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法兴银行中西方商品期货市场投资分析_44页

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文本描述
Please see important disclaimer and disclosures at the end of the document
COMMODITIES
12 April 2017
Important Notice: The circumstances in which this publication has been produced are such that it is not appropriate to characterise it as independent
investment research as referred to in MiFID and that it should be treated as a marketing communication even if it contains a research recommendation.
This publication is also not subject to any prohibition on dealing ahead of the dissemination of investment research. However, SG is required to have
policies to manage the conflicts which may arise in the production of its research, including preventing dealing ahead of investment research.
Commodity Compass
Chinese vs Western commodity markets ¨C key questions & insights
In this publication, we focus on the Chinese commodity futures markets and try to
provide some insight to many of the questions frequently asked by our clients.
We analyse how these markets have grown and evolved over the past ten years and
how to define, track and assess the speculative activity that has recently dominated
much of the newsflow on these exchanges. As there is no equivalent CFTC
Commitment of Traders (COT) report for Chinese exchanges, the level of speculation on
Chinese exchanges can be approximated by using a Speculation Ratio (SR) indicator or
an Average Holding Time (AHT) indicator.
We develop a new Overbought/Oversold OBOS model for Chinese commodities, based
on extremes in price and the SR. This OBOS shows clear and intuitive behavioural
patterns. We also apply it to Western commodities that also yield good results.
We look at whether movements in Chinese commodities impact their Western
counterparts and for the most part show that they are largely disconnected. This is also
confirmed by the difference in PCA profiles between Chinese and Western
commodities.
Figure 1.1 ¨C The SG NEW Overbought/Oversold Indicator. Commodities in the oversold (red) box are vulnerable to short-covering
and commodities in the overbought (blue) box vulnerable to profit-taking.
The SG OBOS indicator defines and identifies °oversold± (°overbought±) commodities on a weekly basis as those that are lying at the intersection of extremes in
both short (long) positioning and price weakness (strength). The °oversold± (°overbought±) box is shown in red (blue) in Figure 1.1. Commodities within the
Manager [MM] open interest [OI] as a percentage of total OI [source: CFTC COT report]) in excess of 75% of the historical maximum. These commodities are
vulnerable to short-covering (profit-taking). In Feb 2017, the indicator was changed to use a rolling 1-year window for the ranges, with the range calculations also
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