商品行业：商品价格的坚挺符合基本面——市场观察

商品行业商品价格的坚挺符合基本面市场观察2011年9月22日全球商品市场观察研究报告商品价格的坚挺符合基本面尽管最近宏观经济存在不确定性，但商品价格非常坚挺尽管金融市场的不确定性上升、欧洲主权债务问题仍未解决、美国经济活动放缓，但相对于其他资产类别而言过去一个月的商品价格表现非常坚挺。基本面前景持续走强的迹象（供应低于预期，同时在经济活动依然良好的增长市场上需求较强）是推动商品价格强劲、波动性显著下降的因素。符合受到良好支撑的基本面在周期型大宗商品中石油市场的短期基本面最具支撑力，目前大部分原油期货处于现货升水状态，符合实体市场的紧张态势以及接近历史高点的布伦特原油现货升水。在金属市场上，上海期交所LME套利窗口（衡量亚洲市场对该地区铜进口偏好程度的有力指标）在过去六周大部分时间里是打开的。此外，在非周期型农产品方面，美国播种季的恶劣天气有助于保持玉米和大豆供不应求的态势，并将支撑农作物价格。我们仍建议高配商品鉴于目前基本面相对强劲，而且我们的经济学家预计未来全球经济增长将环比改善，我们仍建议高配商品。具体而言，我们预计未来12个月标普GSCIENHANCEDCOMMODITY指数的回报率为20，其中周期型商品表现领先。我们认为目前该预测的风险较为均衡、但仍在很大程度上取决于新兴市场支撑增长的能力（在发达市场放缓时）。SAMANTHADART442075529350SAMANTHADARTGS4高盛国际杰夫可瑞442077746112JEFFREYCURRIEGS高盛国际ALLISONFNATHAN2123577504ALLISONNATHANGS高盛集团DAVIDGREELY2129022850DAVIDGREELYGS高盛集团DAMIENCOURVALIN2129023307DAMIENCOURVALINGS高盛集团STEFANWIELER,CFA2123577486STEFANWIELERGS高盛集团JOHANSPETZ442075525946JOHANSPETZGS高盛国际高盛集团高盛全球经济、商品和策略研究渐飞研究报告/BGPANLVNET2011年9月22日全球高盛全球经济、商品和策略研究2HEDGINGANDTRADINGRECOMMENDATIONSPETROLEUMHEDGINGRECOMMENDATIONSCONSUMERSWITHWORLDECONOMICGROWTHCONTINUINGTODRIVEOILDEMANDGROWTHWELLINEXCESSOFNONOPECPRODUCTIONGROWTH,THEOILMARKETCONTINUESTODRAWONINVENTORIESANDOPECSPARECAPACITYINORDERTOBALANCEINOUR6VIEW,ITISONLYAMATTEROFTIMEBEFOREINVENTORIESANDOPECSPARECAPACITYBECOMEEFFECTIVELYEXHAUSTED,REQUIRINGHIGHEROILPRICESTORESTRAINDEMAND,KEEPINGITINLINEWITHAVAILABLESUPPLYCONSEQUENTLY,WEBELIEVETHERECENTMARKETCORRECTIONPROVIDESAGOODOPPORTUNITYFORCONSUMERSTOBEGINTOHEDGETHEIRFORWARDOILEXPOSUREREFINERSREFININGMARGINSHAVERECENTLYSHOWNCOUNTERSEASONALSTRENGTHHOWEVER,THISSTRENGTHLARGELYOWESTOTHELOCALWEAKNESSINWTIASWEEXPECTTHESPREADBETWEENWTIANDBRENTTONARROWFROMCURRENTLEVELS,WEALSOEXPECTPRODUCTCRACKSTOWEAKENFURTHER,WEMAINTAINTHATREFININGMARGINSWILLREMAINUNDERPRESSUREOWINGTOTHELARGEINCREASEINREFININGCAPACITYINASIAASARESULT,WEVIEWANYRENEWEDRISEINLONGDATEDREFINERYMARGINSIN2011ASASELLINGOPPORTUNITYFORREFINERYHEDGERSFOR2012ANDBEYOND,WEBELIEVETHATCRUDEWILLBETHEBOTTLENECKINTHESYSTEM,RATHERTHANREFININGTHISWOULDSQUEEZEMARGINSFROMTHECRUDESIDETHROUGHBACKWARDATION,SUGGESTINGTHATREFINERSSHOULDALSOLOOKFORPOTENTIALTIMESPREADHEDGESPRODUCERSWHILETHERISKREWARDTRADEOFFSFORPRODUCERRISKMANAGEMENTPROGRAMSHAVEDIMINISHEDWITHTHERECENTMARKETCORRECTION,ADDITIONALECONOMICDISAPPOINTMENTSCOULDGENERATEMOREDOWNSIDEINTHENEARTERMWERECOMMENDTHATPRODUCERSLOOKATOPTIONSTRATEGIESTOHEDGEAGAINSTTHISRISKHOWEVER,WEEXPECTSUPPLYDEMANDBALANCESTOCONTINUETOMOVETOCRITICALLYTIGHTLEVELSIN2012,WITHPRICESABOVERECENTLEVELSBYNEXTYEARCONSEQUENTLY,WETHINKOPPORTUNITIESFORPRODUCERHEDGINGLONGERTERMARELESSATTRACTIVETRADINGRECOMMENDATIONSLONGICEBRENTDECEMBER2012CONTRACTSINITIALPRICE10516/BBL,CURRENTGAIN045/BBLWERECOMMENDALONGPOSITIONINTHEICEBRENTDECEMBER2012CONTRACT,ASWEEXPECTTHATTHEMARKETWILLCONTINUETOTIGHTENTOCRITICALLEVELSBY2012,PUSHINGOILPRICESSUBSTANTIALLYHIGHERTORESTRAINDEMANDNATURALGASHEDGINGRECOMMENDATIONSCONSUMERSWEBELIEVETHEREAREOPPORTUNITIESFORCONSUMERHEDGINGINTHELONGENDOFTHENYMEXNATURALGASCURVE,PARTICULARLYINCALENDAR2015AND2016CONTRACTSSPECIFICALLY,WEBELIEVETHATUSNATURALGASPRICESWILLBESUPPORTEDABOVETHE6/MMBTURANGEFROM2015ONWARDS,ASWEEXPECTSIGNIFICANTINCREASESINGENERATIONDEMANDFORNATURALGASDRIVENBYTHERETIREMENTOFMORETHAN40GWOFCOALFIREDPOWERPLANTSINADDITION,LONGTERMUSNATURALGASDEMANDMAYBEFURTHERSUPPORTEDBYINDUSTRIALDEMANDGROWTH,POSSIBLEDELAYSINTHECONSTRUCTIONORLICENSERENEWALSOFNUCLEARPOWERPLANTSASWELLASPOTENTIALUSLNGEXPORTSWEBELIEVETHEREARECURRENTLYGOODHEDGINGOPPORTUNITIESFORCONSUMERSEXPOSEDTOEUROPEANSPOTMARKETSWEEXPECTATIGHTENINGSHIFTINGLOBALLNGMARKETSINTENSIFIEDBYTHISYEARSEVENTSINJAPANANDLIBYATOLEADTOARECONNECTIONOFEUROPEANSPOTPRICESTOOILINDEXEDPRICESTHISYEARASARESULT,WESEEUPSIDETOUKNBPPRICESRELATIVETOTHEFORWARDCURVE渐飞研究报告/BGPANLVNET2011年9月22日全球高盛全球经济、商品和策略研究3PRODUCERSWEBELIEVETHEHEDGINGOPPORTUNITIESFORUSPRODUCERSINCALENDAR2012AND2013CONTRACTSAREINCREASINGLYLIMITED,ASPRICESHAVEDECLINEDRECENTLYINTHEUK,WEBELIEVETHEREARELIMITEDHEDGINGOPPORTUNITIESFORPRODUCERSEXPOSEDTOSPOTPRICESASWESEEUPSIDERELATIVETOTHEFORWARDCURVEFROM3QTHISYEARANDONWARDTRADINGRECOMMENDATIONSLONGUKNBPQ42012ICENATURALGASCONTRACTSINITIALPRICE708P/TH,CURRENTGAIN30P/THWERECOMMENDALONGPOSITIONINUKNBPQ42012CONTRACTS,ASWEEXPECTACONTINUEDTIGHTENINGOFGLOBALLNGMARKETSTOLEADTOARECONNECTIONBETWEENSPOTPRICESANDOILINDEXEDPRICESINEUROPE,WITHSPOTGASPRICINGABOVEOILINDEXEDINTHEBEGINNINGOFTHEWINTERTOATTRACTINCREMENTALVOLUMESFORTHEPEAKDEMANDPERIODTHISRECONNECTIONBETWEENSPOTANDOILINDEXEDNATURALGASPRICESINEUROPEISNOTCURRENTLYPRICEDINTHEUKNBPFORWARDCURVEBASEMETALSHEDGINGRECOMMENDATIONSCONSUMERSCONCERNSABOUTRECENTMACRODETERIORATIONANDTHEEUROPEANSOVEREIGNDEBTPROBLEMSHAVEKEPTTHEBASEMETALSCOMPLEXUNDERPRESSUREALTHOUGHTHESECONCERNSCONTINUETOPRESENTDOWNSIDERISKTOPRICES,WEBELIEVETHATAGLOBALRECESSIONAND/ORFINANCIALCRISISWOULDBEREQUIREDTODERAILOURCURRENTCONSTRUCTIVECOMMODITYVIEWSONCOPPERANDZINCALTHOUGHTHERISKOFTHESEEVENTSHASRISEN,THEYARENOTTHEMAINLINEVIEW,WITHTHEABILITYFORCHINATOREVERSEOREASETHEIRTIGHTENINGSHIFTSOVERTHEPASTYEARPROVIDINGASTRONGLINEOFDEFENSEAGAINSTUNWANTEDWEAKENINGASARESULT,WECONTINU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