20180803-法国巴黎银行-Quant_Strategy___TIF_model_update_–_Energy_in_a_bull_trend_10页_751kb

COMMODITY QUANT STRATEGY SUMMARY

Core Content

This document outlines the current status and trade recommendations of the BNPP-TIF (Trend Following Model) in the commodities market, with a focus on Energy and Metals. It details the model's performance, trend analysis, and strategic positioning for various commodities, including gold, crude oils (WTI and Brent), and metals such as copper, nickel, zinc, and aluminium. Additionally, it introduces the MarFA and Multi-factor Model as alternative strategies within the BNP Paribas commodity quant strategy framework.

Key Commodities and Trends

• BNPP-TIF covers eight commodities: gold, WTI crude oil, Brent crude oil, copper, nickel, zinc, aluminium, and SPGS energy.
• Current Trend Status:
  • Gold: Bull trend
  • WTI crude oil: Bull trend (81.8% probability)
  • Brent crude oil: Bull trend (67.5% probability)
  • SPGS energy: Bull trend
  • Metals (Copper, Nickel, Zinc, Aluminium): All in bull trend, though trend strength has decreased for metals compared to energy.
• TIF Positioning:
  • Already long on Aluminium (since 27 July), Nickel (since 27 July), and Zinc (since 20 July).
  • Factor model is long on Silver/Gold in relative value and long Silver outright, while short Nickel and Brent crude oil.

Trade Recommendations

• Brent crude oil (COV8): Go long at USD 73.54/bbl, with an allocation of 28 contracts.
• WTI crude oil (CLU8): Go long at USD 68.81/bbl, with an allocation of 30 contracts.

Strategy Overview

BNPP has implemented three distinct approaches in its commodity quant strategy:

1. MarFA Base Metals: A short-term model (1–4 weeks ahead), using principal component analysis for buy/sell signals.
2. MarFA Energy: A weekly model focusing on commodity positioning.
3. Trend/Momentum Strategy (BNPP-TIF): A trend following model that aims to capitalize on strong serial correlation in commodity price returns.

Performance Highlights

Model Parameters

• Brent Crude Oil:

  • Total PnL: 210.9%
  • Average PnL: 1.9%
  • Standard Deviation: 7.5%
  • Number of signals: 112
  • Average signal length: 3.4 weeks
  • Hit ratio: 48%
  • Sample size: 11 years
  • Signals per year: 10.2
  • Price change to trigger/end bull trend: -0.2%
  • Price change to trigger/end bear trend: -6.4%

• WTI Crude Oil:

  • Total PnL: 277.4%
  • Average PnL: 2.5%
  • Standard Deviation: 7.5%
  • Number of signals: 112
  • Average signal length: 3.7 weeks
  • Hit ratio: 52%
  • Sample size: 11 years
  • Signals per year: 10.2
  • Price change to trigger/end bull trend: -5.5%
  • Price change to trigger/end bear trend: -14.9%

Target Audience

• Investors and Hedge Funds
• The report is intended for professional clients and eligible counterparties under MiFID II.

Legal and Compliance Notes

• The document is a marketing communication and not independent research.
• It is not investment research under MiFID II.
• The information is not guaranteed in accuracy or completeness.
• It is not intended as an official transaction confirmation.
• It does not constitute an offer to sell or purchase any financial instrument.
• BNPP may have conflicts of interest due to its interaction with sales and trading.
• The document may contain hypothetical or back-tested performance data and is not indicative of future results.
• No liability is accepted for any loss arising from reliance on this document.

Important Disclosures

• Options and ETFs: These instruments involve high risk and may not be suitable for all investors.
• Restricted Securities: Certain securities discussed may be unregistered under U.S. securities laws.
• Confidentiality: The document is provided strictly confidential and must not be distributed without prior consent.
• Legal Disclaimer: The information is not intended as investment, financial, legal, or tax advice.

Contacts

Date

• 03 August 2018

Summary

The BNPP-TIF model is currently in a bull trend for all commodities, with WTI and Brent crude oil showing the strongest trends. The strategy recommends going long on Brent (COV8) and WTI (CLU8) with specific price targets and contract allocations. The model also highlights the current positioning of metals, with Aluminium, Nickel, and Zinc already long. The MarFA and Multi-factor Model provide alternative strategies for short-term and medium-term commodity trading, respectively. The document includes performance data, back-testing results, and legal notices to ensure compliance with regulatory requirements. It is intended for professional investors and hedge funds, with no liability accepted for any decisions based on the content.