20171013-法国巴黎银行-Multifactor_model__Iron_Ore_update_8页_231kb

COMMODITY QUANT STRATEGY Summary

Core Content

This document provides an update on the Iron Ore multifactor model and related trading signals from BNP Paribas Brasil S.A.'s Commodity Quant Strategy team. It outlines the current model's fair value and conditional projections, as well as positions and performance data from various trading strategies.

Fair Value and Projections

• Fair Value: USD 75.5/tonne
• Price Bands: USD 53.9–96.7/tonne
• Conditional Projections:
  • January 2018: USD 80.3/tonne
  • June 2018: USD 76.6/tonne

Positions and Signals

PnL Monitor

Total PnL: USD 1,555

Key Information

• There are no major changes from the last update. Iron Ore prices remain below the model's lower error band, so no formal recommendation has been issued.
• The strategy team focuses on short-term dislocations in commodities and uses multifactor models to generate trading signals.
• The Factor Model and MarFA Metals are used for base metals, while the MarFA Energy model is used for energy commodities.
• Latest Publications:
  • Take profits on Long recommendation at +10.4%
  • Upward target for Iron Ore remains unchanged
  • Iron Ore: Look at the RMB and see the future

Models Overview

• Short-Term Trading: Based on financial market drivers, using $\mathsf{MArFA}^{\mathsf{TM}}$ for energy and base metals.
• Medium-Term Framework: Based on slower-moving fundamentals such as supply, demand, inventories, and positioning. It includes the following assets:
  • WTI crude oil
  • Gasoline
  • Copper
  • Aluminum
  • Iron ore
  • Gold

Strategy Team Contacts

Legal Notice

• This document is non-independent research and is a marketing communication.
• It is not investment research and may involve conflicts of interest due to BNP Paribas's trading and sales activities.
• The document is for professional clients and may not be suitable for retail investors.
• No guarantees are made regarding the accuracy or completeness of the information.
• Indicative prices are based on internal models and may vary significantly from other sources.
• Back-tested performance is for illustrative purposes and does not reflect actual market conditions or fees.
• Transactions are subject to terms agreed in relevant documentation.
• Confidentiality is maintained; the document may not be distributed without prior consent.

Disclaimer

• No assurance is given that any indicated returns will be achieved.
• Past performance is not indicative of future results.
• Risks associated with the products include market volatility, liquidity constraints, and potential losses.
• BNP Paribas may have financial interests in the securities mentioned, including acting as a market maker or advisor.
• Regulatory Compliance: The document is subject to legal and regulatory requirements in various jurisdictions, including the UK, France, Germany, Belgium, Netherlands, Portugal, Spain, and Switzerland.

Jurisdictional Information

• UK: Document is communicated by BNP Paribas London Branch, authorized by ECB and ACPR.
• France: Produced by BNP Paribas SA and BNP Paribas Arbitrage, authorized by ECB and ACPR.
• Germany: Distributed by BNP Paribas Niederlassung Deutschland, authorized by ECB and ACPR.
• Belgium: Supervised by ECB and National Bank of Belgium.
• Netherlands: Supervised by ECB, National Bank of Belgium, and AFM.
• Portugal: Supervised by ECB, ACPR, and Banco de Portugal.
• Spain: Supervised by ECB and ACPR, subject to limited regulation by Bank of Spain.
• Switzerland: Intended for Qualified Investors only, as defined by CISA and CISO.

Additional Notes

• The document may include performance data based on back-testing, which is not a guarantee of future performance.
• BNP Paribas may engage in transactions inconsistent with the views expressed in this document.
• The information provided is not investment advice and should not be relied upon as such.