巴黎银行-全球-商品量化策略-锌：因子模型触发短期均衡点-20180124-8页

Pleaserefertoimportantinformation&authorsattheendofthereport&MARDisclosureCommodityQuantStrategy24January2018www.globalmarkets.bnpparibas.comZinc:Factormodeltriggersashortposition?Zincbreachedthe95%non-parametricerrorupperbandofthefactormodel:ashortpositionhasbeentriggered.?Trade:sell3MLMEZincatUSD3,444/MT;allocation:50contracts;initialtarget(subjecttoberevisedfollowingmarketdynamics):USD3,100/MT;DynamicstoplossstartingatUSD3,685/MT.?Allocationandstoplossesfollowthemetricsdefinedinthispublication:Technicalpaper:Allocationandstoplosscalculations.?Risktothecall:thestrengthoftheupwardtrendshownbyallmetals,makingplausiblethatthemarketpricedriftsfurtherawayfrommodel’svalueandBNPParibaspositioningscore.PositionsandsignalsTheresultssuggestthatzincismorethan25%abovefactormodel?scentralvalue(Charts1-3).Charts1-3:Marketand