20181011-法国巴黎银行-TIF_model_update__Taking_profit_on_WTI_and_Brent_crude_oil_13页_655kb

TIF Model Update Summary: Taking Profit on WTI and Brent Crude Oil

Core Content

This document provides an update on the BNP Paribas Commodity Trend and Momentum Strategy (BNPP-TIF), focusing on the current market trends and positions for several commodities. The strategy is designed to capitalize on strong serial correlation in commodity price returns, and it utilizes different models to identify and manage trading opportunities.

Key Commodities and Trends

• Gold:

  • Has been in a bull trend since December 2016.
  • Current trend probability is 99%.
  • Profit/Loss (PnL) over the last 3 months: -1.9%, over the last 6 months: -1.8%, over the last 12 months: -1.9%.
  • Average PnL: 3.1%, Standard Deviation (St Dev): 6.4%.
  • Hit Ratio: 59%.

• WTI Crude Oil:

  • Exited the bull trend and moved to the trendless zone.
  • Profit: 4.6% on the long position, which was closed at 71.98 USD/bbl.
  • Trend probability: 50%.
  • PnL over last 3 months: 0.0%, over the last 6 months: 15.0%, over the last 12 months: 31.4%.
  • Average PnL: 2.5%, St Dev: 7.5%.

• Brent Crude Oil:

  • Exited the bull trend and moved to the trendless zone.
  • Profit: 6.4% on the long position, which was closed at 81.48 USD/bbl.
  • Trend probability: 54.8%.
  • PnL over last 3 months: 5.3%, over the last 6 months: 3.5%, over the last 12 months: 10.5%.
  • Average PnL: 1.9%, St Dev: 7.5%.

• Nickel:

  • Entered the bull trend from a trendless cycle.
  • Trend probability: 71%.
  • Long position opened at 12,680 USD/MT for 26 contracts.
  • PnL over last 3 months: -5.3%, over the last 6 months: -3.2%.
  • Average PnL: 2.2%, St Dev: 6.9%.

• Aluminium:

  • Exited the bull trend and moved to the no trend zone.
  • Loss: -0.7% on the long position, closed at 2,047 USD/MT.
  • Trend probability: 41.8%.
  • PnL over last 3 months: -8.7%, over the last 6 months: -8.0%.
  • Average PnL: 1.6%, St Dev: 5.8%.

• Zinc:

  • Trend probability decreased to 77% from the previous week.
  • PnL over last 3 months: -4.8%, over the last 6 months: -23.9%.
  • Average PnL: 2.4%, St Dev: 7.8%.

• SPGS Energy:

  • In a bull trend with a trend probability of 69%.
  • PnL over last 3 months: 2.1%, over the last 6 months: 5.2%.
  • Average PnL: 2.0%, St Dev: 6.3%.

Strategy Overview

• BNPP-TIF is a trend-following strategy that focuses on commodities showing strong serial correlation.
• The strategy includes eight commodities: gold, WTI and Brent crude oil, copper, nickel, zinc, aluminium, and SPGS Energy.
• The model is currently long on nickel and short on Brent crude oil.
• MarFA and multifactor models are also part of the offering, focusing on contrarian strategies.

Main Points

• Profit-taking:

  • WTI and Brent crude oil have exited the bull trend, so profit-taking has been initiated.
  • Profit on WTI: 4.6%.
  • Profit on Brent: 6.4%.

• New long positions:

  • Nickel has entered the bull trend, so a long position is opened.
  • Aluminium has exited the bull trend, so the long position is closed.

• Performance Overview:

  • The total PnL across all assets over the last 3 months is -11.3%, over the last 6 months is -11.2%, and over the last 12 months is -18.2%.

Key Information

• The strategy is designed for investors and hedge funds.
• Short-term models operate on a one to four weeks ahead basis using principal component analysis.
• Medium-term models operate monthly based on global macro and financial leading indicators.
• The strategy takes advantage of momentum and trend-following in commodity markets.

Legal Disclaimer

• This document is a marketing communication and not investment research.
• It is not independent research and is subject to conflicts of interest.
• The performance data is based on back-testing and may not reflect actual market conditions.
• The information is provided for informational purposes only and should not be relied upon as authoritative.
• No guarantee is made regarding the accuracy or completeness of the information.
• Past performance is not indicative of future results.
• Indicative prices are not actual transaction terms and may vary significantly from other sources.
• BNPP may be involved in transactions that are inconsistent with the views expressed in this document.
• Confidentiality is emphasized; the information may not be copied or distributed without prior written consent.

Conclusion

The BNPP-TIF strategy has been trending in a bull cycle for several months, but recent changes have led to profit-taking on WTI and Brent crude oil. Nickel has entered the bull trend, and a long position is now open. The strategy is currently long on nickel and short on Brent crude oil. The overall PnL is negative over the last 3 and 6 months, but the strategy continues to focus on trend and momentum in commodity markets.