttoabout$2trn,orroughly20%oftheUSTreasurymarket.Thetrade-weightedDollarweakenedthroughoutthe