20180625-法国巴黎银行-Quant_Strategy___TIF_model_update__Closing_aluminium,_nickel_13页_748kb

COMMODITY QUANT STRATEGY Summary

Core Content

This document provides an update on the BNP Paribas Commodity Quant Strategy, specifically focusing on the TIF (Trend Identification Framework) model and related strategies such as MarFA™. The report outlines the current trend positions, performance metrics, and key decisions regarding the commodities covered by the model.

Main Commodities and Their Status

• Gold:

  • Current trend: Bull
  • Probability: 98% (up from 95% last week)
  • No strategy is currently active

• WTI Crude Oil:

  • Current trend: Bull
  • Probability: 84%
  • Performance (last 3 months): 14.3%
  • Performance (last 6 months): 15.7%
  • Performance (last 12 months): 40.7%

• Brent Crude Oil:

  • Current trend: No trend
  • Probability: 54%
  • Performance (last 3 months): 2.5%
  • Performance (last 6 months): 8.2%
  • Performance (last 12 months): 23.2%
  • Profit taken on 15 June: 3.2%

• Copper:

  • Current trend: Bull
  • Probability: 83%
  • Performance (last 3 months): -1.4%
  • Performance (last 6 months): -1.4%
  • Performance (last 12 months): 14.1%

• Aluminium:

  • Current trend: Bear
  • Probability: 27.1%
  • Performance (last 3 months): -5.9%
  • Performance (last 6 months): -9.5%
  • Performance (last 12 months): -24.2%
  • Decision: Closing long position for a 4.8% loss, with a one-week wait to confirm the bear trend

• Nickel:

  • Current trend: No trend
  • Probability: 59%
  • Performance (last 3 months): 2.1%
  • Performance (last 6 months): -12.5%
  • Performance (last 12 months): -29.5%
  • Decision: Closing long position for a 3.1% profit

• Zinc:

  • Current trend: No trend
  • Probability: 45.3%
  • Performance (last 3 months): -15.0%
  • Performance (last 6 months): 0.0%
  • Performance (last 12 months): 10.2%

• SPGS Energy:

  • Current trend: No trend
  • Probability: 61%
  • Performance (last 3 months): -0.9%
  • Performance (last 6 months): -6.5%
  • Performance (last 12 months): 11.4%

Key Information

• The TIF model comprises eight commodities: gold, WTI crude oil, Brent crude oil, copper, nickel, zinc, aluminium, and SPGS Energy.
• Most commodities do not show a clear trend, leading to the closure of long positions on aluminium and nickel.
• The factor model is currently short Brent, short aluminium, and long XAG/XAU.
• MarFA™ does not hold any strategy at the moment.
• The report includes performance metrics such as Total PhL, Average PhL, Standard Deviation of PhL, Hit Ratio, and Number of Signals for each commodity.
• The document is produced by Banco BNP Paribas Brasil S.A. and is intended for Professional Clients and Eligible Counterparties under MiFID II.
• It contains non-independent research and is a marketing communication, not investment research.
• The document includes important legal and compliance notices, including conflict of interest disclosures, confidentiality clauses, and regulatory restrictions on the use of the content.

Contacts

• Gabriel Gersztein: Head of GM Latam Strategy, +551138413421, gabriel.gersztein@br.bnpparibas.com
• Samuel Castro: Commodity Quant Strategy, +551138413492, samuel.castro@br.bnpparibas.com
• Luca Maia: Commodity Quant Strategy, +551138413447, luca.maia@br.bnpparibas.com
• Andre Digiacomo: FX & IR Latin America Strategy, +551138413445
• Robert McAdie: Global Markets Head of Strategy, London, +44 20 7595 8885, robert.mcadie@uk.bnpparibas.com
• Michael Sneyd: Global Head of FX Strategy & Cross-Asset Strategist, London, +44 20 7595 1307, michael.sneyd@uk.bnpparibas.com

Disclaimer

• This document is non-independent research and is a marketing communication.
• It does not constitute investment research for MiFID II purposes.
• The information and opinions are based on public sources and may not be independently verified.
• No liability is accepted for any use or reliance on the information.
• Past performance is not indicative of future results.
• The indicated prices are for informational purposes only and may not be executed at those levels.
• The document is subject to change and is not intended for retail investors.
• Option and ETF disclosures are included, emphasizing the risks involved and the need for independent advice.
• Restricted securities may be discussed, only available to Qualified Institutional Buyers or non-US persons.