巴黎银行-新兴市场-石油与天然气行业-TIF模型更新：从WTI和布伦特原油中获利-20181011-13页_670kb

Summary of TIF Model Update: Taking Profit on WTI and Brent Crude Oil

Core Content

This document provides an update on the BNP Paribas TIF (Trend Investing Framework) model, which is a commodity momentum strategy used to identify and capitalize on trends in commodity prices. The model is part of a broader offering that includes MarFA™ and multi-factor models, focusing on contrarian strategies and trend-based investing, respectively.

The TIF model currently holds positions in several commodities, including gold, WTI and Brent crude oil, copper, nickel, zinc, aluminium, and SPGS Energy. The update outlines the current status of each commodity, whether they are in a bull trend, no trend, or bear trend, along with the associated profit and loss (PnL) figures and the model's decisions on entering or exiting positions.

Main Viewpoints

• WTI and Brent Crude Oil: Both commodities have exited the bull trend and are now in the no trend zone. The model is taking profits on these, with a 4.6% profit on WTI and 6.4% profit on Brent.
• Nickel: Has transitioned from a trendless cycle to a bull trend. The model is now opening a long position in nickel.
• Aluminium: Has moved out of the bull trend and is now in the no trend zone. The model is closing the long position, resulting in a -0.7% loss.
• Gold: Remains in a bull trend with a high probability of 99%.
• SPGS Energy: Is in a bull trend with a probability of 69%.
• Copper: Continues in a bull trend with a probability of 98%.
• Zinc: Has a lower probability of a bull trend at 77%.

Key Information

• The TIF model is designed to take advantage of strong serial correlation in commodity price returns during bull cycles.
• The model uses logistic regression and macro and financial indicators to determine trend probabilities.
• Positioning: Currently, the model holds a long position in nickel, and is long XAG/XAU and short Brent crude oil.
• Performance Metrics:
  • WTI Crude Oil: Total PnL of 277.4%, average PnL of 2.5%, hit ratio of 52%.
  • Brent Crude Oil: Total PnL of 214.1%, average PnL of 1.9%, hit ratio of 49%.
  • Gold: Total PnL of 218.1%, average PnL of 3.1%, hit ratio of 59%.
  • Nickel: Total PnL of 268.8%, average PnL of 2.2%, hit ratio of 52%.
  • SPGS Energy: Total PnL of 221.0%, average PnL of 2.0%, hit ratio of 54%.

Current Positioning Summary

Strategy Overview

BNP Paribas offers three main strategies:

• MarFA™: Focuses on contrarian strategies.
• Multi-factor Model: Uses global macro and financial indicators for medium-term analysis.
• BNPP-TIF: A trend-following strategy that maximizes returns during strong serial correlation periods.

Legal Notice

• This document is a marketing communication and not investment research under MiFID II.
• It is intended for Professional Clients and Eligible Counterparties.
• No independent research is conducted, and the document may contain Research content, which is only for those who have signed up for BNPP's Global Markets Research packages.
• The information is for informational purposes only and does not constitute an offer to sell or a solicitation of an offer to buy any financial instruments.
• No guarantee of accuracy or completeness is made.
• The indicative prices and performance data are based on back-testing and internal models and may vary from actual results.
• Confidentiality: The document is for the use of intended recipients only and may not be distributed without prior written consent.

Conclusion

The TIF model is actively adjusting its positions based on current market trends, with a focus on profit-taking on WTI and Brent crude oil and opening a long position on nickel. The model continues to maintain a long position on gold and copper, while closing positions on aluminium and adjusting for the no trend status of other commodities. The document serves as a strategic update and is intended for professional investors.