20180824-法国巴黎银行-COMMODITY_QUANT_STRATEGY_13页_760kb

COMMODITY QUANT STRATEGY SUMMARY

Overview

This document provides an update on the BNPP-TIF model, which tracks eight commodities: gold, WTI crude oil, Brent crude oil, copper, nickel, zinc, aluminium, and SPGS Energy. The model is currently in a bull trend for most assets, with the exception of aluminium, which is trendless. The report outlines the current positions, performance metrics, and trend probabilities for each commodity, emphasizing the model's focus on capturing strong serial correlation during bull markets.

Core Content

TIF Model Overview

• Commodities Covered: Gold, WTI crude oil, Brent crude oil, copper, nickel, zinc, aluminium, and SPGS Energy.
• Model Focus: BNPP-TIF is designed to capitalize on strong serial correlation in commodity price returns.
• Current Trend Status:
  • Bull Trend: Gold, WTI crude oil, Brent crude oil, copper, nickel, zinc, and SPGS Energy.
  • No Trend: Aluminium.

Positioning

• Long Positions: Nickel, Zinc, and WTI crude oil.
• Short Positions: Brent crude oil.
• Factor Model: Long on XAG/XAU, Silver, and Zinc.
• New Position: Opening a long position in Brent crude oil (COV8) at USD 76.56/bbl with 26 contracts.

Key Commodities Analysis

WTI Crude Oil

• Trend: Bull trend since August 2017.
• Current Probability: 84.7%.
• Performance (Last 3M): -2.9%.
• Performance (Last 6M): 12.1%.
• Performance (Last 12M): 28.5%.
• Trend Parameters:
  • Price change to trigger/end bull trend: -6.9%.
  • Price change to trigger/end bear trend: -16.4%.

Brent Crude Oil

• Trend: Bull trend with current probability at 84.1%.
• Performance (Last 3M): -1.7%.
• Performance (Last 6M): -4.8%.
• Performance (Last 12M): 20.2%.
• Trend Parameters:
  • Price change to trigger/end bull trend: -4.4%.
  • Price change to trigger/end bear trend: -10.6%.

Gold

• Trend: Bull trend since December 2016.
• Current Probability: 100%.
• Performance (Last 3M): -2.1%.
• Performance (Last 6M): -2.1%.
• Performance (Last 12M): -2.1%.
• Trend Parameters:
  • Price change to trigger/end bull trend: -14.1%.
  • Price change to trigger/end bear trend: -21.3%.

Copper

• Trend: Bull trend with current probability at 94.4%.
• Performance (Last 3M): -7.6%.
• Performance (Last 6M): -7.6%.
• Performance (Last 12M): 5.5%.
• Trend Parameters:
  • Price change to trigger/end bull trend: -15.6%.
  • Price change to trigger/end bear trend: -20.8%.

Nickel

• Trend: Bull trend with current probability at 67.0%.
• Performance (Last 3M): -0.9%.
• Performance (Last 6M): -7.3%.
• Performance (Last 12M): -29.5%.
• Trend Parameters:
  • Price change to trigger/end bull trend: -1.9%.
  • Price change to trigger/end bear trend: -7.2%.

Zinc

• Trend: Bull trend with current probability at 76.1%.
• Performance (Last 3M): -14.2%.
• Performance (Last 6M): -24.2%.
• Performance (Last 12M): 1.0%.
• Trend Parameters:
  • Price change to trigger/end bull trend: -5.5%.
  • Price change to trigger/end bear trend: -11.4%.

SPGS Energy

• Trend: Bull trend with current probability at 74.8%.
• Performance (Last 3M): 3.6%.
• Performance (Last 6M): -0.9%.
• Performance (Last 12M): 12.7%.
• Trend Parameters:
  • Price change to trigger/end bull trend: -1.6%.
  • Price change to trigger/end bear trend: -7.4%.

Aluminium

• Trend: No trend with current probability at 51.3%.
• Performance (Last 3M): 0.7%.
• Performance (Last 6M): -11.3%.
• Performance (Last 12M): -20.0%.
• Trend Parameters:
  • Price change to trigger/end bull trend: 2.0%.
  • Price change to trigger/end bear trend: -2.5%.

Summary of Positions and Performance

Main Points and Key Information

• TIF Model: Focuses on capturing strong serial correlation in commodity price returns, particularly during bull cycles.
• Bull Trends: WTI, Brent, gold, copper, nickel, zinc, and SPGS Energy are in bull trends, with varying probabilities and performance metrics.
• Trendless: Aluminium is currently trendless, with no significant change in trend status.
• Performance Highlights:
  • WTI crude oil shows strong performance over the 6M and 12M periods.
  • Gold and copper have been in bull trends for over a year.
  • Zinc and nickel have shown mixed performance, with recent declines.
• New Position: A long position in Brent crude oil (COV8) has been opened at USD 76.56/bbl with 26 contracts.
• Model Parameters: Each commodity has specific price thresholds to trigger or end trends, which vary based on market conditions and historical data.

Contacts

• Gabriel Gersztein: Head of GM Latam Strategy, +55 11 3841 3421, gabriel.gersztein@br.bnpparibas.com
• Samuel Castro: FX & IR Latam Strategy, +55 11 3841 3492, samuel.castro@br.bnpparibas.com
• Luca Maia: FX & IR Latam Strategy, +55 11 3841 3447, luca.maia@br.bnpparibas.com
• Andre Digiacomo: FX & IR Latin America Strategy, +55 11 3841 3445, andre.digiacomo@br.bnpparibas.com

Legal Notice

• This document is a marketing communication and not independent investment research.
• It is intended for professional clients and eligible counterparties as defined by MiFID II.
• BNPP may have conflicts of interest and may engage in transactions inconsistent with the views expressed.
• The information is based on public sources and may not be accurate or complete.
• No liability is accepted for any use of the document or its content.
• Performance data is based on back-testing and may not reflect actual market conditions or future results.