20180921-法国巴黎银行-TIF_model_update_Bullish_trend_prevails_13页_629kb

报告摘要

COMMODITY QUANT STRATEGY Summary

Core Content

This report provides an update on the BNP Paribas Commodity Quant Strategy, specifically the TIF (Trend Indicator Framework) model, which is designed to capitalize on strong serial correlation in commodity price returns. The strategy includes long positions in various commodities and metals, with a focus on identifying and following bullish trends.

Main Commodities and Trends

Gold: In a bull trend since December 2016, with a current probability of 99%. The model is long on gold.
WTI Crude Oil: In a bull trend since August 2017, with a current probability of 78.9%. The model is long on WTI.
Brent Crude Oil: In a bull trend with a current probability of 75.4%, up from the previous week. The model is long on Brent.
Copper: In a bull trend with a current probability of 99%. The bull trend probability has increased over the last month.
Aluminium: Transitioned to a bull cycle from trendless, with a current probability of 80%. A long LME aluminium 3m strategy has been opened with 39 contracts at USD 2,061/MT.
Nickel: Bullish trend has strengthened, with a current probability of 86%.
Zinc: In a bull trend with a current probability of 89.2%, but the long zinc position is being closed with a 5.4% loss.
SPGS Energy: In a bull trend with a current probability of 80%. The model is long on SPGS Energy.

Key Information

The TIF model has been trending in a bull cycle for the last few months, with strong trend strength across all base and precious metals.
The model currently holds long positions in nickel, WTI, and Brent crude oil.
The factor model is long on XAG/XAU, zinc, and Brent crude oil.
The report includes performance data, trend probabilities, and historical PnL (Profit and Loss) for each commodity, indicating the model's effectiveness and current positioning.
The strategy is based on the "Trend is Your Friend" philosophy, emphasizing the importance of trend following in commodity markets.
The report also mentions the use of MarFA™ and multifactor models, which focus on contrarian strategies.

Recent Strategy Actions

A long LME aluminium 3m strategy has been initiated with 39 contracts at USD 2,061/MT.
The long zinc position has been closed for a 5.4% loss.
The model continues to show bullish trends for WTI, Brent, gold, copper, nickel, and SPGS Energy.

Performance Metrics

Asset	Model Trend	Strength (0-1)	PnL Last 3M	PnL Last 6M	PnL Last 12M	Comments
Gold	Bull	98.8%	-2.1%	-2.1%	-2.1%
WTI Crude Oil	Bull	78.9%	-1.7%	13.3%	29.7%
Brent Crude Oil	Bull	75.4%	-1.6%	0.9%	21.6%
S&P GSCI Energy	Bull	79.7%	3.9%	3.1%	13.1%
Copper	Bull	99.4%	-5.1%	-5.1%	-7.0%
Aluminium	Bull	79.9%	-0.5%	-9.7%	-17.9%
Nickel	Bull	85.7%	0.3%	5.0%	-33.4%
Zinc	Bull	89.2%	-14.2%	-29.2%	-14.2%	TIF is long since 20 July

Legal and Disclaimer Information

This document is a marketing communication and not investment research for the purposes of MiFID II.
It is not independent research and may be subject to conflicts of interest.
The information and opinions are based on public sources and BNPP's internal models.
No guarantees are 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 are subject to change.
The document is intended for Professional Clients and Eligible Counterparties.
No advice is given on investment, financial, legal, or tax matters.
Options and ETFs discussed are complex and may involve high risk.
The information is confidential and not to be distributed without prior consent.

Additional Notes

The report includes charts and tables for each commodity to illustrate trend probabilities, performance, and back-testing results.
The TIF model is used to identify and follow strong trends in commodity markets.
The MarFA™ and multifactor models are contrarian strategies.
The strategy update is part of a series of publications and signals related to the TIF model.