20180820-法国巴黎银行-Quant_Strategy___TIF_model_update__Energy_trendless_13页_759kb

COMMODITY QUANT STRATEGY SUMMARY

Core Content

This document is a report from BNP Paribas Brasil S.A.'s Commodity Quant Strategy team, detailing the current status and performance of the BNPP-TIF model, which is a trend-following strategy focused on commodities. The report highlights the trend status, profitability, and key triggers for each commodity in the portfolio. It also includes contact details for the strategy team and a legal disclaimer.

Main Commodities and Their Trend Status

The BNPP-TIF model tracks eight commodities:

• Gold
• WTI Crude Oil
• Brent Crude Oil
• Copper
• Nickel
• Zinc
• Aluminium
• SPGS Energy

Trend Analysis

Key Positions and Actions

The model currently holds the following positions:

• Long positions: Nickel, Zinc, WTI Crude Oil
• Short positions: Nickel, Zinc, Brent Crude Oil
• Long XAG/XAU and Silver (from the factor model)

Closing actions include:

• Closing long Brent Crude Oil (COV8) position (28 contracts at USD 71.99/bbl) with a -2.15% loss
• Closing long Aluminium (LME 3m) position (38 contracts at USD 2,066/MT) with a -0.97% loss

Performance Overview

Key Trends and Triggers

WTI Crude Oil

• Trend: Bull
• Trigger to end bull trend: -2.6%
• Trigger to end bear trend: -12.0%
• Performance: -2.9% (3M), 12.1% (6M), 28.5% (12M)

Brent Crude Oil

• Trend: No trend
• Trigger to end bull trend: 0.7%
• Trigger to end bear trend: -5.5%
• Performance: -1.7% (3M), -4.8% (6M), 20.2% (12M)

SPGS Energy

• Trend: No trend
• Trigger to end bull trend: 2.1%
• Trigger to end bear trend: -3.7%
• Performance: 3.6% (3M), -0.9% (6M), 12.7% (12M)

Gold

• Trend: Bull
• Trigger to end bull trend: -12.4%
• Trigger to end bear trend: -19.6%
• Performance: -3.5% (3M), -3.5% (6M), -3.5% (12M)

Copper

• Trend: Bull
• Trigger to end bull trend: -14.9%
• Trigger to end bear trend: -20.1%
• Performance: -9.1% (3M), -9.1% (6M), 4.1% (12M)

Nickel

• Trend: Bull
• Trigger to end bull trend: -2.9%
• Trigger to end bear trend: -8.1%
• Performance: 1.2% (3M), -5.1% (6M), -27.4% (12M)

Zinc

• Trend: Bear
• Trigger to end bull trend: -0.3%
• Trigger to end bear trend: -6.2%
• Performance: -14.2% (3M), -24.2% (6M), 1.0% (12M)

Aluminium

• Trend: No trend
• Trigger to end bull trend: 2.3%
• Trigger to end bear trend: -2.2%
• Performance: 0.7% (3M), -11.3% (6M), -20.0% (12M)

Key Insights

• The model is based on contrarian strategies and momentum.
• The TIF model is designed to benefit from periods of strong serial correlation in commodity price returns.
• The factor model is long on XAG/XAU and Silver, while the TIF model is long on Nickel, Zinc, and WTI Crude Oil.
• The Aluminium and Brent Crude Oil positions are being closed due to lack of trend.
• The energy sector (SPGS Energy) is currently trendless.

Strategy Overview

• BNPP-TIF focuses on trend-following in commodities.
• The strategy has three main approaches:
  • MarFA™ (contrarian strategies)
  • Multifactor models (contrarian strategies)
  • BNPP-TIF (momentum-based strategy)

Legal Disclaimer

This document is a marketing communication and not investment research. It is not intended for distribution to retail investors and may contain research as defined under MiFID II, which is only available to those who have signed up to BNPP Global Markets Research packages or are out of scope of the MiFID II unbundling rules. The information is not to be relied upon as authoritative and is subject to change without notice. BNPP may have conflicts of interest and may engage in transactions inconsistent with the views expressed in the document. The information may not be accurate or complete and is not a prospectus or public offering.