20171031-法国巴黎银行-Introducing_BNP_Paribas_Base_Metals_Positioning_Score_12页_347kb

COMMODITY QUANT STRATEGY SUMMARY

Core Content

This report introduces the BNP Paribas Base Metals Positioning Score, a tool designed to monitor the positioning of speculators in key industrial metals: copper, aluminium, nickel, and zinc. The analysis is conducted by the Commodity Quant Strategy team at BNP Paribas, with contributions from several senior strategists. The report highlights the current state of market positions and stock levels for these metals and provides insights into their valuation using the positioning score.

The report is weekly updated and is part of a broader strategy that intends to apply the same methodology to energy and precious metals in the future. It also includes a proxy for global macro hedge fund allocations to base metals, derived from performance data and statistical models.

Key Metals and Their Positioning

Copper

• Positioning Score: 68.3%, slightly unchanged from the August 2017 peak.
• Speculative Positions: At levels where a price retracement typically occurred in the past.
• Stock Levels: Deliverable stocks in Shanghai Futures Exchange are at very low levels, which is the only technical support for copper prices.
• Conclusion: Copper is considered overbought based on the positioning score, supporting the short copper recommendation.

Nickel

• Positioning Score: 68.1%, similar to its January 2017 high.
• Stock Levels: Deliverable stocks in Shanghai Futures Exchange have been steadily declining since Q1 2017.
• Conclusion: Nickel is also overbought, reinforcing the short nickel position.

Aluminium

• Positioning Score: 82.2%, near its March 2017 peak.
• Stock Levels: Shanghai deliverable stocks and LME net speculative positions are at levels where price corrections have historically occurred.
• Conclusion: Aluminium is deemed expensive, supporting the short aluminium recommendation.

Zinc

• Positioning Score: 83.3%, approaching the Q1 2017 high.
• Stock Levels: LME and Shanghai deliverable stocks remain at relatively low levels.
• Speculative Positions: Net speculative positions are at historical highs, over 95% percentile.
• Conclusion: Zinc is overbought, indicating potential for price stabilization or decline.

Methodology Overview

• The Base Metals Positioning Monitor tracks the relationship between speculative positions and inventories across major exchanges:
  • Commodity Exchange Centre (Comex)
  • London Metal Exchange (LME)
  • Shanghai Futures Exchange (SHFE)
• Data Sources:
  • Speculative net positions from money manager net contracts (LME) and CFTC non-commercial net contracts (Comex).
  • Warehouse stocks (LME) and deliverable stocks (SHFE).
• Normalization:
  • Stock and inventory series are normalized using a 1-year rolling z-score.
  • Speculative net positions are normalized by dividing by open interest.
• Oscillator Transformation:
  • All series are converted into an oscillator with bands from 0% to 100%.
  • The overall positioning score is a weighted average of normalized stock and speculative position series.

Global Macro Hedge Funds Allocation

• A proxy for global macro fund allocations to base metals is derived using:
  • The IQ Hedge Macro Total Return Index.
  • Ridge regression to reduce co-linearity.
• The index is a function of:
  • The spread between base metals and global equities returns.
  • The Bloomberg Barclays Global-Aggregate Total Return Index Value Unhedged.
• Results:
  • Global macro funds may have reduced base metals allocation in the last 30 business days.
  • This is reflected in the betas between fund performance and the spread of base metals vs. global equities.

Important Information

• The report is non-independent research and may be subject to conflicts of interest.
• It is intended for professional clients and relevant persons as defined by MiFID and other financial regulations.
• Securities may not be eligible for sale in all jurisdictions or to certain investors.
• Performance data is based on back-testing and is not indicative of future results.
• Indicative prices are based on internal models and may vary significantly from other sources.
• Options and ETFs mentioned in the report involve high risk and are only suitable for sophisticated investors.
• BNP Paribas and its affiliates may engage in transactions that are inconsistent with the views expressed in the report, either for their own account or for clients.

Contacts

Legal Disclaimer

• This document is not investment research and is not intended to be relied upon as an independent analysis.
• It is not a prospectus or public offering and does not constitute an offer to buy or sell securities.
• BNP Paribas may have financial interests in the securities discussed, including long or short positions.
• The information is confidential and may not be distributed without prior written consent.
• BNP Paribas disclaims all responsibility for the accuracy or completeness of the information provided.

Date

• 31 October 2017