20171017-法国巴黎银行-Factor_model_triggers_a_short_copper_position_8页_218kb

Commodity Quant Strategy Summary

Core Content

This document outlines the current position and strategy for copper and other commodities within the BNP Paribas Commodity Quant Strategy. The strategy is based on a combination of factor models and trading signals, aiming to identify short-term market dislocations and medium-term fair values.

Key Information

• Copper Position: The strategy currently holds a short position in copper, based on the factor model's assessment that copper is significantly above its fair value. The trade involves selling 3M LME Copper at USD 7,128/MT, with an allocation of 20 contracts.
• Initial Target: The initial target for the short position is USD 6,600/MT.
• Dynamic Stop Loss: A stop loss is set at USD 7,400/MT to manage risk.
• Model Fair Value: The updated factor model suggests a fair price of USD 6,500/MT for Q1 2018.
• Trading Signals: Both the factor model and MarFA™ are used to generate trading signals, with the strategy allocating positions based on the signals from each.

Main Views

• The strategy maintains a short position in copper due to its current overvaluation relative to the factor model.
• The appreciation of copper has been too rapid in the short-term, indicating a potential overbought condition.
• The strategy aims to take profits on the short position as it approaches the target price.
• Copper is considered to be in an upward trend, but the strategy believes it is overextended and may experience a correction.

Key Commodities and Signals

Models Overview

The Commodity Quant Strategy employs the following models:

• Short-Term Trading Model: Based on financial market drivers to identify short-term dislocations and generate trading signals.
• MarFA™ Model: Applied to energy and base metals to generate trading signals.
• Factor Model: Used for medium-term fair-value estimation, incorporating supply and demand dynamics, inventories, and positioning.

Contacts

Legal Notice

• This document is non-independent research and constitutes a marketing communication.
• It is not intended as investment advice and should not be relied upon for making investment decisions.
• BNP Paribas may have conflicts of interest due to its involvement in trading, underwriting, and advisory services.
• The information is based on public sources and may not be independently verified.
• Indicative prices are provided for informational purposes and do not represent actual transaction terms.
• No liability is accepted for any use of the information contained in this document.
• The document may contain back-tested performance data, which is for illustrative purposes only.
• All information is subject to change without notice.

Disclaimer

• The information and opinions contained in this document are not guaranteed to be accurate or complete.
• Past performance is not indicative of future results.
• Transactions may involve a high degree of risk and may be highly volatile.
• BNP Paribas and its affiliates may hold positions or act as market makers in the financial instruments discussed.
• This document is for information purposes only and may not be reproduced or distributed without prior written consent.