20180214-法国巴黎银行-COMMODITY_QUANT_STRATEGY_11页_294kb

Summary of COMMODITY QUANT STRATEGY: MarFA™ Energy Monthly

Core Content

This document provides an analysis of energy price drivers using the MarFA™ Energy model, produced by BNP Paribas Brasil S.A. It outlines the key market factors influencing energy prices, both in the short and long term, and evaluates the current fair value of crude oil based on these factors.

Main Underlying Factors

• Weekly Analysis:
  The first market component explains most of the weekly variations in energy prices, with the second component showing a significant decline in explanatory power. The main drivers identified are:

  • Speculative positions
  • Shape of the US interest rate curve
  • US monetary policy expectations
  • US economic surprises

• Daily Analysis:
  The first market component continues to dominate daily price variations, with the following factors being the most significant:

  • Global financial conditions
  • BNP Paribas Global Risk Premium index

Key Observations

• Explanatory Power:
  The explanatory power of the second market component has dropped significantly in both weekly and daily analyses. For example, in the weekly analysis, the second component had only 3.2% explanatory power for WTI crude, while in the daily analysis, it had less than 1% for most energy assets.

• Market Dynamics:
  The document highlights that energy prices have shown higher volatility and premium across markets, which suggests that the financial channel, along with speculative positions, remains a critical driver.

• Fair Value Analysis:
  The model suggests that crude oil is currently cheap to its short-term fair value. The estimated fair values are:

  • WTI Crude: USD 62.2/bbl
  • Brent Crude: USD 66.5/bbl

• Model Performance:
  The model's results are supported by historical price distributions, which are plotted in the accompanying charts to illustrate the relationship between market prices and the model's fitted values.

Strategy Recommendations

• The model is used to determine whether energy prices are mispriced in the short term.
• The results indicate that energy prices are undervalued relative to their fair value.
• It is recommended to complement the conclusions with the linked report on the forgotten link between crude oil, the US dollar, and real interest rates.

Important Information

• The report is produced by BNP Paribas Brasil S.A. and includes contributions from several BNP Paribas professionals.
• The document is a marketing communication and not independent research. It may be subject to conflicts of interest due to interactions with sales and trading.
• The information is based on public sources and may not have been independently verified. It is not intended to be a substitute for professional advice and should not be relied upon for making investment decisions.
• The information is for informational purposes only and does not constitute an offer to sell or a solicitation to buy any financial instruments.
• No guarantees are made regarding the accuracy or completeness of the information or the future performance of the strategies discussed.

Contacts

• Gabriel Gersztein – Head of GM Latam Strategy, Commodity Quant Strategy
  Email: gabriel.gersztein@br.bnpparibas.com
  Phone: +55 11 3841 3421

• Samuel Castro – Commodity Quant Strategy, FX & IR Latam Strategy
  Email: samuel.castro@br.bnpparibas.com
  Phone: +55 11 3841 3492

• Gustavo Mendonca – Commodity Quant Strategy, FX & IR Latam Strategy
  Email: gustavo.mendonca@br.bnpparibas.com
  Phone: +55 11 3841 3445

• Michael Sneyd – Cross Asset Quant Strategy, Global Head of FX Strategy
  Email: michael.sneyd@uk.bnpparibas.com
  Phone: +44 20 7595 1307

• Robert McAdie – Global Markets Head of Strategy
  Email: robert.mcadie@uk.bnpparibas.com
  Phone: 44 20 7595 8885

Legal Disclaimer

• This document is not investment research for the purposes of MiFID II and is not intended to be used by persons who are not "Relevant Persons".
• No liability is accepted for any losses arising from the use of the information in this document.
• The information is subject to change without notice and is not a substitute for professional advice.
• The document may include performance data based on back-testing, which is for illustrative purposes only and not indicative of future results.
• The document may not be reproduced or distributed without prior written consent from BNP Paribas.

United States Disclosures

• Options Risk:
  Options are complex financial instruments that may not be suitable for all investors and involve a high degree of risk. They are appropriate only for sophisticated investors who understand the risks involved.
• Preliminary Information:
  Any trade information provided is preliminary and not intended as an official transaction confirmation.