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
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