20181026-法国巴黎银行-TIF_MODEL_UPDATE__ENERGY_SECTOR_TRENDLESS__SHORT_ALUMINIUM_13页_656kb

报告摘要

TIF Model Update Summary

Overview

This document provides an update on the BNP Paribas Commodity Trend-following (TIF) model as of 26 October 2018. It outlines the current trend status and positions for several commodities, including gold, WTI and Brent crude oil, copper, nickel, zinc, aluminium, and SPGS Energy. The model is part of a broader strategy that includes contrarian approaches and aims to capitalize on strong serial correlation in commodity price returns.

Current Market Positions

WTI Crude Oil: The model previously held a long position due to a bull trend, but it has now shifted to a trendless cycle. The position is being closed with a -3.9% loss at USD66.78 /bbl.
Brent Crude Oil: The model is currently in a trendless cycle, with a probability of 51%, up from the previous week.
SPGS Energy: The energy sector is trading in a trendless cycle, with a trend probability of 50%.
Aluminium: Transitioned from a bull trend to a bear trend. A short position is being opened on LME, 3m, maturing on 26-Jan-2019 at USD1983/MT with 40 contracts.
Nickel: Now in a bull trend with a probability of 61%, slightly below the previous week's update.
Copper: Remains in a bull trend with a probability of 90%, although this has been decreasing over the past month.
Zinc: Shows a decrease in trend probability, currently at 51%, within the trendless zone.

Key Trends and Model Insights

The BNPP-TIF model has been in a bull cycle for the last few months, but the trend has weakened, leading to a trendless status for the energy sector.
The model is long in nickel and short in aluminium.
The factor model is long in XAG/XAU and short in Brent crude oil.
The TIF model uses contrarian strategies alongside momentum strategies to capture market movements.

Performance Metrics

Asset	Model Trend	Strength (0-1)	PnL Last 3M	PnL Last 6M	PnL Last 12M	Comments
Gold	Bull	99.5%	1.7%	1.7%	1.7%	-
WTI Crude Oil	No trend	66.0%	-4.5%	10.5%	27.0%	-
Brent Crude Oil	No trend	50.6%	3.4%	1.7%	8.6%	-
SPGS Energy	No trend	49.5%	1.2%	4.3%	9.7%	-
Copper	Bull	90.3%	-1.8%	-6.8%	-8.0%	-
Aluminium	Bear	22.6%	-7.1%	-6.4%	-16.1%	-
Nickel	Bull	60.5%	-7.8%	-0.7%	-36.7%	-
Zinc	No trend	51.2%	-4.8%	-19.0%	-9.0%	TIF was long since 20 July

Strategy Details

MarFA™ and Multifactor Models: Focus on contrarian strategies.
BNPP-TIF: Aims to capture strong serial correlation in commodity price returns.
TIF Model Updates: Recent signals include taking profit on WTI and Brent crude oil, opening a short position on aluminium, and indicating a bullish trend for nickel and copper.

Legal and Disclaimer Information

This document is non-independent research and is intended for Relevant Persons as defined by MiFID II.
It does not constitute an offer to sell or issue any financial instrument.
Performance data is based on back-testing and may not reflect actual market conditions.
Indicative prices are not actual transaction terms and are subject to change.
No liability is accepted for any losses arising from reliance on the information in this document.
The document may contain option and ETF disclosures and is not intended for all investors.

Conclusion

The TIF model is currently in a trendless phase for the energy sector and has shifted to a bear trend for aluminium, leading to a short position. The model remains bullish on gold, copper, and nickel, while showing neutral trends for zinc and SPGS Energy. The strategy is based on trend-following and factor models, and is designed to capture momentum in commodity markets. Investors are advised to consult independent advisors and understand the risks involved before making any decisions based on this information.

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