巴黎银行-全球-投资策略-贱金属价格被低估，石油产品价格略微高估-20190426-12页_1mb

ComFA™ Summary: Base Metals and Oil Products Valuation

Core Content

The BNP Paribas ComFA™ (Commodity Factor Analysis) model provides insights into the relative valuation of base metals and oil products. The model indicates a divergence between energy and base commodities, with base metals generally undervalued and oil products slightly overvalued.

Main Points

Base Metals

• Undervaluation: Base metals, especially nickel, zinc, and copper, are currently undervalued according to the ComFA™ model.
• Nickel: The strongest bullish signal is for nickel, which is 2.1 z-scores (4.2%) undervalued at USD12,861/tonne. The model predicts a price rise of more than 4% as it converges to fair value, which is expected to take 2–4 weeks.
• Zinc and Copper: Zinc is 3% undervalued, and copper is 2% undervalued.
• Aluminium: Previously undervalued, it is now fair-valued. This is due to a decline in fair value, not an increase in price. The model has removed aluminium inventories as a significant variable since the price did not respond to inventory changes.

Oil Products

• Overvaluation: Crude, gasoline, and gasoil are slightly overvalued.
• Brent Oil: Traded 1.3 z-scores (3.3%) above its fair value of USD71.70/bbl. However, the deviation is not large enough to trigger a bearish signal.
• Gasoline: Fair value has increased, reducing its overvaluation.
• Gasoil: Fair value is at USD63.95/bbl, with the model showing a positive correlation with improving data flow.

Key Variables to Watch

For Oil

1. Global Refinery Outage: A decline in refinery outage contributes to gasoline being overvalued.
2. Global Equities: A new important variable showing a strong positive correlation with oil prices.
3. Trade Weighted USD: A negative correlation with oil prices, as a rising USD is a headwind for energy prices.
4. US 10y Yield: An increase in yields negatively impacts the fair value of energy commodities.
5. US Economic Data Surprises: Positive data surprises have supported the fair value of oil and base metals.

For Base Metals

1. Global Financial Conditions: Improved conditions are supportive for base metals.
2. US 5y5y Real Yields and 1y1y Rates: Declines in these indicators are beneficial for commodity prices.
3. US Economic Data Surprises: Recent positive data has supported the fair value of base metals.
4. China Economic Data Surprises: China's economic recovery is also supportive for base metal prices.

Variables No Longer Significant

• Aluminium Inventories: Removed from the model due to the breakdown in the correlation between price and inventory levels.

Supporting Figures

• Fig. 1: Current deviations from fair value for commodities.
• Fig. 2: ICE Brent oil fair value at USD71.70/bbl.
• Fig. 3: Gasoline fair value at USD207.1/gal.
• Fig. 4: Oil's correlation with global equities.
• Fig. 5: Decline in global refinery outage affecting distillates.
• Fig. 6: USD rise impacting energy prices.
• Fig. 7: US 10y yields negatively affecting energy prices.
• Fig. 8: WTI oil fair value at USD63.95/bbl.
• Fig. 9: Gasoil fair value at USD/tonne.
• Fig. 10: Natural gas fair value at USD/MM Btu.
• Fig. 11: Improving data flow supports oil prices.
• Fig. 12: Aluminium fair value at USD1,864/tonne.
• Fig. 13: Nickel fair value at USD12,861/tonne.
• Fig. 14: Global financial conditions supportive for base metals.
• Fig. 15: US economic recovery supports metal prices.
• Fig. 16: Zinc fair value at USD/tonne.
• Fig. 17: Copper fair value at USD/tonne.
• Fig. 18: US 5y5y real yields support base metals.
• Fig. 19: US 1y1y rates also support base metals.
• Fig. 20: Decline in aluminium inventories no longer correlates with price.

Disclaimer and Legal Information

• This document is a marketing communication and not investment research for the purpose of MiFID II.
• It is non-independent research and may be subject to conflicts of interest.
• No liability is accepted for any losses arising from the use of the information.
• The indicated prices are for informational purposes and may vary based on different models or assumptions.
• The performance data is based on back-testing and is for illustrative purposes only.
• The document may contain ETF, options, and convertible securities information, which may involve significant risks.
• The document is intended for Professional Clients and Eligible Counterparties only.
• The information is not to be relied upon as authoritative or a substitute for independent judgment.
• The document is confidential and may not be distributed without prior written consent.

Conclusion

The ComFA™ model suggests a bullish outlook for base metals, with nickel leading the way, while oil products remain slightly overvalued. The model highlights the importance of economic data, financial conditions, and market variables in determining fair value. Investors are advised to exercise caution and conduct their own analysis before making any investment decisions.