20180713-法国巴黎银行-Quant_Strategy___TIF_model_update__Closing_aluminium_13页_747kb

COMMODITY QUANT STRATEGY SUMMARY

Core Content

This document is a report from BNP Paribas Brasil S.A. on the BNP Paribas TIF (Trend Following) model update as of 13 July 2018, focusing on the current positioning and performance of various commodities.

The TIF model includes eight commodities: gold, WTI crude oil, Brent crude oil, copper, nickel, zinc, aluminium, and SPGS Energy. The report outlines the trend status, performance metrics, and trade recommendations for each asset.

Main Points

• TIF Model Overview: The model employs contrarian strategies through MarFA™ and multifactor models, alongside BNPP-TIF, which aims to capitalize on periods of strong serial correlation in commodity price returns.

• Current Positioning:

  • Gold: In a bull trend with a 99% probability (up from 98% last week). No clear trend change observed in the past month.
  • WTI Crude Oil: In a bull trend with an 87% probability, unchanged from the last update. The trend has been in place since February 2018.
  • Brent Crude Oil: Trendless with a 46.2% probability.
  • Copper: In a bull trend with a 90% probability, consistent over the last month.
  • Aluminium: No trend, leading to the recommendation to close the short LME Aluminium strategy at USD 2,039/MT, resulting in a 2.6% profit.
  • Nickel: Trendless with a 46.1% probability.
  • Zinc: In a no-trend zone with a 56.1% probability.
  • SPGS Energy: No longer in a bull trend, with a 39% probability within the no-trend zone.

• Performance Metrics:

  • Gold: 1.1% PnL over the last 3 months, 1.1% over 6 months, and 1.1% over 12 months.
  • WTI Crude Oil: 19.4% PnL over the last 3 months, 20.8% over 6 months, and 50.8% over 12 months.
  • Brent Crude Oil: -1.7% PnL over the last 3 months, -9.8% over 6 months, and 20.2% over 12 months.
  • SPGS Energy: 2.9% PnL over the last 3 months, -3.2% over 6 months, and 17.4% over 12 months.
  • Copper: -5.0% PnL over the last 3 months, -5.0% over 6 months, and 8.7% over 12 months.
  • Aluminium: 0.4% PnL over the last 3 months, -3.2% over 6 months, and -17.9% over 12 months.
  • Nickel: 4.6% PnL over the last 3 months, -6.2% over 6 months, and -26.4% over 12 months.
  • Zinc: -14.2% PnL over the last 3 months, -4.2% over 6 months, and 6.0% over 12 months.

• Overall TIF Positioning:

  • The model currently does not hold any strategy.
  • The factor model is long XAG/XAU and short Nickel and Brent crude oil.

Key Information

• Trade Recommendation: Close the short LME Aluminium strategy at USD 2,039/MT for a 2.6% profit.
• Model Parameters:
  • The model uses trend probability and price change thresholds to determine entry and exit points.
  • WTI Crude Oil has a price change to trigger/end bull trend of -16.2% and -34.6%, respectively.
  • Brent Crude Oil has a price change to trigger/end bull trend of 3.8% and -2.4%.
  • Zinc has a price change to trigger/end bull trend of 4.8% and -1.0%.
• Performance Statistics:
  • WTI Crude Oil: 258.3% total PhL, 2.3% average PhL, 7.5% standard deviation.
  • Brent Crude Oil: 214.1% total PhL, 1.9% average PhL, 7.5% standard deviation.
  • Zinc: 226.7% total PhL, 2.4% average PhL, 7.8% standard deviation.
  • SPGS Energy: 221.0% total PhL, 2.0% average PhL, 6.3% standard deviation.
• Signal Frequency:
  • WTI Crude Oil: 111 signals, 10.1 per year, 2 signals in the last 3M and 6M.
  • Brent Crude Oil: 111 signals, 10.1 per year, 2 signals in the last 3M and 3 in 6M.
  • Zinc: 94 signals, 8.6 per year, 2 signals in the last 3M and 3 in 6M.
  • SPGS Energy: 112 signals, 10.2 per year, 2 signals in the last 3M and 3 in 6M.
• Hit Ratios:
  • WTI Crude Oil: 48%
  • Brent Crude Oil: 49%
  • Zinc: 44%
  • SPGS Energy: 54%

Important Contacts

Legal Disclaimer

• This document is a marketing communication and not investment research.
• It is not intended for non-professional clients and may contain Research subject to MiFID II unbundling rules.
• BNP Paribas and its affiliates may have conflicts of interest and financial interests in the mentioned issuers or securities.
• The performance data is based on back-testing and is not indicative of future results.
• The indicated prices are not actual transaction terms and may vary.
• Options and ETFs discussed may involve high risk and are only suitable for sophisticated investors.
• Restricted securities may only be purchased by QIBs or non-US persons.
• The document is strictly confidential and not for public distribution.

Conclusion

The TIF model is currently trend-focused, with gold and WTI crude oil showing bull trends, while Brent crude oil, nickel, zinc, and SPGS Energy are trendless or neutral. The aluminium strategy is being closed with a positive return. The model does not currently hold any active strategy and the factor model is long XAG/XAU and short Nickel and Brent crude oil. The report is not investment advice and not a prospectus. It is subject to change and confidential.