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1、COMMODITYQUANTSTRATEGYPleaserefertoimportantinformationattheendofthereportQuantStrategy
2、TIFmodelupdate–EnergyinabulltrendCommodityQuantStrategywww.globalmarkets.bnpparibas.comnnBNPP-TIFcompriseseightdifferentcommodities:gold,WTIcrudeoil,Brentcrudeoil,copper,nickel,zin
3、c,aluminiumandSPGSenergy.nThemodelisnowtrendingforallcommoditiescovered,asbothWTIandBrentoilarenowinabulltrend.However,thetrend’sstrengthhasdecreasedformetals.nTraderecommendation:golongBrent(COV8)atUSD73.54/bbl,allocation28contracts;golongWTI(CLU8)atUSD68.81/bbl,alloca
4、tion30contracts.nFactormodelislongSilver/Goldinrelativevalue,longoutrightSilver,shortNickelandshortBrentcrudeoil.nTIFisalreadylongonmetals-Aluminium(asof27July),Nickel(asof27July)andZinc(asof20July).Withthelaunchofourtrendfollowingmodel,wenowhavethreeapproachesinplace:M
5、arFATMandmultifactormodel,whichfocusoncontrarianstrategies,andBNPP-TIF,whichaimsatgettingthemostoutofperiodsofstrongserialcorrelationincommoditypricereturns.Table1:CurrentpositioningandperformanceCommodityQuantStrategywww.globalmarkets.bnpparibas.comAssetModelTrendStren
6、gth(0-1)Pnllast3mPnllast6mPnllast12mCommentsGoldBull99.2%-1.1%-1.1%-1.1%CommodityQuantStrategywww.globalmarkets.bnpparibas.comWTIcrudeoilBull81.8%16.4%17.9%47.9%BrentcrudeoilBull67.5%-1.7%-9.8%20.2%S&PGSCIEnergyBull68.0%-0.3%-3.0%17.6%CopperBull94.9%-6.4%-6.4%6.8%BothW
7、TIandBrentoilhaveenteredinabulltrendCommodityQuantStrategywww.globalmarkets.bnpparibas.comAluminiumBull60.9%1.7%-4.6%-16.1%TIFislongsince27JulyNickelBull65.5%1.0%-5.2%-25.4%TIFislongsince27JulyZincBull78.2%-7.8%-2.8%7.3%TIFislongsince20JulyTotal(Sum)1.7%-15.0%57.2%Sourc
8、es:BloombergLLP,BNPParibas03August2018Pleaserefertoimportantinformation&authorsattheendofthereport&MARDisclosureCommodityQuantStrategywww.globalmarkets.bnpparibas.comBrentBNPP-TIFnowshowsthatBrenthasjustenteredinabulltrend,nowat67%.Traderecommendation:golongCOV8atUSD73.
9、54/bbl,allocation28contracts.Charts1-4&Table2:Currenttrend,performanceandbacktesting–Brentcrudeoil03August2018
