巴黎银行-全球-商品策略-商品定位；上升趋势阶段的准时调整-20180222-14页_557kb

COMMODITY QUANT STRATEGY SUMMARY

Core Content

This report provides an analysis of the current positioning and market dynamics for various commodities and energy assets, focusing on speculative positions, stock levels, and macroeconomic factors influencing their prices. The analysis is conducted by BNP Paribas Brasil S.A., with insights from Gabriel Gersztein, Gustavo Mendonca, and Samuel Castro, who are part of the Commodity Quant Strategy team.

Main Points

Base Metals Positioning

• Overall Positioning Score: The BNP Paribas base metals score remains above neutral at 6.5, up 0.2 points from the previous week.
• Copper: The score for copper is 5.8, slightly down from 5.9, and is still in an upward trend phase. It is expected to face a downside correction.
• Nickel: The positioning score for nickel is at 3.7, showing a rebound of 0.2 points from the previous week, making it the most supportive for appreciation.
• Aluminum: The score for aluminum is at 8.6, up 0.4 points from the previous week, and it remains overbought.
• Zinc: The score for zinc is at 7.9, up 0.2 points from the previous week, and it is also overbought.
• Stocks: LME stocks have reached their lowest levels in the last seven years, with natural gas and Brent crude oil showing the largest reduction in speculative positions.

Energy and Gold Positioning

• Crude Oil (Brent and WTI): Both remain overbought, with Brent at 13.2% and WTI at 21.3%. The difference between current crude oil inventories and the 12-month moving average is at record lows, indicating strong support for prices.
• Gasoline RBOB: Net speculative allocations remain unchanged, at 19.9%, with a normalized score of 6.8.
• Gold: The positioning score is at 5.7, slightly below the level from two weeks ago. It is still slightly above neutrality levels with a 44.8% non-parametric probability of reversal.

Speculative Positions Analysis

• Net Speculative Positions: The net spec positions for all base metals increased last week, except for copper and aluminum, which saw a correction.
• Z-Score Variations: Natural gas and Brent crude oil showed the largest reduction in speculative positions, with z-scores of -3.1 and -2.0, respectively.
• Silver: Net speculative positions are at 3.5%, significantly below the long-term average of 20.6%, placing it at oversold levels.

Key Information

• Positioning Score: The score is a combination of net speculative positions and stock levels, normalized on a 0-10 scale.
• Rolling Correlation: The rolling 30-week correlation between the BNP Paribas positioning score and market prices remains at 70%, showing a steady relationship.
• Stocks Dynamics: Measured using a 1-year rolling z-score, stocks have shown mixed signals, with some metals like aluminum and zinc having high scores.
• Macro Factors: The current appreciation of commodities is influenced by higher inflation expectations and a weaker US dollar, which are favorable for commodities as a reserve value.

Summary of Market Dynamics

• Copper: Still in an upward trend phase with a score of 5.8, but with a downside correction expected.
• Nickel: Shows a rebound, with the best positioning score for appreciation.
• Aluminum and Zinc: Both are overbought, indicating potential for a correction.
• Crude Oil (Brent and WTI): Overbought with strong support from low inventory levels.
• Silver: Oversold, with a significant deviation from historical averages.
• Gold: Slightly above neutrality, with a 44.8% probability of a reversal.
• Gasoline: No significant change in positioning, with a normalized score of 6.8.

Legal Notice

This document is a marketing communication and is directed at Professional Clients and Eligible Counterparties as defined by MiFID II. It is not investment research and may not be suitable for all investors. The content is based on public sources and is not independently verified. It should not be relied upon for investment decisions. Investors must ensure they are eligible to view and use the content.