20180213-法国巴黎银行-COMMODITY_QUANT_STRATEGY__Commodity_Positioning_Weekly__unchanged_scenario_despite_metal_adjustment_last_week_14页_490kb

Commodity Quant Strategy Summary

Core Content

This report provides an analysis of commodity market positioning, focusing on base metals and energy sectors, with insights from BNP Paribas Brasil S.A. The main emphasis is on the correlation between speculative positions and market dynamics, as well as the impact of macroeconomic cycles and supply-demand factors on commodity prices.

Main Points

• Base Metals Positioning:
  The 30-week rolling correlation between base metals weekly returns and BNP Paribas positioning score increased to 71%, showing a strong relationship.

  • Nickel has the most supportive positioning score and is at the lowest levels on the LME (7-year low).
  • Aluminum remains overbought with a positioning score of 8.2, equivalent to a 4.8% non-parametric probability.
  • Zinc has seen some adjustment, with a positioning score of 7.7 and a 43.0% non-parametric probability.
  • Copper has a positioning score of 5.9, with a 30.8% non-parametric probability of reversal.
  • Silver experienced the largest reduction in net spec allocations, equivalent to 2.9x standard deviations.

• Speculative Positions:

  • Overall speculative positions adjusted last week, with silver showing the most significant drop.
  • The consolidated base metals score decreased slightly to 6.3, still above neutral levels.
  • Net/OI (net positions adjusted by open interest) for various commodities is presented in the table, showing changes over different time periods.

• Stock Dynamics:

  • Nickel and Copper have seen significant changes in stock levels, with nickel showing a sharp decline and copper showing a slight decrease.
  • The difference between DOE crude oil inventory and the 12-month moving average reached a record low, supporting oil prices.
  • Chinese imports have been a key factor in supporting base and precious metals, particularly nickel which saw a 140% YoY increase in imports.

• Macro Cycle Influence:

  • The current appreciation of commodities is linked to the macroeconomic cycle, with higher inflation expectations leading to increased commodity values.
  • The investment quadrants and economic cycle matrix shows that commodities tend to perform well in inflationary environments.

Key Information

• Positioning Score: A composite metric combining normalized speculative positions and stock levels on major exchanges (LME, Comex, Shanghai Futures Exchange), ranging from 0 to 10.
• Z-Score Analysis: Used to measure the deviation of stock levels from the 12-month moving average, indicating market over- or under-supply.
• Non-Parametric Probability: A statistical measure used to indicate the likelihood of price reversal or continuation based on historical data.
• Macro Factors: Higher inflation expectations and a weaker US dollar have been supportive of commodity prices.

Summary of Key Metals

Energy and Gold

• Crude Oil (WTI & Brent):

  • Net speculative allocations reached high levels, with Brent at 15.1% and WTI at 22.6%.
  • DOE crude oil inventory is at the lowest level since 2010, supporting prices.
  • Gold positioning score is at 5.9, slightly below last week, but still above neutrality.

• Gasoline (RBOB):

  • Net speculative allocation is at 19.8%, unchanged from last week.
  • Inventory levels continue to recover from November 2017 lows.

Summary of Key Insights

• The factor model indicates a structural upward trend in base metals due to macroeconomic conditions and positioning.
• China's import/export trends significantly influence the positioning and prices of base metals like nickel, aluminum, and zinc.
• The rolling 30-week correlation between positioning scores and market prices has strengthened, reinforcing the predictive power of the model.
• Non-parametric probabilities are used to gauge the likelihood of price movements, with several metals showing low probabilities, indicating potential overbought conditions.

Legal Disclaimer

• This document is a marketing communication and not independent research.
• It is intended for Relevant Persons as defined under MiFID II.
• BNP Paribas may have financial interests in the mentioned issuers and may have acted upon the information before publication.
• No liability is accepted for the accuracy or completeness of the content, and no investment advice is provided.

Contacts

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