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1、FOCUSGLOBALMARKETS26October2018TIFMODELUPDATE:ENERGYSECTORTRENDLESS;SHORTALUMINIUMKEYMESSAGESBNPP-TIFhasbeentrendinginabullcycleforthelastfewmonthsandthetrendhasremainedstrong.Themodelcompriseseightcommodities:gold,WTIandBrentcrudeoil,copper,nickel,zinc,al
2、uminiumandSPGSEnergy.WeenteredintoalongWTIcrudeoilpositionlastweeksincethemodelwaspointingtoabulltrend.Thetrendhasnowreversed,goingintothetrendlesszone.Weare,therefore,closingourlongWTIcrudeoilposition.Aluminiumisnowtradinginabearcycle.Hence,weareopeningas
3、hortaluminiumposition(LME,3m),maturingon26-Jan-2019atUSD1983/MTwith40contracts.BNPP-TIFcurrentlyholdsalongpositioninnickelandashortinaluminium.FactormodelislongXAG/XAUandshortBrentcrudeoil.AndreDigiacomoFX&IRLatinAmericaStrategyCommodityQuantStrategy+55113
4、8413445SamuelCastroFX&IRLatinAmericaStrategyCommodityQuantStrategy+551138413492LucaMaiaFX&IRLatinAmericaStrategyCommodityQuantStrategy+551138413447BancoBNPParibasBrasilS.A.BNPParibasCommodityQuantStrategyOfferingWiththelaunchofourTIFmodel,wehavethreeappro
5、achesinplace:MarFA™andmultifactormodels,whichfocusoncontrarianstrategies,andBNPP-TIF,whichaimstogetthemostoutofperiodsofstrongserialcorrelationincommoditypricereturns.Table1:CurrentpositioningandperformanceAssetModelTrendStrength(0-1)Pnllast3mPnllast6mPnll
6、ast12mCommentsGoldBull99.5%1.7%1.7%1.7%WTIcrudeoilNotrend66.0%-4.5%10.5%27.0%BrentcrudeoilNotrend50.6%3.4%1.7%8.6%S&PGSCIEnergyNotrend49.5%1.2%4.3%9.7%CopperBull90.3%-1.8%-6.8%-8.6%AluminiumBear22.6%-7.1%-6.4%-16.1%NickelBull60.5%-7.8%-0.7%-36.7%Thewholee
7、nergysectoraretradinginatrendlesscycle.ZincNotrend51.2%-4.8%-19.0%-9.0%TIFwaslongsince20JulyTotal(Sum)-19.6%-14.6%-23.4%Sources:BloombergLLP,BNPParibas.PleaserefertoimportantinformationattheendofthereportLATINAMERICASTRATEGYPleaserefertoimportantinformatio
8、n&authorsattheendofthereport&MARDisclosureFOCUS126October2018WTIcrudeoilWTI,whichhasbeeninabulltrendsinceAugust2017,recentlyshiftedtothetrendlesszoneThecurrentprobabilitystandsat76%,belowourlastupdate(seeFig
