巴黎银行-全球-投资策略-全球风险溢价模型现在更支持风险资产-20190328-8页_1mb

BNPP-Global Risk Premium Model Summary

Core Content

The document discusses the BNPP-Global Risk Premium Model (<BNPSGRP Index> on Bloomberg), a tool used by BNP Paribas to assess the probability of a market correction. The model is primarily used for short-term market moves rather than structural investment decisions.

The model's current state suggests that the worst is over, with values returning to neutral or high risk premium levels, indicating a more supportive environment for risk assets. This led to the decision to scale back positions at the end of January 2019 and re-enter the market fully in 2019.

The document also includes a detailed explanation of how the model works, addressing frequently asked questions and providing context for the model's effectiveness across different asset classes.

Main Points

• Model Purpose: The BNPP-Global Risk Premium Model is used to assess the probability of market corrections based on global risk appetite.
• Current Status: As of 28 March 2019, the model indicates that the worst is over, with risk premium levels returning to neutral or high.
• Asset Class Performance: The model has historically performed well as a contrarian indicator for the S&P 500, Emerging Market (EM) credit, and EM FX.
• Model Limitations: While the model has been profitable in over 75% of cases, it has not always been correct, especially during strong trends or idiosyncratic events.
• Risk vs. Risk Appetite: The document distinguishes between general risk and risk appetite, emphasizing that the model focuses on the latter.
• Methodology: The model uses Spearman rank correlation to analyze the relationship between asset risk (σ²) and excess returns, rather than the commonly used Pearson correlation.
• Daily Calculations: The model calculates the rolling 1-month excess return of 23 global assets and compares it with ex-ante risk levels.
• Legal and Regulatory Notes: The document is classified as non-independent research and marketing communication, intended for professional clients and eligible counterparties. It includes important disclosures related to ETFs, options, and convertible securities, highlighting potential conflicts of interest and regulatory restrictions.

Key Information

• The BNPSGRP Index is a key component of the model, used to track global risk appetite.

• The model's expected return formula is:

  $$
  \text{Expected Return} (Y) = \alpha + \theta (\sigma^2)
  $$

  Where:

  • $\alpha$ represents systemic or global risk.
  • $\theta$ represents risk appetite.
  • $\sigma^2$ is the variance of the asset.

• A change in risk appetite leads to price variations, with riskier assets being more sensitive to such changes.

• The model is not intended as investment advice and is subject to legal and regulatory constraints.

• Performance data is based on back-testing, and past performance does not guarantee future results.

• The model is not a prospectus or public offering and is confidential for Canadian recipients.

Annex: Risk Appetite Framework

• The model infers risk appetite from abnormally high or low risk premiums.
• It is based on the correlation between risk ex-ante and excess returns ex-post.
• Spearman rank correlation is used to account for non-linear relationships and extreme values.
• The model is designed to capture shifts in investor behavior rather than fundamental risk changes.

Legal and Compliance Notes

• The document is non-independent research and marketing communication.
• It is not investment research under MiFID II.
• Conflicts of interest may exist due to interactions with sales and trading.
• Confidentiality is emphasized, especially for Canadian recipients.
• The document may contain hypothetical or back-tested performance and is not indicative of future results.
• ETFs, options, and convertible securities are subject to specific disclosures and regulatory restrictions.

Conclusion

The BNPP-Global Risk Premium Model serves as a contrarian indicator for short-term market moves, with current values suggesting a more supportive environment for risk assets. While the model has shown positive performance in many cases, it is not foolproof and should be used in conjunction with professional judgment and independent advice. The document includes important legal and compliance disclosures and is not intended for retail investors.