20180227-法国巴黎银行-Commodity_positioning_weekly__Specs,_here_we_go_again__14页_502kb

COMMODITY QUANT STRATEGY SUMMARY

Core Content Overview

This report from BNP Paribas Brasil S.A.'s Commodity Quant Strategy team provides a weekly analysis of commodity and energy market positioning, focusing on base metals (copper, nickel, aluminium, zinc) and crude oil (Brent and WTI). It also touches on gold and includes a macroeconomic perspective on commodity appreciation.

Main Points and Key Information

Base Metals Positioning

• Overall Positioning Score: The BNP Paribas base metals weekly positioning score rose to 6.8, up from 6.5 the previous week.
• Copper:
  • Positioning score at 6.3, up 0.5pp from last week.
  • Overbought, with a 25.1% non-parametric probability of reversal.
  • Co-movement with prices has been consistent since 2015.
• Nickel:
  • Positioning score at 4.1, showing a second uptick in three months.
  • LME stocks at record lows, and Chinese imports have recovered significantly.
  • Best positioning score for appreciation, least overcrowded.
• Aluminium:
  • Positioning score at 9.0, up 0.5pp from last week.
  • Overbought with a 3.4% non-parametric probability of reversal.
• Zinc:
  • Positioning score at 7.9, unchanged from last week.
  • Overbought with a 34.7% non-parametric probability of reversal.

Energy Market Analysis

• Crude Oil:
  • Brent and WTI crude oil remain overbought despite a drop in speculative positions.
  • Net positions adjusted by open interest are 1.6x and 2.7x standard deviations respectively.
  • The difference between DOE crude oil inventory and 12-month moving average remains abnormally low.
• Gasoline:
  • Net speculative allocation at 18.4%, down from 19.9%.
  • Positioning score of 6.2, indicating a seasonal recovery in inventories.

Gold Positioning

• Gold (XAU):
  • Positioning score at 5.8, up 0.1pp from two weeks ago.
  • Still slightly above neutral levels with a 47.7% non-parametric probability of reversal.
  • Comex net speculative allocation adjusted by open interest is 1.6%, below the 20.6% average since 2003.

Commodity Appreciation and Macroeconomic Cycle

• Commodity appreciation is influenced by macroeconomic factors such as inflation expectations and a weaker US dollar.
• The Investment Quadrants Matrix shows that in an inflationary environment, commodities tend to appreciate, with a recommended strategy of long gold, commodities, cyclicals, and/or real estate.
• The rolling 30-week correlation between positioning scores and market prices for base metals has fallen to 63%.

Supply and Demand Trends

• Copper:
  • Global refined production up 12.8% YTD, while Chinese refined imports down 4% MoM.
  • Chinese scrap imports down 24% MoM.
• Zinc:
  • Global refined production up 2.7% YTD, while Chinese refined imports down 33% MoM.
  • Chinese ore imports up 55% MoM.
• Nickel:
  • Chinese imports up 108% YoY.
• Iron Ore:
  • Global imports stable at 95kt MoM, while Australia's exports up 15% MoM.
  • Brazil's exports down 7% MoM.
• Raw Coal Output (China):
  • Output at 315kt MoM, up 5% YoY.

Key Takeaways

• Base metals show mixed signals, with nickel having the most supportive positioning.
• Silver remains oversold, supporting the long XAG/XAU strategy.
• Crude oil and gasoline are overbought, with gasoline showing a seasonal recovery.
• Gold is slightly above neutral levels, with a moderate probability of reversal.
• The current macroeconomic cycle supports commodity appreciation, especially in inflationary environments.
• Positioning scores are a combination of speculative positions and stock levels, normalized on a 0-10 scale.
• The report includes important legal disclaimers and is not investment research but rather a marketing communication.

Contact Information

• 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

Legal Disclaimer

• This document is non-independent research and is not intended for investment decisions.
• It may contain back-tested performance data, which is for illustrative purposes only.
• No liability is accepted for any inaccuracies or omissions.
• The document is directed at professional clients and eligible counterparties under MiFID II.
• It is not to be relied upon as authoritative or a substitute for independent analysis.