20180416-法国巴黎银行-TIF__trend__model_triggers_a_long_Brent_oil_and_nickel_position_9页_397kb

COMMODITY QUANT STRATEGY SUMMARY

Core Content

This document outlines the TIF (Trend) model, a recently launched trend-following strategy tool by BNP Paribas Brasil S.A. in the commodity markets. The strategy focuses on identifying and capitalizing on trends in commodities such as Brent oil and nickel. The report highlights the current positions triggered by the TIF model and includes performance metrics, trade details, and legal disclaimers.

Main Points

TIF Model Overview

• Purpose: The TIF model is designed to identify and follow trends in commodities.
• Strategy Type: Trend-following.
• Commodities Tracked: Seven commodities are monitored, including gold, WTI crude oil, Brent crude oil, copper, aluminium, nickel, and zinc.
• Total Allocation: USD 14 million is allocated across the seven commodities, with USD 2 million per commodity.
• Recent Trades:
  • Buy 23 contracts of LME 3m Nickel at USD 14,190/MT.
  • Buy 28 contracts of CON8 (Brent crude oil) at USD 71.20/bbl.

Current Positions

Performance Metrics

• Total PnL (Nickel): 268.8%
• Average PnL (Nickel): 2.2%
• Standard Deviation of PnL (Nickel): 6.9%
• Hit Ratio: 52%
• Sample Size: 11 years
• Average Signal Length (Nickel): 3.3 weeks
• Number of Signals per Year: 11.3

Recent Performance

• Last 3M:
  • Nickel PnL: -15.8%
  • Number of Signals: 4
• Last 6M:
  • Nickel PnL: -33.5%
  • Number of Signals: 8

Trigger/End Price Changes

• Bull Trend Trigger/End: -2.2% (for Nickel)
• Bear Trend Trigger/End: -7.4% (for Nickel)

Key Information

• The TIF model is part of BNP Paribas's Commodity Quant Strategy, led by Gabriel Gersztein and supported by Gustavo Mendonca and Samuel Castro.

• The strategy is based on trend momentum, and trading decisions are made based on price movements.

• The report includes charts and tables to illustrate the performance of the TIF model on Brent oil and nickel.

• Legal Disclaimer:

  • This document is non-independent research and marketing communication.
  • It is not investment research and should not be used for investment decisions.
  • The performance data is based on back-testing and simulations, which may not reflect real-world market conditions.
  • No guarantees are made regarding the accuracy or completeness of the information.
  • Confidentiality is emphasized, and the document may not be shared without prior written consent.
  • Conflicts of interest may exist due to BNPP's involvement in trading and advisory services.

• Important Disclosures:

  • The document includes option risk disclosures, ETF risk disclosures, and convertible securities disclosures.
  • Unregistered securities may be mentioned, and only qualified institutional buyers or non-US persons may be eligible to purchase them.
  • U.S. distribution is limited to institutional investors and authorized entities.

Contacts

Legal Notice

• This document is non-independent research and marketing communication.
• It is not investment research and not subject to MiFID II independence requirements.
• No liability is accepted for any loss arising from reliance on the document.
• The performance data is based on simulations and historical back-testing, which may not reflect real-world results.
• Confidentiality is required, and the document is intended for specific recipients.
• Regulatory Compliance: The document is subject to various regulatory requirements and legal notices in different jurisdictions.

Jurisdictional Notes

• United States: The document is a general solicitation of derivatives business and may be distributed only to institutional investors.
• UK: The document is communicated by BNP Paribas London Branch and is subject to MiFID II regulations.
• France: The report is produced and/or distributed by BNPP SA and BNPP Arbitrage, both authorized and supervised by ECB and ACPR.
• Germany: The report is distributed by BNPP S.A. Niederlassung Deutschland, subject to limited regulation by BaFin.
• Belgium: The report is supervised by ECB, National Bank of Belgium, and FSMA.
• Ireland: The report is distributed by BNPP S.A. Dublin Branch, regulated in France.
• Italy: The report is distributed by BNPP Succursale Italia, subject to limited regulation by Bank of Italy and CONSOB.
• Netherlands: The report is distributed by BNPP Fortis SA/NV, supervised by ECB, National Bank of Belgium, and Belgian Financial Services.

Summary

The TIF model, a trend-following strategy, has triggered long positions in Brent crude oil and nickel. The strategy is equally allocated across seven commodities, with USD 2 million per commodity. The performance metrics indicate a high hit ratio and positive average returns, though recent 3M and 6M PnL for nickel show negative performance. The strategy is subject to legal disclaimers, confidentiality requirements, and regulatory compliance across multiple jurisdictions. The document serves as marketing communication and is intended for professional clients and relevant persons only.