20180323-法国巴黎银行-Quant_Strategy___TIF_model__trend_following__update_12页_490kb

报告摘要

COMMODITY QUANT STRATEGY SUMMARY

Overview

BNP Paribas Brasil S.A. has updated its Commodity Quant Strategy, introducing a new trend-following model called BNPP-TIF. This model incorporates seven commodity futures: gold, WTI crude oil, Brent crude oil, copper, nickel, zinc, and aluminium. Additionally, SPGS Energy has been added as a new asset to the portfolio. The strategy is based on logistic regression and macroeconomic and financial indicators, aiming to capitalize on periods of strong serial correlation in commodity price returns.

Strategy Approaches

BNP Paribas offers three distinct strategies:

MarFA™ and Multifactor Model: Focus on contrarian strategies.
BNPP-TIF (Trend Following): Aims to capture strong trend momentum in commodities.

Current Asset Trends and Performance

Asset	Model Trend	Strength (%)	PnL Last 3M	PnL Last 6M	PnL Last 12M	Comments
Gold	Bull	98.3%	9.6%	9.6%	11.2%	-
WTI Crude Oil	Bull	95.5%	6.8%	21.8%	26.8%	-
Brent Crude Oil	Bull	92.6%	11.1%	11.1%	16.1%	-
SPGS Energy	Bull	81.1%	-1.4%	14.3%	13.7%	New asset
Copper	Bull	84.8%	-3.2%	-5.0%	6.9%	-
Aluminium	Bull	60.1%	-2.8%	-11.3%	-7.6%	Weak trend
Nickel	Bear	27.4%	-12.4%	-23.3%	-17.4%	Trend gaining pace
Zinc	Bull	80.0%	10.0%	10.0%	15.2%	-
Total (Sum)	-	-	17.7%	27.1%	65.0%	-

Recent Signals

Nickel: Triggered a short position on 22 March, with a current probability of 72.6%.
Aluminium: Triggered a long position.
MarFA Base Metals: One to four weeks ahead buy/sell signals based on Principal Component Analysis.
MarFA Energy: Similar signals for energy commodities.

Strategy Details

Short-term Modelling

MarFA Base Metals: Uses PCA for signals.
MarFA Energy: Also uses PCA for signals.

Medium-term Modelling

Multi-factor Model: Monthly signals based on global macro (demand side) and financial leading indicators.

Trend/Momentum Strategy

BNPP-TIF: Based on logistic regression and macro/financial indicators.

Performance Metrics

Asset	# Signals	Avg Length PnL (weeks)	Hit Ratio	Sample Size (years)	# Signals per Year
Gold	70	5.4	59%	11	6.4
WTI Crude Oil	112	3.7	52%	11	10.2
Brent Crude Oil	112	3.4	48%	11	10.2
SPGS Energy	113	3.2	54%	11	10.3
Copper	91	4.8	54%	11	8.3
Aluminium	88	5.1	52%	11	8.0
Nickel	124	3.3	52%	11	11.3
Zinc	94	4.7	44%	11	8.6

Key Information

The trend strength for all commodities has increased since 6 March.
Nickel has transitioned to a bearish trend on 22 March.
The model performance is in line with back-testing results.
The strategy is tailored for Investors / Hedge Funds.

Contacts

Name	Role	Location	Phone Number	Email Address
Gabriel Gersztein	Head of GM Latam Strategy	Sao Paulo	+55 11 3841 3421	gabriel.gersztein@br.bnpparibas.com
Gustavo Mendonca	FX & IR Latam Strategy	Sao Paulo	+55 11 3841 3445	gustavo.mendonca@br.bnpparibas.com
Samuel Castro	Commodity Quant Strategy & FX / IR Latam Strategy	Sao Paulo	+55 11 3841 3492	samuel.castro@br.bnpparibas.com

Legal Disclaimer

This document is a marketing communication and not independent investment research.
It is intended for Relevant Persons as defined by MiFID II and other applicable regulations.
No liability is accepted for any use of the information or reliance on it.
Past performance is not indicative of future results.
Simulated performance data is for illustrative purposes only and may not reflect real-world conditions such as liquidity, fees, or transaction costs.
Confidentiality is required, and the document may not be reproduced or distributed without prior consent.

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