全球-宏观策略-全球外汇地图：商品货币为何表现不佳？.pptx

Contents
Why modity currencies underperformed?...........3
G10: EUR's political risks re-emerge; yields lift USD............9
EM: Sources of pressure on EM FX starting to abate….…11
Thesis Maps
Dollar……………………………………………………………...13 Euro………………………………………………………………..15 Japanese Yen…………………………………………………….17 British Pound……………………………………………………..19 Swiss Franc………………………………………………………..21 Canadian Dollar……………………………………………….....23
Australian Dollar………………………………………………...25
New Zealand Dollar……………………………………………..27 Norwegian Krone………………………………………………..29 Swedish Krona…………………………………………………...31 Gold………………………………………………………………..33 Brazilian Real…......................................................................35
Chinese Yuan…………………………………………………….37 Indian Rupee….......................................................................39
Mexican Peso……………………………………………………..41 Turkish Lira………………………………………………….........43
UBS G10 FX Views Summary…………………………………..45 UBS EM FX Views Summary……………………………………46 UBS G10 FX Forecasts and Models……………………………47 UBS EM FX Forecasts and Models…………………………….49 UBS FX Trades Tracker………………………………………….51
Global Macro Strategy 13 June 2018
 2
Commodity currencies have underperformed
Despite a 20% rise modity prices since March 2016, commodity currency performance has been tepid. Commodity currencies haven’t performed terribly – indeed, within G10 FX, AUD and NZD are the first and third best performers (on a total return basis) during this time. But given the magnitude of the move modity prices, the degree of appreciation appears small.
Since March 2016, the CRB index is up 20%, and on historical betas, this would suggest that AUD, NZD, CAD, CLP, and NOK should have risen %, %, %, %, and %, respectively. However, with the exception of CLP, all have underperformed significantly (Figure 1).
In addition to being large in magnitude, the rise in modity prices has been mostly synchronized during this time. This is important, as we find modity currencies tend to pe