文本描述
Commodity Quant Strategy
23 February 2018
globalmarkets.bnpparibas2
Charts 1-3; XAU model, error bands, and market divergence
500
800
1,100
1,400
1,700
500
800
1,100
1,400
1,700
200720092011201320152017
Model Band
Market
Model Central
900
1,100
1,300
1,500
1,700
900
1,100
1,300
1,500
1,700
May-14Jul-15Sep-16Nov-17Jan-19
Model BandMarket
Model CentralProjected
ConsensusZoom
Buy
Buy
Sell
Sell
0.5%
-15%
-6%
3%
12%
21%
200720092011201320152017
Difference between
market and model
Cheap; buy
Rich;Sell
Source: Bloomberg LLP; BNP Paribas; Update as of 5 July 2018
This document has been written by our Strategist and Economist teams within the BNP Paribas group of companies (collectively
“BNPP”); it does not purport to be an exhaustive analysis, and may be subject to conflicts of interest resulting from their interaction
with sales and trading which could affect the objectivity of this report. This document is non-independent research for the purpose of
the UK Financial Conduct Authority rules.For the purposes of the recast Markets in Financial Instruments Directive (2014/65/EU)
(MiFID II), non-independent research constitutes a marketing communication. This document is not investment research for the
purposes of MiFID II. It has not been prepared in accordance with legal requirements designed to provide the independence of
investment research, and is not subject to any prohibition on dealing ahead of the dissemination of investment research.
The content in this document/communication may also contain “Research” as defined under the MiFID II unbundling rules. If the
document/communication contains Research, it is intended for those firms who are either in scope of the MiFID II unbundling rules
and have signed up to one of the BNPP Global Markets Research packages, or firms that are out of scope of the MiFID II unbundling
rules and therefore not required to pay for Research under MiFID II. Please note that it is your firm’s responsibility to ensure that you
do not view or use the Research content in this document if your firm has not signed up to one of the BNPP Global Markets Research
packages, except where your firm is out of scope of the MiFID II unbundling rules.
STEER is a trade mark of BNPP.
This document constitutes a marketing communication and has been prepared by BNPP for, and is directed at, (a) Professional Clients and
Eligible Counterparties as defined by the recast Markets in Financial Instruments Directive (2014/65/EU) (MiFID II), and (b) where relevant,
persons who have professional experience in matters relating to investments falling within Article 19(5) of the Financial Services and Markets
Act 2000 (Financial Promotion) Order 2005, and at other persons to whom it may lawfully be communicated (together “Relevant Persons”)
under the regulations of any relevant jurisdiction. Any investment or investment activity to which this document relates is available only to and
will be engaged in only with Relevant Persons. Any person who is not a Relevant Person should not act or rely on this document or its content.
Securities described herein may not be eligible for sale in all jurisdictions or to certain categories of investors.
The information and opinions contained in this document have been obtained from, or are based on, public sources believed to be reliable, but
there is no guarantee of the accuracy, completeness or fitness for any particular purpose of such information and such information may not have
been independently verified by BNPP or by any person.None of BNPP, any of its subsidiary undertakings or affiliates or its members, directors,
officers, agents or employees accepts any responsibility or liability whatsoever or makes any representation or warranty, express or implied, as
to the accuracy and completeness of the information or any opinions based thereon and contained in this document and it should not be relied
upon as such.
This document does not constitute or form any part of any offer to sell or issue and is not a solicitation of any offer to purchase any financial
instrument, nor shall it or any part of it nor the fact of its distribution form the basis of, or be relied on, in connection with any contract or
investment decision. To the extent that any transaction is subsequently entered into between the recipient and BNPP, such transaction will be
entered into upon such terms as may be agreed by the parties in the relevant documentation.
Information and opinions contained in this document are published for the information of recipients, but are not to be relied upon as authoritative
or taken in substitution for the exercise of judgment by any recipient, are subject to change without notice and not intended to provide the sole
basis of any evaluation of the instruments discussed herein. In providing this document, BNPP does not offer investment, financial, legal, tax or
any other type of advice to, nor has any fiduciary duties towards, recipients. Any reference to past performance is not indicative of future
performance, which may be better or worse than prior results.Any hypothetical, past performance simulations are the result of estimates made
by BNPP, as of a given moment, on the basis of parameters, market conditions, and historical data selected by BNPP, and should not be used
as guidance, in any way, of future performance. To the fullest extent permitted by law, no BNPP group company accepts any liability whatsoever
(including in negligence) for any direct or consequential loss arising from any use of or reliance on material contained in this document even
where advised of the possibility of such losses. All estimates and opinions included in this document are made as of the date of this document.
Unless otherwise indicated in this document there is no intention to update this document.
BNPP may make a market in, or may, as principal or agent, buy or sell securities of any issuer or person mentioned in this document or
derivatives thereon. Prices, yields and other similar information included in this document are included for information purposes however
numerous factors will affect market pricing at any particular time, such information may be subject to rapid change and there is no certainty that
transactions could be executed at any specified price.
BNPP may have a financial interest in any issuer or person mentioned in this document, including a long or short position in their securities
and/or options, futures or other derivative instruments based thereon, or vice versa. BNPP, including its officers and employees may serve or
have served as an officer, director or in an advisory capacity for any person mentioned in this document. BNPP may, from time to time, solicit,
perform or have performed investment banking, underwriting or other services (including acting as adviser, manager, underwriter or lender)
within the last 12 months for any person referred to in this document. BNPP may be a party to an agreement with any person relating to the
production of this document. BNPP may to the extent permitted by law, have acted upon or used the information contained herein, or the
analysis on which it was based, before the document was published. BNPP may receive or intend to seek compensation for investment banking
services in the next three months from or in relation to any person mentioned in this document. Any person mentioned in this document may
have been provided with relevant sections of this document prior to its publication in order to verify its factual accuracy.
This document is for information purposes only and there is no assurance that a transaction(s) will be entered into on such indicative terms. Any<