20180104-法国巴黎银行-COMMODITY_QUANT_STRATEGY_9页_287kb

报告摘要

COMMODITY QUANT STRATEGY SUMMARY

Core Content

This document provides an analysis of the factors influencing base metal prices using the MarFA™ Metals framework, which is based on Principal Component Analysis (PCA). The report is produced by BNP Paribas and highlights the dominant market drivers, both weekly and daily, for base metals such as aluminum, zinc, copper, nickel, and lead.

Main Market Drivers

Weekly Market Drivers (Last 35 Weeks)

The first market component has been the primary driver of base metal prices, explaining 91.2% of price variations.
Key drivers of the first component include:
- CNY (Chinese Yuan) on a trade-weighted basis
- Baltic Dry Index (proxy for global growth and commerce)
- China 10-year government bond yield
The second and third components have lost explanatory power, with the second component now explaining less than 5.2% of price variations.

Daily Market Drivers (Last 35 Business Days)

The first market component now explains ~70% of daily price movements, up from ~20% previously.
The second and third components have dropped significantly, with the second component explaining less than 20% of daily price variations.
Key drivers of the first component include:
- China 1-year lending rate
- Change in warehouse stocks
- Consolidated speculative positions
The second component is influenced by:
- US consumer comfort index
- US 5y5y real rates
- Global financial conditions

Key Findings

China remains a central factor in determining base metal prices, both on a trade-weighted basis and through its economic indicators and interest rates.
The Baltic Dry Index serves as a proxy for global growth and commerce, showing strong correlation with base metal prices.
The first market component has increased in explanatory power over time, indicating stronger alignment with market variables.
The second and third components have lost relevance, with minimal or no impact on price variations.
The modelled fair value of base metals based on the first component is almost in line with actual market prices, with a difference of -3%, which is not statistically significant.
No trade recommendations have been triggered due to the lack of significant deviation between model and market prices.

Strategy Insights

The strategy uses PCA to identify the main factors driving base metal prices.
A function is proposed to model the weekly fair value of base metals using:
- Baltic Dry Index
- CNY trade-weighted index
- China interest rates
The results suggest that base metals have adjusted to the model's value, indicating that the market is efficiently pricing in these variables.

Additional Recommendations

The report recommends complementing the conclusions with the following links:
- Commodities and the Fed: should we be worried?
- Copper: A tale of two forces
- Iron ore: Look at the RMB and see the future

Legal and Regulatory Information

The document is non-independent research and is intended for professional clients.
It is not investment research under MiFID and not suitable for retail investors.
BNP Paribas may have financial interests in the entities mentioned and may have acted on information before publication.
The document is subject to legal restrictions in various jurisdictions, including:
- UK: Non-independent research, for professional clients.
- France, Germany, Belgium, Ireland, Italy, Netherlands, Portugal, Spain, Switzerland, Canada, and the US: Specific regulations apply depending on the jurisdiction.