20171107-法国巴黎银行-COMMODITY_QUANT_STRATEGY_13页_426kb

Commodity Quant Strategy Weekly Summary

Core Content Overview

This report provides a detailed analysis of commodity positioning, focusing on key metals and energy products. It is produced by BNP Paribas Brasil S.A. and includes insights from the Commodity Quant Strategy team, with contributions from Gabriel Gersztein, Gustavo Mendonca, Samuel Castro, and others. The report highlights the positioning of speculators in various commodities and uses statistical measures to evaluate market conditions.

Key Commodities and Their Positioning

Base Metals

• Positioning Score: The base metals positioning score reached 7.8 (out of 10) on 3 November, indicating a significant overbought condition.
• Individual Metals:
  • Copper: Score of 6.8, stable from last week. Equivalent to a 14.2% non-parametric probability.
  • Nickel: Score of 6.2, down by 0.6pp from last week. Equivalent to a 29.6% non-parametric probability.
  • Aluminum: Score of 10.0, at record highs. Equivalent to a 1.1% non-parametric probability.
  • Zinc: Score of 8.1, down by 0.3pp from last week. Equivalent to a 21.3% non-parametric probability.
• Deliverable Stock Levels:
  • Shanghai deliverable stocks are at record lows for all metals except aluminum.
• Consolidated Speculative Positions: At 19.7%, equivalent to a 12.1% non-parametric probability.

Crude Oil

• Brent Crude Oil: Net speculative allocations are at record highs, with a positioning score of 10.0.
• WTI Crude Oil: Also shows strong speculative positioning, though not explicitly detailed in the summary.
• Inventory Spread: The difference between the DOE crude oil total inventory (excluding strategic reserves) and the 12-month moving average is the smallest since 2011.

Gasoline

• Positioning Score: At neutrality, equivalent to a 48.1% non-parametric probability.
• Stock Levels: The most important takeaway is the low level of stocks, measured against the 12-month moving average.

Gold

• Positioning Score: At 16.9% non-parametric probability, indicating overbought conditions.
• ETF Holdings: Total known ETF holdings since 2003 are used as a proxy, showing considerable co-movement with gold since 2014.

Market Dynamics and Indicators

• The BNP Paribas positioning score combines normalised data on weekly speculative allocations and stock levels across major exchanges (LME, Comex, Shanghai Futures Exchange).
• Stock Dynamics: Measured using a 1-year rolling z-score of weekly releases. Current levels are not at extreme values, with zinc showing the lowest score and copper rapidly falling.
• Dynamic Roll Index: Used to assess the impact of roll operations on commodity prices, particularly for base metals.

Global Macro Hedge Funds and Base Metals

• A proxy for global macro fund allocation is derived using the IQ Hedge Macro Total Return Index.
• The analysis indicates that global macro funds have reduced their allocation in base metals over the last 30 business days.
• Ridge Regression is used to estimate allocations between base metals, global equities, and global fixed income.

Important Information

• The report is a marketing communication and not investment research.
• It is intended for Relevant Persons as defined by MiFID and other regulatory frameworks.
• The information is not guaranteed for accuracy or completeness.
• BNP Paribas may have conflicts of interest and may engage in transactions inconsistent with the views expressed.

Key Contacts

Legal Notice

• This document is non-independent research and may be subject to conflicts of interest.
• It is not an offer to sell or a solicitation of an offer to buy any financial instrument.
• No liability is accepted for any direct or consequential loss arising from reliance on this document.
• Back-tested performance is provided for illustrative purposes only and does not guarantee future results.
• The document is confidential and may not be distributed without prior written consent.

Disclaimer

• Options and ETFs discussed in the document are complex and may not be suitable for all investors.
• Preliminary trade information is provided and not an official transaction confirmation.
• Performance data is for informational purposes and does not represent actual terms or outcomes.
• Indicative prices are based on internal models and may vary significantly from other sources.