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°ÍÀèÒøÐÐ--COMMODITY QUANT STRATEGY:Commodity Quant Strategy -closing tactically long WTI +BRENT crude oil futures @+3.5%

This short term, tactical strategy was derived from the principal component analysis introducedon 01 June 2017; link: Commodity Quant Strategy - Crude oil futures: Speculators rule, whileTrump effect fades plus the trading recommendation: Brent and WTI Crude oil: oversold, gotactically longIn the first paper above, we have shown that the variables with the highest short term covariancewithin the first market component were (1) the net position from speculators; and, to alesser extent (2) the US dollar and (3) forward-looking interest rates. Based on these findings, wehave set up a function to model the short-term, theoretical equilibrium value for Brent Crude andWest Texas Intermediate (WTI) crude oil.

While the original target of the trade was 5%, we recommend to close it at current levels (pnl of+3.5%) because the model¡¯s theoretical fair value in the short term adjusted slightly to thedownside (Charts below). The final pnl includes rolling costs and bid-ask spread (closing priceswere provided by BNPP WTI energy desk in London).