20180427-法国巴黎银行-COMMODITY_QUANT_STRATEGY_9页_461kb

COMMODITY QUANT STRATEGY SUMMARY

Core Content

This document outlines an update to the BNPP-TIF (Trend Following) commodity strategy, focusing on aluminium and nickel. It details the current market trends, trading signals, and positions for these commodities, as well as the broader strategy framework.

Strategy Overview

• BNPP-TIF is a trend-following model that aims to capitalize on strong serial correlation in commodity price returns.
• The model is part of a broader set of strategies, including MarFA™ and a multifactor model, which focus on contrarian approaches.
• The model currently recommends selling 36 contracts of LME 3m Aluminium at USD 2,247/MT due to a shift in trend.
• The strategy is tailored for Professional Clients and Eligible Counterparties under MiFID II and is a marketing communication.

Key Commodities and Trends

Aluminium

• Current Trend: Entered a bear trend, marking a shift from a previous bull cycle.
• Model Actions:
  • Closed long position on 17 April after achieving a 15% profit.
  • BNPP-TIF is short aluminium.
• Performance Metrics:
  • Total PhL: 138.5%
  • Average PhL: 1.6%
  • Standard Deviation of PhL: 5.8%
  • Number of Signals: 88
  • Average Signal Length (weeks): 5.1
  • Hit Ratio: 52%
  • Sample Size (years): 11
  • Signals per Year: 8.0
  • Recent Signals:
    • Last 3M: 2 signals, resulting in a -5.8% PhL
    • Last 6M: 6 signals, resulting in a -11.9% PhL
• Trend Trigger Thresholds:
  • Bull Trend: 9.0% price increase
  • Bear Trend: 4.4% price decrease

Nickel

• Current Trend: Returned to neutral after a previous long position.
• Model Actions:
  • Closed long position on 16 April, with a current 47% probability of being in a neutral trend.
  • MarFA™ is long nickel.
• Performance Metrics:
  • Total PhL: 268.8%
  • Average PhL: 2.2%
  • Standard Deviation of PhL: 6.9%
  • Number of Signals: 124
  • Average Signal Length (weeks): 3.3
  • Hit Ratio: 52%
  • Sample Size (years): 11
  • Signals per Year: 11.3
  • Recent Signals:
    • Last 3M: 4 signals, resulting in a -10.4% PhL
    • Last 6M: 8 signals, resulting in a -28.1% PhL
• Trend Trigger Thresholds:
  • Bull Trend: 3.5% price increase
  • Bear Trend: -1.7% price decrease

Recent Strategy Signals

• BNPP-TIF model update on 20 April 2023 showed all assets trending upward.
• Aluminium was closed as a long position due to a new bear trend.
• Nickel was moved to neutral, leading to the closure of the long position.

Legal and Regulatory Information

• The document is a marketing communication and non-independent research.
• It is not investment research under MiFID II and does not constitute an offer to sell or purchase any financial instrument.
• The information is not guaranteed for accuracy or completeness and may be subject to conflicts of interest.
• BNPP may have financial interests in the mentioned assets and may engage in transactions that are inconsistent with the views expressed.
• Performance data is based on back-testing and is not indicative of future results.
• Options and ETFs discussed in the document are subject to specific disclosures and may involve high risk.
• The document is intended for institutional clients and is not suitable for retail investors.

Contacts