商品市场观察：可喜迹象掩盖了达到新均衡价位所面临的风险-2013-01-14.ppt

,高盛集团,高盛国际,袁飞,2013 年 1 月 14 日 全球,商品市场观察,研究报告,可喜迹象掩盖了达到新均衡价位所面临的风险 由于我们认为长期内价格将保持结构性稳定，我们认同长期内大宗商品价格波幅结构性下降的观点，但在 我们看来，无论相对于大宗商品市场基本面还是其他资产类别而言，近期波幅的下降都幅度过大、速度过 快。对于 2013 年，我们预计强劲的基本面将为原油、铜和玉米的回报提供支撑，但由于我们预计金属市场 将走软，我们对 s&p gsci指数的未来 12 个月回报预期仍处于 5.0%的较低水平。,风险犹存 我们的核心观点仍然是，在存在正利差的情况下价格将保持稳定，这意味着尽管 价格前景稳定但仍能创造投资回报。虽然在 2012 年价格稳定性主要体现在大宗 商品价格水平上，但 2013 年以来日益呈现出价格稳定之可喜迹象的是期权市 场。从原油来看，隐含波幅已降至上世纪 90 年代中期以来的最低值，标普 gsci 指数所体现的总体大宗商品波幅已经降至 10%以下。然而，由于下行风险（宏观 和政策风险）和上行风险（地缘政治风险）都尚未消退，我们认为大宗商品波幅 的此轮下降幅度过大、速度过快，并已降至远低于其他资产类别的水平。 需求推动正利差日益扩大 美国债务上限问题可能会导致未来几个月需求面临不确定性，但过去一个月来中 国的前景已有改善，同时油价上涨在很大程度上是时间价差改善所致，这推动正 利差进一步扩大。对中国经济的更乐观看法也得到了西方经济更趋稳看法的支 撑，其中美国房地产市场的潜在复苏将进一步支撑金属需求；而且我们依然认为 今年下半年美国经济前景的改善以及新兴市场前景的好转将进一步推动原油、铜 和玉米的短期价格相对于长期价格走高。这正是我们在预计未来价格将保持稳定,杰夫可瑞 (212) 357-6801 damien courvalin (212) 902-3307 高盛集团 samantha dart +44(20)7552-9350 高盛国际 max layton +44(20)7774-1105 stefan wieler, cfa (212) 357-7486 高盛集团,的情况下仍对大宗商品投资回报持乐观看法的核心所在。 johan spetz,近期黄金抛售提供了做多良机 我们将近期黄金的抛售视为在债务上限辩论之前重建新的短线多头的良机。我们 认为债务上限辩论可能会成为金价走高的推动因素，而这一问题得以解决之后， 我们预计金价将因美国经济数据改善的影响超过进一步放松的影响而回落。,(212) 357-9225 高盛集团 +852-2978-6128 ,高盛（亚洲）有限责任公司 投资者不应视本报告为作出投资决策的唯一因素。 有关分析师的申明和其他重要信息，见信息披露附录，或参阅 /research/hedge.html。,高盛集团,高盛全球经济、商品和策略研究,2,2013 年 1 月 14 日,全球,complacency masks risks to the new equilibrium although we have sympathy for the view of a structural decline in long-term commodity price volatility given our view for long-term structurally stable prices, we believe the recent decline in volatility is too much too soon, both relative to commodity market fundamentals as well as other asset classes. the core of our view remains price stability against a positive carry that will generate investment returns despite a stable price outlook. the end of 2012 reinforced this view as brent prices ended the year at $111.11/bbl which was nearly the same as the $111.60/bbl average realized price for 2012. despite this remarkable price stability, the return from being long a rolling front month strategy in brent during 2012 was 10%, which underscores the importance of the positive carry in some of the key commodity markets. currently, the positive carry in brent is $0.80/bbl between the first and second month contracts. should prices remain near our forecasted $110/bbl for 2013, this carry alone would generate another 10% return in 2013. driving this positive carry has been relatively tight fundamentals in oil and some of the key agriculture markets such as corn and soybeans. however, as metals markets are softer, with only copper expected to shift into backwardation in 2013, our overall commodity outlook for the broader s&p gsci remains more subdued, with an expected return of 5.0% in 2013. the new year has started with a sharp decline in price volatility across most asset classes, as many of the downside risks from 2012 have declined sharply. while the eurozone crisis now appears contained, an aggressive new japanese stimulus program is underway and the chinese property market is much healthier, significant near-term downside risks still exist from the us debt ceiling debate and the fiscal drag from tax increases. given these downside risks posed by the united states and the recent price increases excluding precious metals and natural gas, we are shifting our commodity recommendation to neutral on both a near and 12-month horizon. having said this, we continue to expect positive mid-single digit returns over these horizons, driven by crude oil, corn in 1h2013 and copper where fundamentals remain tight against an improving chinese outlook and an expected improvement in global growth later this year. further, we would look to add fresh near-term longs in gold given the recent sell-off that was driven by the frail resolution of the fiscal cliff and the recently improved us macro economic data. while we continue to believe that the gold cycle will turn in 2013 and remain structurally cautious in the medium term, we believe the debt ceiling debates and expected deterioration in us macro economic data, before it improves again later this year, will likely act as near-term upside catalysts for gold prices. implied volatility drops to 1990s levels driving our expectations for more stable long-term prices has been the improved outlook for long- term energy and metals supply at current price levels us shale for energy and chinese productive capacity for metals. as these supplies flatten out the supply curve, they take out some of the upside risk to prices, but they also reduce the downside risks given the relatively high cost of these supply sources, which is further reinforced by substantial geopolitical uncertainty associated with lower cost supplies. while in 2012 it was commodity price levels that provided further evidence of this price stability, thus far in 2013 it is the options markets that are exhibiting increasing comfort in this view of price stability. in oil, implied volatility has dropped to levels not seen since the mid 1990s, and overall commodity volatility on the s&p gsci has dropped below 10% (see exhibit 1). this pattern is very consistent with our view that commodity markets are likely to trade in a similar manner to the 1980s and 1990s, when substantial opec spare capacity and massive western mining capacity created a similar type of price stability which anchored long-term commodity prices around stable equilibrium levels $20/bbl for crude oil and $2000/mt for copper. as we have argued recently, we now believe that these new long-term equilibrium prices are $90/bbl for crude and $7500/mt for copper. 高盛全球经济、商品和策略研究,3,2013 年 1 月 14 日,exhibit 1: commodity volatility has dropped to mid-1990 levels 1-mo realized s&p gsci volatility 90 80 70 60,全球,50 40 30 20 10 0,s&p gsci monthly volatility last value,1970,1973,1976,1979,1982,1985,1988,1991,1994,1997,2000,2003,2006,2009,2012,source:cme. we are not out of the woods yet despite the recent price stability, we believe that this decline in commodity volatility is too much too soon, dropping far below the volatility of other asset classes, as risks to both the downside and upside have not completely gone away (see exhibits 2 and 3). in other words, we are not out of the woods yet. upside risks for oil prices include low inventory levels, limited opec spare capacity, and geopolitical risks which are likely near an all-time high with production in a very large number of countries at risk, including egypt, iran, iraq, libya, nigeria, sudan, syria and venezuela. in addition, the price stability in 2h2012 was achieved during a period of extremely weak global demand growth and a decelerating china, all of which are expected to improve during the latter half of this year. while one can argue that the upside in oil is capped by a combination of weaker economic growth and the us spr, a stronger economy later this year would likely raise the threshold for prices while the recent surge in us oil production which has displaced us imports somewhat reduces the impact the us spr would have on global markets. downside risk for all commodity prices comes from the fact that the macro-economic and policy improvements are still fragile. europe still faces economic and policy headwinds, china just experienced a significant food inflation surprise (and the livestock impacts from last years agriculture price spike will only be felt this year) and the us still faces risks from the debt ceiling debate, the automatic spending cuts (or “sequestration”) and impending tax increases. on net, while we have sympathy for the view of a structural decline in long-term commodity price volatility, we believe the recent decline is too much too soon, both relative to commodity market fundamentals as well as other asset classes. 高盛全球经济、商品和策略研究,4,2013 年 1 月 14 日 exhibit 2: brent volatility is near a record low relative to s&p 500 volatility brent volatility less s&p 500 volatility 200,全球 exhibit 3: while geopolitical risks are near an all-time high global geopolitical risk index (1996=1.0) 1.5,1.4 150 1.3,100,1.2,1.1 50 1.0,0,0.9 0.8,-50 1989,1991,1993,1995,1997,1999,2001,2003,2005,2007,2009,2011,1996,1998,2000,2002 2004 2006 geopolitical risk index,2008,2010,2012,source:ice and s&p.,source:goldman sachs global ecs research.,demand drives the increasing positive carry again much like the 1980s and 1990s, we believe the price movements around these new stable “equilibrium” price levels are driven by short-term demand fundamentals with emerging market demand the key driver in the current environment. despite concerns over “the end” of strong commodity demand from the emerging markets, recent micro and macro economic data from china point to continued strong demand, particularly for oil where we believe the weakness from last year was partially exacerbated by a de-stocking cycle. specifically, over the past month as the outlook for china has improved, the rise in oil prices has mostly been driven by an improvement in timespreads (backwardation), which further increased the positive carry in oil (see exhibit 4). it is this dynamic that lies at the core of our positive outlook for commodity investment returns despite our stable price outlook. reinforcing this more positive view on china is a more stable economic view on the west with the potential for a housing recovery in the united states to further bolster metals demand. on net, while the us debt ceiling issues have the potential to create some demand uncertainty over the next couple of months, we continue to believe that during the second half of this year an improving us outlook against an improved emerging market outlook will further boost near-term prices relative to long-term prices, generating an increasing positive carry in the forward curves for oil, copper and corn in 1h13. 高盛全球经济、商品和策略研究,5,2013 年 1 月 14 日,exhibit 4: the movements in brent prices over the past month have been timespread driven $/bbl 115.00 110.00 105.00 100.00 95.00 90.00,全球,jan-13,jun-13,nov-13,apr-14,sep-14,feb-15,jul-15,dec-15,may-16,oct-16,mar-17,aug-17,last close,one week ago,one month ago,source:ice. gold sell-off provides a good long entry point as expected the december fomc meeting had little impact on gold prices, as we have argued that the gold market is pricing in most of the impact from unconventional easing when it is initially announced. in this case it was the announcement of qe3 in september, long before the actual easing occurred. however, since the fomc meeting, better than expected us economic data and the fiscal cliff resolution have pushed up real interest rates which in turn pushed down gold prices far earlier than we had expected given the uncertainty still associated with the debt ceiling debate and potential budget sequestration. as a result, we view the recent sell-off as a good entry point to re-establish fresh tactical longs in the gold market before the run up to the debt ceiling debate, which we view as a likely catalyst for higher gold prices. looking beyond this political standoff, we continue to believe that the gold market can be characterized as a battle between improving us economic data and further easing through qe3- driven expansion of the federal reserves balance sheet. accordingly, although debt ceiling issues will likely push gold prices higher in the near term, we still believe prices will decline after this as better us economic data will likely override the increased easing, despite any gold etf and central bank buying the easing may stimulate. as a result, we still see gold prices peaking in 2013, which is why we continue to back our december recommendation to hedge long positions by selling $1850/toz april 2013 calls to fund $1575/toz april 2013 puts. commodities in a nutshell,commodities energy 高盛全球经济、商品和策略研究,recent events/outlook and key issues,12-m price forecasts,6,2013 年 1 月 14 日,全球,wti crude oil brent crude oil rbob gasoline usgc heating oil nymex nat. gas uk nbp nat. gas,wti-brent spreads remained wide for most of 2012 as transportation bottlenecks left growing crude production from canada and north dakota trapped in the us midwest. as a result, inventories in the us midwest, particularly at cushing, ok, the point of the delivery for nymex wti contracts, built to record highs. while the opening of the reversed seaway pipeline in may allowed crude to be shipped from cushing to the usgc for the first time, this was later offset by the shutdown of bps whiting refinery in november, with the plant now going through a conversion project that will still take several months to complete. however, wti-brent spreads have narrowed substantially over the past weeks and dropped to $17.00/bbl on friday 11 january, as the expansion of the seaway pipeline was finally completed. we expect that the additional capacity of 250 thousand b/d will help to shift the cushing balance from being in a large surplus in 4q12 to a more balanced market in 1q13. further, we expect that the cushing balance will shift into a large deficit in 2q13 as new pipeline capacity from the permian basin to the usgc comes online in late 1q13, effectively diverting crude away from cushing. this should lead to a substantial narrowing of the wti brent spread going forward to around $6.00/bbl on average in 2q13. the global crude oil market remains tight as reflected in the currently strong brent timespreads, with front month ice brent contracts trading roughly $1.00/bbl over second month contracts for the past three months. this physical tightness is somewhat at odds with the apparent large overhang in global inventories as reported by the international energy agency. however, we find that most of the excess inventory is not crude or petroleum products such as gasoline or distillates, but rather ngls and condensates, which are not directly used in the transportation sector. in fact, adjusting for us ngl stocks, global inventories are very close to last years low levels. consequently, we think that the current strength in brent timespreads is warranted as the relevant inventories are at a much lower level than what the aggregate numbers suggest. our expected supply and demand balance suggests that this tightness will extend through 2013 even as the build in total oecd inventories might continue, likely sustaining the backwardation in the brent forward curve. rbob gasoline margins have weakened substantially over the past weeks as us gasoline inventories have recovered strongly. while us east gasoline stocks remain low, we expect these inventories to recover as well going forward as rail deliveries of cheap bakken crude to east coast refiners continue to increase. however, depressed european refinery runs due to high refiner financing costs and high export demand keep rbob margins vulnerable to upside spikes during the summer. us heating oil cracks remained strong as us and global distillate inventories remain at low levels. while a weak european economy will likely undercut diesel demand in the atlantic basin going forward, we expect strong export demand to return from latin america in a couple months as the southern hemisphere enters the winter period, providing support for us distillate cracks in 2013. the first half of the winter has been mild, leaving gas in storage and adding to the need for coal-to-gas switching in 2013. the market has priced this in, with prices declining since their thanksgiving holiday highs, shifting the risk profile from being skewed to the downside to being more balanced. although we recently reduced our 2013 nymex natural gas price forecast to $3.75/mmbtu from $4.25/mmbtu, we maintain our bullish outlook relative to the market, as we expect normal weather, structural demand growth and stable production to lead to a more balanced market in 2013, with less need for coal-to-gas substitution. in 2014, we expect these trends to continue, and our 2014 nymex natural gas price forecast is $4.25/mmbtu. beyond 2014, we believe that us gas demand will benefit further from coal-fired power plant retirements and later from lng exports, ultimately clearing the surplus created by shale gas production. uk nbp prices have been in a 64-69 p/th range for the past two months, nearly 15% above the same period last year as more normal winter weather this time around has lent support to demand while supply has been affected by a 27% year-on-year drop in nw,98.00/bbl $105.00/bbl $2.56/gal $3.01/gal $4.25/mmbtu 76.20 p/th,european lng imports. going forward, we maintain our 12-month uk nbp price forecast of 76.2 p/th, but highlight downside risks to this forecast driven by the risk that the disappointing demand seen in 2012 extends through the next year. industrial metals,lme aluminum lme copper lme nickel lme zinc commodities precious metals comex gold,the aluminium market is set to register its 7th consecutive annual surplus in 2013. relatively low cost chinese and middle eastern capacity growth is expected to more than offset any price related closures (at current prices), and forecast to outpace solid growth in global aluminium demand. alternatively, current aluminium price and physical premium levels are not expected to result in sufficient capacity closures / curtailments / delays as to balance the market over the next 6-12 months. as such we recommend selling near dated aluminium at prices above $2100/mt and rolling the position to earn an anticipated sustained contango, as well as any potential price downside (our 3-mo and 6-mo price targets are $2,000/mt) copper was remarkably resilient in 2012, in large part a function of strong growth in late cycle chinese construction completions (c.50% of chinese copper consumption). we expect this resilience to continue throughout 2013, with continued strength in chinese construction completions (commodity and social housing) being c