Commodities Radar 20130430

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Confidential Riskelia | 30 April 2013 | CommoditiesRadar 1

Commodities without clear direction

Commodities continue to offer unappealing prospects, in spite of favorable liquidity conditions.

A ray of light comes this week from grains, on the back of unfavorable weather and bad harvest

prospects in the US. Soybeans benefit from the best score, followed by corn and Kansas Wheat, which

bounce back to life.

Regarding other softs, cotton, cocoa and meat products remain robust, while a bear bubble grows on

sugar and coffee.

The picture remains gloomy otherwise, apart from the bullish prospects conveyed by the dynamics of the Crude Oil WTI forward curve as well as the buoyant Henry Hub natural gas.The sectors conveying

the most bearish signals remain base and precious metals, as well as basic resources European

equities sectors and gold miners.

As far as commodities-related currencies are concerned, a rift continues to divide the bearish CAD and

ZAR and the bullish AUD and BRL.

Hedge funds and index investors stay in the wait-and-see mode in this mute environment.

Commodities Radar

30 April 2013




Contents

Trends & Bubbles .......................................................................................................................................... 3 Rankings ........................................................................................................................................................ 4 Risk Aversion ................................................................................................................................................. 5 Commodity Related Assets: Currencies and Equities .................................................................................. 6 Commodity Index Traders ............................................................................................................................ 8 Hedge Funds .................................................................................................................................................. 9 Model Portfolio ............................................................................................................................................ 10 IMPORTANT DISCLAIMER

The information herein is not intended to be an offer to buy or sell, or a solicitation of an offer to buy

or sell any securities or financial instruments. This document is based upon sources believed to be

reliable but is not guaranteed as to accuracy or completeness although Riskelia believes it to be clear,

fair and not misleading. The view of Riskelia reflected in this document may change without notice. To

the maximum extent possible at law, Riskelia does not accept liability whatsoever arising from the use

of the material or information contained herein. This research document is not intended for use by or

targeted at retail customers. Should a retail customer obtain a copy of this report they should not base

their investment decisions solely on the basis of this document but must seek independent financial

advice.




Trends & Bubbles

The Trend Indicator represents the net proportion of trending systems going long or short. 50 trend following

systems with a horizon of 3 to 24 months watch every asset.

The Bubble Indicator reflects bullish or bearish herding behavior. Exclusively resting on market prices, it scores

the regularity of the price moves on various time frames.

The Equity Tail Dependence measures the sensitivity of an asset class to a major equity deleveraging. It is the

mean daily price return conditional on a 10%-probability equities drop. It is measured over a 100 day rolling

window and expressed in number of standard deviations.

The Curve stands for the relative spread between the one year forward price and the prompt month price. When

the curve of a commodity is positive (resp. negative), the commodity is in contango (resp. backwardation) and

inventories are abundant (resp. low).

The Z score represents the deviation of the curve to a moving average (measured in numbers of standard

deviations). It reflects the curve evolution, hence gives insight on the inventories dynamics.

The Score is a weighted average of Z-score and trend. It decreases with the Z-score and increases with the trend,

adjusting the trend downward when the bubble score expands.

Market -12W -4W -1W Today Trend Bubble Curve Z Score 1 Year Curve %

Crude Oil WTI 50% 72% 36% 53% -10% 13% -2.3 -4%

Crude Oil Brent 80% 41% -2% 0% -17% 2% 0.3 -4%

Heating Oil 5 2% 3 4% -27 % -22% -53% 19% 0.0 -1%

Gas Oil ICE 9 0% -5 % -31 % -31% -48% 18% 1.8 1%

Gasoline 66% 36% 12% 11% 9% 15% 1.4 -4%

Natural Gas 15% 71% 98% 100% 62% 22% -2.0 -3%

Gold 34% -59% -58% -52% -83% 44% Not Applicable

Silver 20% -56% -63% -56% -78% 38% Not Applicable

Platinum 8 2% 4 6% -14 % -19% -32% 13% Not Applicable

Palladium 1 00 % 8 5% 4 2% 41% 8% 13% Not Applicable

Copper 16% -27% -41% -39% -71% 31% 1.7 1%

Aluminium 75% -14% -27% -33% -62% 25% 1.1 6%

Nickel 4 2% -9 % -39 % -38% -61% 23% 1.8 2%

Zinc 5 3% -1 % -28 % -33% -56% 20% 1.2 5%

Corn 52% 2% -5% 12% -22% 7% -0.6 -16%

Wheat -3% -31% -26% -24% -69% 39% 0.1 7%

Kansas Wheat 3 % -3 3% -3 0% -9% -56% 29% -0.5 3%

Soybean 30% 18% 42% 53% 13% 5% -1.1 -15%

Sugar Nb 11 -31% -31% -23% -24% -60% 46% 1.3 9%

Cotton 27% 64% 58% 46% 38% 9% -0.1 2%

Coffee C -29% -26% -11% -12% -69% 57% -0.1 9%

Cocoa 8% -1 8% 2 2% 31% 1% 2% -0.6 1%

Live Cattle 24% 22% 26% 21% -53% 13% -1.9 2%

Lean Hogs 62% 17% 23% 34% 13% 26% -0.6 -2%

Curves

Grains

8%↑

Softs

11%↓

Meats

28%↑

PricesCommodities Score

Energy

18%↑

Precious Metals

-22%↑

Base Metals

-36%↓




Rankings

Market Trend

Natural Gas 62%Cotton 38%

Lean Hogs 13%

Soybean 13%

Gasoline 9%

Palladium 8%

Cocoa 1%

Crude Oil WTI -10%

Crude Oil Brent -17%

Corn -22%

Platinum -32%

Gas Oil ICE -48%Live Cattle -53%

Heating Oi l -53%

Kansas Wheat -56%

Zinc -56%

Sugar Nb 11 -60%

Nickel -61%

Aluminium -62%

Coffee C -69%

Wheat -69%

Copper -71%

Silver -78%

Gold -83%

Market Bubble

Coffee C 57%Sugar Nb 11 46%

Gold 44%

Wheat 39%

Silver 38%

Copper 31%

Kansas Wheat 29%

Lean Hogs 26%

Aluminium 25%

Nickel 23%

Natural Gas 22%

Zinc 20%Heating Oil 19%

Gas Oil ICE 18%

Gasoline 15%

Crude Oil WTI 13%

Live Cattle 13%

Palladium 13%

Platinum 13%

Cotton 9%

Corn 7%

Soybean 5%

Crude Oil Brent 2%

Cocoa 2%

Market Eqty Tail Dependence

Copper -1.1Gas Oil ICE -0.9

Silver -0.9

Heating Oil -0.8

Nickel -0.8

Gold -0.7

Crude Oil Brent -0.7

Palladium -0.7

Crude Oil WTI -0.6

Gasoline -0.6

Aluminium -0.6

Zinc -0.5Platinum -0.5

Sugar Nb 11 -0.5

Corn -0.4

Wheat -0.3

Kansas Wheat -0.3

Cotton -0.2

Lean Hogs -0.2

Cocoa -0.2

Coffee C -0.2

Live Cattle -0.1

Soybean 0.0

Natural Gas 0.1

Market Z Score 1 Year Curve % Curve Shape

Crude Oil WTI -2.3 -4.1% Backwardation

Natural Gas -2.0 -3.1% Backwardation

Live Cattle -1.9 2.1% Contango

Soybean -1.1 -15.3% Backwardation

Corn -0.6 -15.6% Backwardation

Lean Hogs -0.6 -2.4% Backwardation

Cocoa -0.6 1.0% Contango

Kansas Wheat -0.5 3.0% Contango

Cotton -0.1 1.9% ContangoCoffee C -0.1 8.7% Contango

Heating Oil 0.0 -1.0% Backwardation

Wheat 0.1 6.7% Contango

Crude Oi l Brent 0.3 -4.2% Backwardation

Aluminium 1.1 6.0% Contango

Zinc 1.2 4.9% Contango

Sugar Nb 11 1.3 9.2% Contango

Gasoline 1.4 -4.2% Backwardation

Copper 1.7 1.4% Contango

Gas Oil ICE 1.8 1.0% Contango

Nickel 1.8 1.7% Contango




Risk Aversion

Risk Aversion Index

1 month ago 1 week ago Today4/1/2013 4/22/2013 4/29/2013

Global Risk Aversion -0.4 -0.6 -0.8

Equities -0.6 -0.6 -0.7

Cash Liquidity 0.4 -1.2 -1.1

OECD Sovereign Debt -0.4 -0.7 -0.8

Emerging Debt 0.2 -0.2 -0.2

Banks Euro 0.0 -0.5 -0.8

Banks UK 0.0 -0.6 -0.8

Banks US -1.0 -1.0 -1.2

Insurance -0.9 -1.0 -1.1

Carry Trades -0.4 0.2 -0.2Corporate Debt 0.0 -0.7 -0.9

Oil -1.9 -0.8 -1.0

-0.8

3 2 1 0 -0.5 -1

Very high risk avers ion Risk seeking behaviour

-1.5

-1

-0.5

0

0.5

1

1.5

22.5

3

3.5

-2

0

2

4

6




Commodity Related Assets: Currencies and Equities

Oil Products: Crude Oil WTI, Crude Oil Brent, Heating Oil, Gasoil ICE, Gasoline

Base metals: Copper, Nickel, Aluminum, Zinc.




Precious Metals: Silver, Gold, Platinium

The average rank correlations (over the last two years) between the assets in the theme and the target

assets are indicated on the edges. Edges are drawn only when this correlation exceeds 0.40. Riskelia's

recommendations are provided under the vertices.

Currencies

Equities

-12W -4W -1W Today Trend Bubble Equity Tail Dependence

ZARUSD -43% -39% -30% -30% -61% 38% -0.3

CADUSD 26% -25% -28% -19% -36% 18% -0.8

NOKUSD 59% 17% 15% -2% -20% 5% -0.6

RUBUSD 71% 32% 1% 1% -18% 4% -0.8

EURUSD 72% 19% 32% 30% 21% 6% -0.7

AUDUSD 81% 58% 65% 75% 40% 13% -0.7

BRLUSD 7 7% 80 % 1 00 % 100% 63% 14% -0.3

Score

-12W -4W -1W Today Trend Bubble Equity Tail Dependence

STXE 600 Basic Resources 90% -23% -46% -45% -73% 33% -1.0

S&P/TSX CAPPED ENERGY IX 4 4% 49 % -3 3% -37% -51% 18% -0.9

NYSE Arca Steel Index 8 0% 14 % -3 6% -36% -53% 22% -0.9

S&P/TSX CAPPED MATRLS IX -23% -61% -34% -30% -84% 50% -1.0

NYSE Arca Gold Miners Ix -36% -55% -27% -23% -89% 55% -1.0

S&P Materials Se lect Sector 60% 53% 43% 45% 40% 20% -0.9

S&P Energy Select Sector 63% 50% 49% 53% 51% 23% -0.7

Score




Commodity Index Traders

CIT – Commodities Index

Traders – gain passiveand predominantly longexposure tocommodities by tradingfixed-weights baskets of futures contracts androlling over them with arigid schedule beforeexpiry. The maincommodity indices arethe S&P-Goldman SachsCommodity Index andthe Dow Jones-UBSCommodity Index.

Riskelia extrapolatesglobal CIT’s AssetsUnder Management(AUM) from the CIT’spositions on USagricultural futuresmarkets. The latter aredisclosed in the weekly“Supplement Report” of the US CommoditiesFutures TradingCommission (CFTC). Wethen extract the CIT’snet inflows by

disentangling thecomponents due to priceevolution and to netinflows in the dynamicsof the AUM.

CIT – Total Asset Under Management, in Bln USD

CIT - Total Net Cumulative Flows, in Bln USD

Sector FlowsRolling windows of 1, 4 and 12 weeks

0

50

100

150

200

250

300

350

0

20

40

60

80

100

120

140

160

Date 4/23/2013

in Bln USD 1 Week 4 Weeks 12 Weeks

Energy 0.4 2.7 -1.1

Agriculture 0.2 1.6 -0.6

Base Metals 0.1 0.7 -0.3

Precious Metals 0.1 0.5 -0.2

Total Flows 0.8 5.5 -2.2




Hedge Funds

Speculators (i.e. hedge

funds or traders) takelong or short positions oncommodities to makedirectional bets or takeadvantage of arbitrageopportunities. Hedgefunds are characterizedas “Non Commercial NonCIT" in US agriculturalfutures markets (coveredby the CFTC “SupplementReport”) and “ManagedMoney” in US metal andenergy futures markets

(covered by the CFTC“Disaggregated Report”).Riskelia’s trend indicator(reported below for allcommodities) provides anefficient replication of hedge funds positioninghence the evolution of speculative positions(including in non-USfutures markets) can bemonitored in real timethrough the trenddynamics.

Speculators – Total Exposure, in Bln USD

Global Net Cumulative Flows, in Bln USD

Sector FlowsRolling windows of 1, 4 and 12 weeks

-20

0

20

40

60

80

100

120

140

160

2006 2007 2008 2009 2010 2011 2012 2013

-60

-40

-20

0

20

40

60

80

2006 2007 2008 2009 2010 2011 2012 2013

Date 4/29/2013

in Bln USD 1 Week 4 Weeks 12 Weeks

Energy 0.8 -1.3 1.8

Agriculture 1.3 -1.0 -5.7

Base Metals -0.8 -9.0 -23.4

Precious Metals 0.0 -2.1 -8.7

Total Flows 1.3 -13.3 -36.1




Model Portfolio

Allocations Characteristics

Performance Contribution

Performance

Today Last Week Last Month Last Quarter 1st of year

4/29/2013 4/22/2013 4/1/2013 2/4/2013 1/1/2013

Weights 1% -10% 18% 108% 81%

Energy 5% 4% 27% 36% 15%

Crude Oil WTI 5% 4% 11% 6% 1%

Crude Oil Brent 0% 1% 7% 11% 6%

Heating Oil -3% -2% 5% 7% 3%

Natural Gas 6% 6% 5% 1% 2%

Gas Oil ICE -4% -4% -1% 12% 4%

Precious Metals -6% -7% -4% 27% 24%

Gold -4% -6% -12% 6% 8%

Platinum -2% 0% 6% 10% 5%

Palladium 3% 3% 8% 10% 8%

Silver -3% -4% -6% 2% 3%

Base Metals -15% -15% -8% 19% 8%

Aluminium -4% -4% -2% 8% 4%

Copper -4% -5% -5% 2% 0%

Nickel -4% -3% -1% 4% 1%

Zinc -4% -3% 0% 6% 3%

Grains 5% -2% -4% 12% 7%

Wheat -2% -2% -3% -1% 1%

Corn 1% 0% 0% 8% 3%

Soybean 6% 3% 2% 4% 2%

Kansas Wheat -1% -3% -3% 1% 2%

Softs 4% 2% -1% -1% -4%

Cocoa 3% 0% -2% 1% 2%

Coffee C -1% -2% -3% -2% -2%

Cotton 5% 6% 7% 3% -2%

Sugar Nb 11 -3% -3% -4% -3% -3%Meats 9% 8% 7% 15% 32%

Lean Hogs 5% 3% 3% 11% 9%

Live Cattle 4% 5% 5% 5% 23%

Year to date perf -3.99%Month to date perf -0.76%

Annual ex ante Vol 4.41%

Daily 90% ex ante CVaR -0.55%

Sharpe 1.0

Annual Return 8.0%

Skew -0.3

Peak to Valley 22%

Yearly Turnover 8.5

Last Week Last Month Last Year

Energy 0.17% -0.80% -6.38%

Crude Oil WTI 0.23% -0.55% -1.50%

Crude Oil Brent 0.00% -0.44% -1.43%

Heating Oil -0.09% -0.30% -1.82%

Natural Gas 0.12% 0.45% 0.08%

Gas Oil ICE -0.10% 0.03% -1.70%

Pre cious Metal s -0.33% 0.53% -2.24%

Gold -0.16% 1.27% 0.00%

Platinum -0.07% -0.44% -1.51%

Palladium 0.08% -1.00% -0.21%

Silver -0.17% 0.71% -0.52%

Base Metals -0.22% 0.33% -2.10%

Aluminium 0.01% 0.01% -0.18%

Copper -0.14% 0.28% -0.36%

Nickel -0.05% 0.10% -0.18%

Zinc -0.03% -0.06% -1.39%

Grains -0.05% -0.34% -0.73%

Wheat -0.02% -0.17% 0.02%

Corn -0.04% -0.06% -0.58%Soybean 0.13% 0.15% 0.05%

Kansas Whe at -0.12% -0.26% -0.21%

Softs 0.02% -0.38% -0.18%

Cocoa 0.02% -0.07% -0.42%

Coffee C 0.07% 0.03% 0.48%

Cotton -0.11% -0.35% -0.17%

Sugar Nb 11 0.05% 0.01% -0.07%

Meats 0.13% 0.01% -1.95%

Lean Hogs 0.07% 0.05% -0.55%

Live Cattle 0.06% -0.03% -1.40%

Year Total Performance

2001 2.8%

2002 10.7%

2003 20.8%

2004 11.3%

2005 13.5%

2006 7.2%

2007 10.3%

2008 19.5%

2009 5.1%

2010 17.7%

2011 -0.9%

2012 -11.5%

2013 -4.0%

1

1.5

2

2.5

3

3.5

2005 2006 2007 2008 2009 2010 2011 2012 2013

Documents

Commodities Radar 20130430