巴黎银行-全球-量化策略-TIF模型更新：金属行业处于牛市，能源行业走势不明-20180727-13页_789kb
报告摘要
COMMODITY QUANT STRATEGY SUMMARY
Core Content
This report is from BNP Paribas Brasil S.A.'s Commodity Quant Strategy team, providing an update on the TIF (Trend Indicator Framework) model for various commodities. The report outlines current trend statuses, performance metrics, and trade recommendations for different assets.
TIF Model Overview
The TIF model comprises eight commodities: gold, WTI crude oil, Brent crude oil, copper, nickel, zinc, aluminium, and SPGS Energy. The model identifies bull trends in base and precious metals, while the energy sector is currently trendless.
Current Trend Status
- Gold: In a bull trend with a 99.3% probability. No significant change in the past month.
- WTI Crude Oil: Exited bull trend with a 64% probability. Previously in a bull trend since February 2018.
- Brent Crude Oil: Trendless with a 59.4% probability.
- SPGS Energy: No trend with a 66.2% probability.
- Copper: In a bull trend with a 98% probability. Bull trend probability has been rising.
- Aluminium: Entered bull trend with a 71.3% probability. Trade recommendation: Buy 3M (maturity: 26 October 2018) LME Aluminium at USD 2,073/MT, with 38 contracts allocated.
- Nickel: Entered bull trend with a 71.1% probability. Trade recommendation: Buy 3M (maturity: 26 October 2018) LME Nickel at USD 13,860/MT, with 24 contracts allocated.
- Zinc: In a bull trend with a 79.6% probability. Currently holds a long Zinc strategy.
Key Performance Metrics
| Asset | Model Trend | Strength (0-1) | PnL Last 3M | PnL Last 6M | PnL Last 12M |
|---|---|---|---|---|---|
| Gold | Bull | 99.3% | -0.3% | -0.3% | -0.3% |
| WTI Crude Oil | No trend | 63.9% | 17.0% | 18.4% | 48.4% |
| Brent Crude Oil | No trend | 59.4% | -1.7% | -9.8% | 20.2% |
| SPGS Energy | No trend | 66.2% | 3.1% | -3.0% | 17.6% |
| Copper | Bull | 97.5% | -3.8% | -3.8% | 9.3% |
| Aluminium | Bull | 71.3% | 3.4% | -2.9% | -14.4% |
| Nickel | Bull | 71.1% | 5.0% | -6.1% | -21.4% |
| Zinc | Bull | 79.6% | -14.0% | -4.0% | 6.2% |
| Total | 8.6% | -11.5% | 65.7% |
Key Model Insights
- TIF model is designed to capitalize on strong serial correlation in commodity price returns.
- The model includes contrarian strategies via $\mathsf{MarFA}^{\mathsf{TM}}$ and multifactor models.
- Factor model is currently long XAG/XAU and short Nickel and Brent crude oil.
Trade Recommendations
- Buy 3M LME Aluminium at USD 2,073/MT, 38 contracts.
- Buy 3M LME Nickel at USD 13,860/MT, 24 contracts.
Trend Triggers
| Asset | Price Change to Trigger Bull Trend (ceteris paribus) | Price Change to Trigger Bear Trend (ceteris paribus) |
|---|---|---|
| WTI Crude Oil | 0.8% | -8.6% |
| Brent Crude Oil | 1.4% | -4.8% |
| Zinc | -7.0% | -12.9% |
| SPGS Energy | -0.3% | -6.0% |
Additional Notes
- Aluminium and Nickel have entered bull trends.
- WTI Crude Oil has exited its bull trend cycle.
- The energy sector (Brent and SPGS Energy) is currently trendless.
- The model has a hit ratio of 52% across the last 11 years, with 10.2 signals per year.
- The factor model has a 52% hit ratio for Aluminium and Nickel.
Important Contacts
| Name | Position | Location | Phone Number | Email Address |
|---|---|---|---|---|
| Gabriel Gersztein | Head of GM Latam Strategy | Sao Paulo | +55 11 3841 3421 | gabriel.gersztein@br.bnpparibas.com |
| Samuel Castro | FX & IR Latam Strategy | Sao Paulo | +55 11 3841 3492 | samuel.castro@br.bnpparibas.com |
| Luca Maia | FX & IR Latam Strategy | Sao Paulo | +55 11 3841 3447 | luca.maia@br.bnpparibas.com |
| Andre Digiacomo | FX & IR Latin America Strategy, Commodity Quant Strategy | Sao Paulo | +55 11 3841 3445 | andre.digiacomo@br.bnpparibas.com |
Legal Disclaimer
- This document is non-independent research and is not investment research for the purposes of MiFID II.
- It is not an offer to sell or issue any financial instrument and is not a solicitation of any offer to purchase.
- BNP Paribas may have financial interests in the mentioned assets and may engage in transactions inconsistent with the views expressed.
- Options and ETFs discussed in the document carry high risk and are not suitable for all investors.
- The information provided is for informational purposes only and not to be relied upon as authoritative.
- Performance data is based on back-testing and may not reflect actual market conditions or future results.
- Confidentiality is required; the document may not be reproduced or distributed without prior consent.
Date
27 July 2018
展开完整摘要
试读结束，高清完整版pdf/doc/ppt,请点下载
