20171121-法国巴黎银行-Factor_model_triggers_a_long_XAG_XAU_position_7页_183kb

Commodity Quant Strategy Summary

Core Content

This document outlines a commodity trading strategy based on a factor model analysis that suggests a long position in silver (XAG) and a short position in gold (XAU). The strategy is proposed by the Commodity Quant Strategy team at Banco BNP Paribas Brasil S.A., with key contributors being Gabriel Gersztein, Gustavo Mendonca, and Samuel Castro.

Key Findings

• Silver is undervalued relative to gold: According to the factor model, silver is currently trading at a discount compared to gold.
• Gold is in line with fair price: The model indicates that gold is trading close to its fair value.
• XAG/XAU pair at a historical low: The XAG/XAU ratio is near its lowest level since 1997, with silver being approximately 11% below the model's value.
• Trading Strategy:
  • Go long 157 contracts of Silver (SIH8) at 16.05.
  • Go short 100 contracts of Gold (GCG8) at 1255.00.
  • Initial target is set at 10%.
  • Dynamic stop loss is placed at 7%.

Main Viewpoints

• The factor model is used to identify relative value opportunities in commodities.
• The strategy is based on the idea that silver is currently undervalued compared to gold, suggesting a potential upside.
• The team highlights that the XAG/XAU pair is at a significant historical low, indicating a possible divergence in price trends.
• The strategy is intended to be executed using specific contracts and prices, with defined risk parameters.

Key Information

• Strategy Execution:
  • The strategy involves taking a long position in silver and a short position in gold.
  • The strategy is based on a specific model and is not a recommendation for general investment.
• Risk Management:
  • A dynamic stop loss is implemented at 7%.
  • The initial target is 10%.
• Legal and Regulatory Information:
  • The document is non-independent research and may be subject to conflicts of interest.
  • It is a marketing communication and not investment research for the purposes of MiFID.
  • The document is not intended to be relied upon as authoritative or as a substitute for independent judgment.
  • It is for informational purposes only and does not constitute an offer to sell or issue any financial instrument.
  • The document may contain simulated performance data and is not a guarantee of future results.
• Jurisdictional Information:
  • The document is intended for professional clients and relevant persons in various jurisdictions, including the UK, France, Germany, Belgium, Ireland, Italy, Netherlands, Portugal, Spain, Switzerland, Canada, and the United States.
  • Specific disclosures are provided for each jurisdiction to comply with local regulations.
  • In the U.S., the document is distributed only to institutional investors or under specific exemptions.
  • In the UK, the document is communicated by BNP Paribas London Branch.
  • In Switzerland, the document is intended solely for Qualified Investors.

Important Notes

• Conflicts of Interest: BNP Paribas may have financial interests in the issuers or securities mentioned, and may engage in transactions that are inconsistent with the views expressed.
• No Investment Advice: The document does not provide investment, financial, legal, or tax advice.
• Confidentiality: The information is provided on a confidential basis and should not be copied, reproduced, or distributed without prior written consent.
• Disclaimer: BNP Paribas disclaims any responsibility or liability for the accuracy or completeness of the information, and for any use of the indicative prices or the models used.
• Performance Data: Simulated performance data is included for illustrative purposes only and may not reflect actual market conditions, including liquidity constraints, fees, and transaction costs.

Contacts

• Gabriel Gersztein: Head of GM Latam Strategy, +55 11 3841 3421, gabriel.gersztein@br.bnpparibas.com
• Gustavo Mendonca: FX & IR Latam Strategy, +55 11 3841 3445, gustavo.mendonca@br.bnpparibas.com
• Samuel Castro: FX & IR Latam Strategy, +55 11 3841 3492, samuel.castro@br.bnpparibas.com