20180420-法国巴黎银行-COMMODITY_QUANT_STRATEGY_13页_500kb

报告摘要

COMMODITY QUANT STRATEGY SUMMARY

Core Content

This document outlines the current status and performance of BNP Paribas' Commodity Quant Strategy, focusing on the BNPP-TIF model and MarFA™ model. It provides an overview of the trend status, performance metrics, and recent trading signals across eight commodities: gold, WTI crude oil, Brent crude oil, copper, nickel, zinc, aluminium, and SPGS Energy.

Key Commodities and Their Trends

BNPP-TIF Model

Trend Status: Upward trending in all assets.
Probability of Bull Trend: ~90% for all commodities, with some showing higher probabilities.
Performance:
- Last 3 months: +16.4%
- Last 6 months: +42.2%
- Total since inception: +69.0%

Individual Commodities

Asset	Model Trend	Probability (%)	PnL Last 3M	PnL Last 6M	PnL Last 12M	Comments
Gold	Bull	94.5%	9.3%	9.3%	9.3%	-
WTI Crude Oil	Bull	93.5%	11.5%	26.5%	31.5%	-
Brent Crude Oil	Bull	93.2%	-7.0%	8.0%	13.0%	New position opened this week
S&P GSCI Energy	Bull	88.3%	-5.3%	6.1%	8.7%	-
Copper	Bull	96.4%	1.6%	-0.2%	14.0%	-
Aluminium	Bull	89.6%	4.2%	-1.9%	-0.6%	Profit taken at +15% PnL
Nickel	Bull	87.2%	-10.3%	-23.1%	-21.9%	New position opened this week
Zinc	Bull	90.1%	10.0%	10.0%	15.2%	-

MarFA™ Model

Trend Status: Short Brent crude oil, long XAG/XAU, and short aluminium.
Performance:
- Last 3 months: Mixed results across commodities.
- Last 6 months: Mixed results across commodities.

Recent Signals and Actions

Aluminium: Profit taken at +15% PnL on 17 April.
Brent Crude Oil: New position opened on 12 April, with a gain of +1.9%.
Nickel: Long position opened on 16 April, with a gain of +3.4%.
Zinc: Trend strength has recovered, with a bull probability of 90.0%.

Performance Tracker

PnL Tracker:
- Factor Model: Total PnL of 3,166 USD
- MarFA™ + TIF: Total PnL of 6,610 USD
- Total (All Strategies): 3,827 USD

Key Information

BNPP-TIF Model: Focuses on capturing strong serial correlation in commodity price returns.
MarFA™ Model: Focuses on contrarian strategies.
Trend Triggers:
- Bull Trend: Price change to trigger/end at -5.7% to -15.0% depending on the commodity.
- Bear Trend: Price change to trigger/end at -12.9% to -22.9% depending on the commodity.
Signal Frequency:
- BNPP-TIF: 112 signals over 11 years.
- MarFA™: 112 signals over 11 years.
Average Signal Length: Varies from 3.2 to 5.4 weeks.
Hit Ratios:
- BNPP-TIF: 52% (Aluminium), 59% (Gold), 54% (Copper), 44% (Zinc).
- MarFA™: 52% (Aluminium), 54% (Copper), 48% (WTI Crude Oil), 59% (Gold).

Contacts

Gabriel Gersztein: Head of GM Latam Strategy, +55 11 3841 3421, gabriel.gersztein@br.bnpparibas.com
Gustavo Mendonca: FX & IR Latam Strategy, +55 11 3841 3445, gustavo.mendonca@br.bnpparibas.com
Samuel Castro: FX & IR Latam Strategy, +55 11 3841 3492, samuel.castro@br.bnpparibas.com
Robert McAdie: Global Markets Head of Strategy, London, 44 20 7595 8885, robert.mcadie@uk.bnpparibas.com
Michael Sneyd: Global Head of FX Strategy & Cross-Asset Strategist, London, 44 20 7595 1307, michael.sneyd@uk.bnpparibas.com

Legal Notice

This document is a marketing communication and not investment research for the purposes of MiFID II.
It is not intended for use by individuals who are not Relevant Persons as defined.
No liability is accepted for any use of the information contained in this document.
Performance data is based on back-testing and should not be used as guidance for future performance.
Past performance is not indicative of future results.
The document may contain Research as defined under MiFID II unbundling rules, and is only available to those who have signed up to a relevant research package.