20180219-法国巴黎银行-MarFATM_ENERGY__Take_profits_on_tactical_long_WTI_9页_252kb

COMMODITY QUANT STRATEGY SUMMARY

Core Content

This document outlines a commodity quantitative strategy, specifically focusing on the MarFA™ ENERGY model, which identifies tactical long positions in WTI crude oil (CLJ8) based on short-term market conditions. The strategy is part of BNP Paribas Brasil S.A.'s Commodity Quant Strategy team, with key contacts in São Paulo and London.

The model has taken profits on a long WTI position at USD 62.06/bbl, resulting in a +3.2% profit and loss (PnL). This decision was based on a short-term approach, where the model identified undervaluation in energy prices following a sell-off. However, the multifactor model, used for medium-term and structural analysis, remains neutral.

Main Views

• Tactical Long Position: The model identified WTI crude oil as undervalued and triggered a long position. After a 3.2% upward adjustment, it decided to take profits at USD 62.06/bbl.

• Short-Term vs. Medium-Term Approach: The short-term approach (MarFA™) has signaled overbought conditions in energy prices, leading to a profit-taking decision, whereas the medium-term multifactor model remains neutral.

• Key Drivers: Over the last 35 weeks, the model identified the following as the most important drivers for energy prices:

  • Speculative positions
  • The shape of the US interest rate curve
  • US monetary policy expectations
  • US economic surprises

• Recent Focus: Over the last 35 business days, the model emphasized:

  • Global financial conditions
  • BNP Paribas Global Risk Premium Index

• Market Dynamics: The model notes that energy prices have experienced higher volatility and premiums, highlighting the importance of the financial channel alongside speculative positions.

Key Information

• Performance: The long position was triggered on 8 February 2018, and the model adjusted to the downside due to a significant reduction in long speculative positions over the last two weeks.

• Variables Analysis:

  • Top variables with the highest weekly R² to the first and second principal market components are listed in Tables 1-2, with speculative positions and economic surprises showing significant increases in influence.
  • Top variables with the highest daily R² to the first and second principal market components are detailed in Tables 3-4, highlighting the BNP Global Risk Premium Index and Global Crude ADU Outage as key indicators.

• Recommendations: The report recommends reviewing MarFA™ Energy publications for further analysis, including:

  • MarFA™ Energy triggers a long WTI position
  • MarFA™ Energy Monthly: Despite speculators and US financial indicators, energy prices are cheap

• Legal Disclaimer:

  • The document is non-independent research and marketing communication, intended for Relevant Persons.
  • It does not constitute investment research under MiFID II.
  • No liability is accepted for any reliance on the information or for any losses incurred.

• United States Disclosures:

  • The document contains important option and ETF disclosures, highlighting risks associated with these instruments.
  • Certain securities may not be registered under U.S. law and are only available to Qualified Institutional Buyers (QIBs) or non-U.S. persons.

Contacts

• Gabriel Gersztein: Head of FX & IR Latam Strategy, +551138413421, gabriel.gersztein@br.bnpparibas.com
• Gustavo Mendonca: Latam FX & IR Strategist, +551138413445, gustavo.mendonca@br.bnpparibas.com
• Samuel Castro: Latam FX & IR Strategist, +551138413492, samuel.castro@br.bnpparibas.com
• Robert McAdie: Global Markets Head of Strategy, London, +44 20 7595 8885, robert.mcadie@uk.bnpparibas.com
• Michael Sneyd: Global Head of FX Strategy & Cross-Asset Strategist, London, +44 20 7595 1307, michael.sneyd@uk.bnpbaribas.com

Important Notes

• The document is not an offer to sell or a solicitation of an offer to buy.
• It is intended for informational purposes only and should not be relied upon as a sole basis for investment decisions.
• Simulated performance is included and not indicative of future results.
• The model may have conflicts of interest due to its potential involvement in transactions with the issuers or market-making activities.
• The information is confidential and may not be copied, reproduced or distributed without prior written consent.