20171130-法国巴黎银行-COMMODITY_QUANT_STRATEGY_Introducing_ENERGY_Factor_Model_Monthly_11页_386kb

Commodity Quant Strategy Summary: ENERGY Factor Model Monthly

Core Content Overview

This document provides an analysis of the ENERGY Factor Model Monthly report by BNP Paribas Brasil S.A., detailing the current state of key energy commodities—WTI crude oil, Brent crude oil, and Gasoline RBOB—based on quantitative models and macroeconomic factors. It also outlines the firm's strategy and the use of statistical tools such as VAR models to understand the dynamic relationships between energy prices and macroeconomic indicators like the US dollar and real interest rates.

Key Commodities and Model Insights

WTI Crude Oil

• Model Value: USD 56.40/bbl (1st maturity)
• Market Price: Model is 2% below current market levels
• Error Bands: USD 43.17 to USD 69.93
• Conditional Projection: USD 56.00 in Q1 2018
• Strategy: The model is currently neutral on WTI crude oil. A short position on a basket of Brent and WTI is in place.
• Trend: WTI is not abnormally expensive based on the model's analysis.

Brent Crude Oil

• Model Value: USD 58.30/bbl (1st maturity)
• Market Price: Model is 10% below current market levels
• Error Bands: USD 49.90 to USD 67.10
• Conditional Projection: USD 58.00 in Q1 2018
• Strategy: The model is neutral, and the short position on Brent and WTI is active.

Gasoline RBOB

• Model Value: USD 160/gal (1st maturity)
• Market Price: Model is 9% below current market levels
• Error Bands: USD 127.4 to USD 192.6
• Conditional Projection: USD 157.6 in Q1 2018
• Observation: Gasoline RBOB is rich to model, indicating it may be overvalued.

Main Views and Key Points

• Factor Model Approach: BNP Paribas uses a factor model to quantify the relationship between commodity prices and macroeconomic factors, including the US dollar and real interest rates. The model helps identify periods of market dislocation, which can be arbitrated.
• Macro and Financial Integration: The firm highlights the increasing integration of financial markets with the real economy, making it harder to distinguish causality effects. They argue that combining macro and financial data with quantitative tools helps in assessing potential opportunities.
• VAR Model Insights: A VAR model was used to analyze the dynamic response of gasoline prices to shocks in WTI crude oil. The model suggests a 13% drop in the first month and a 11% drop in the long-term if WTI drops by 16% (2 standard deviations).
• Interest Rate Impact: The US real interest rate is a key factor in commodity pricing. A fall in real interest rates weakens the US dollar, which is positive for commodity prices.
• Stress Testing: The firm conducted stress tests to evaluate the impact of changes in the US interest rate curve and supply-demand dynamics on WTI crude oil. The results show a medium-term 16% drop in WTI if the interest rate curve changes by 30bp.
• Model Performance: The factor model has shown consistent convergence of market prices to its projections, indicating low volatility and high reliability over time.

Strategy and Performance

• Current Strategy: The model is neutral on crude oil, but a short position on a basket of Brent and WTI is in place.
• Performance Update: A table shows the performance of various trades executed using the model:
  • TR #5946: Short on LME 3mo Zinc, PnL %: 1.88%, PnL USD: 76
  • TR #5857: Short on CLF8 and COG8, PnL %: -0.99%, PnL USD: -50
  • TR #5741: Long on Iron Ore, PnL %: 10.00%, PnL USD: 496
  • TR #5685: Short on LME 3mo Nickel, PnL %: -4.02%, PnL USD: -127
  • TR #5693: Short on LME 3mo Copper, PnL %: 4.71%, PnL USD: 168
  • TR #5572: Short on CLX7, PnL %: 1.98%, PnL USD: 59
  • TR #5340: Long on Call spread for Dec17, PnL %: 1.612, PnL USD: 808
  • TR #5307: Short on LPZ17, PnL %: 4.62%, PnL USD: 462
  • TR #5265: Long on CLZ7, PnL %: 3.60%, PnL USD: 180
  • TR #5033: Long on SCOF8, PnL %: 10.40%, PnL USD: 650
• Total PnL: USD 2,672
• Factor Model PnL: USD 2,660
• MarFA PnL: USD 12

Contacts

Legal Notice

• The document is non-independent research and is intended for marketing purposes.
• It does not constitute investment research and should not be relied upon for investment decisions.
• BNP Paribas may have conflicts of interest and may engage in transactions inconsistent with the views expressed.
• Performance data is based on back-testing and is not indicative of future results.
• The document contains confidential information and may not be distributed without prior consent.
• Options and ETFs discussed are complex and may involve significant risk. Proper disclosures and independent advice are required before investing.