j p 摩根-全球-贵金属行业-金属季报尽管金价上涨但仍提供了一种廉价的后周期对冲-2019 6 7-49页

1、Global Commodities Research07 June 2019Metals QuarterlyDespite the rally, gold still offers a cheap late-cycle hedge. We target $1,460/oz.Data tracking suggests the slowdown in the global economy extended into 2Q19. The May global manufacturing PMI released this week showed the index falling 0.6-poi

2、nts to 49.8, marking the 16th consecutive month of anGlobal Commodities Research Natasha Kaneva(1-212) 834-3175 JPMorgan Chase Bank NA Gregory C. Shearer(44-20) 7134-8161J.P. Morgan Securities plcThomas Anthonj AC(44-20) 7742-7850thomas.e.anthon

3、J.P. Morgan Securities plcLadislav Jankovic AC(1-212) 834-9618J.P. Morgan Securities LLCuninterruptedslidein contractionary territory.globalmanufacturinganddippingintoBase metals entered 2Q trading atan 18% premium vs underlyingPMIand were pricing in a rebou

4、nd rather than slump in global manufacturing. Even after losing 9% over the past two months, the complex is still pricing a slightly more than one point rise in JPMs global manufacturing PMI to51.2. In other words, it is trading at about a 13% premium.Base metals valuations are no longer as stretche

5、d as they were in Februaryand March, when we first turned neutral and then bearish on the space. The priced growth hurdle also does not appear as high relative to what could be delivered in the near-term given the likely policy responses from China and the US, leaving us with an overall constructive

6、 short-term bias in 3Q relative to spot levels.We opt to maintain our negative 4Q19 outlook for base metals though, given the age of the cycle. We keep a sharp end-2019 selloff in our base case across industrial metals, although we have to admit that our forecasted price levels dont look particularl

7、y bearish vs current spot levels.With the unfavorable 2Q gold catalysts largely behind us, we maintain our bullish outlook on gold over 2H19 and into 2020 given the metals unique late-cycle characteristics.Our reasoning hasnt changed. We certainly see scope for gold to outperform in a business cycle

8、 that has become the longest on record.In terms of valuations, the extreme slide in yields has left gold spot valuations fairly attractive for investors looking for a recession hedge: our fair value model shows that current spot gold prices are about $25/oz too cheap vs. real 10-year Treasury yields

9、.Our bearish bias for 2Q19 worked well, and with the exception of zinc, all other base and precious metals performed in line with our expectations, resulting in only slight mark-to-market adjustments. Aluminum aside, we make only cosmetic changes to our 3Q price forecasts, which leaves us quite cons

10、tructive the base metals sector for the quarter relative to spot prices. We also opt to keep our 4Q19 price forecasts largely unchanged.Technicals: The broader down-consolidation in the metals sector (both precious and base) has reached countertrend decline targets, which means the start window for

11、a broader countertrend rally is currently open. This view is also supported by the fact that the USD up-trend shows signs of trend exhaustion, so that a deeper setback could be looming.Derivatives: The risks are tilting toward a shallow consolidation in gold vols. We think its opportune to position

12、for capturing vol carry RV-ing ATM vols vs tactically overextended skew vols via long ATM vs. short 25D delta-hedged XAU/USD calls, in vega notionals.See page 47 for analyst certification and important 每日免费获取报告1、每日微信群内分享7+最新重磅报告；2、每日分享当日华尔街日报、3、每周分享经济学人4、行研报告均为公开版，

13、权利归原作者所有，起点财经仅分发做内部学习。；扫一扫二维码关注公号回复：研究报告加入“起点财经”微信群。Global Commodities ResearchMetals Quarterly 07 June 2019Natasha Kaneva (1-212) 834-3175Gregory C. Shearer (44-20) 7134-8161Thomas Anthonj (44-20) 7742-7850Ladislav J

14、ankovic (1-212) 834-9618Slowdown in the global economy has extended into 2Q19After closing 4Q18 deep in the red at -7.0%, industrial metals reversed all of this selloff and more, returning 10.5% in the first quarter of the year. That payback rally occurred despite global

15、 economic growth falling to the slowest pace since mid-2016 and global manufacturing PMIs plunging to new lows. However, industrial metals have suffered a reversal of fortunes in the first two months of 2Q19, shedding 9.1% QTD and nearly fully erasing the sectors returns for the year (0.4%). On the

16、other hand, precious metals have enjoyed a steady but unspectacular appreciation YTD mostly driven by palladium but to a lesser extent gold (Exhibit 1).Further weighing on manufacturing are deteriorating business expectations as a lack of progress on the US- China trade deal has been hitting busines

17、s confidence. This is reflected in our 12-month-ahead US recession risks model, which has risen by roughly 25%-pts since last September to 42% at the moment, driven primarily by weakening in business sentiment.Consequently, we have marked to market the risks and made sizable cuts to our growth forec

18、asts in every region. We now see global GDP growing at below-trend 2.5% pace in 2Q and at potential 2.7% for the reminder of the year. Even after the large downward revisions, the risks to our 2H19 outlook are still to the downside, given that revisions to growth forecasts tend to be serially correl

19、ated (Exhibit 2).Exhibit 1: Quarterly performance of the JPMCCI TR metals sub- indices and sub-componentsExhibit 2: J.P. Morgan Real GDP Forecast Revision IndexIndex93.693.493.293.092.892.692.492.292.091.090.590.0DMGlobalEM89.5Source: J.P. MorganSource: J.P. Morgan, BloombergHowever, the signals fro

20、m the real economy are still positive. Labor markets are healthy, corporate profitability remains resilient and credit availability is adequate. Policy also remains accommodative. In the US, an aggressive response from the Fed to a further deterioration in growth appears to be the modal outcome impl

21、ied by the OIS curve, which is now pricing two full cuts by December 2019. Furthermore, we believe China is committed to maintaining 6% growth and will respond to any signs of slowing with further counter-cyclical policy measures. Supportive policies together with easing financial conditions and hea

22、lthy private sector fundamentals are behind our view that the expansion will likely hold for now.This uneven quarter-over-quarter performance for base metals masks the fact that while not much has changed fundamentally, macroeconomic expectations have diminished considerably. On the demand side, dat

23、a tracking suggests the slowdown in the global economy extended into 2Q19. The May global manufacturing PMI released this week showed the index falling 0.6-points to 49.8, marking the 16th consecutive month of an uninterrupted slide in global manufacturing and dipping into contractionary territory.T

24、he disturbingly weak trend in global business spending remains the main factor affecting manufacturing output. Our real-time tracker of global capex points to business spending contracting 2.4% in April and is tracing a 1.3% annualized contraction this quarter. Even more worrisome is the fact that w

25、hile our projections are predicated on early-quarter data, the trajectory was weak even prior to the recent escalation of trade tensions (The time is now: Introducing the J.P. Morgan Capex Nowcaster, Lupton et al., 30 May 2019).Base metals valuations not as stretched anymoreBase metals entered 2Q tr

26、ading at an 18% premium vs underlying PMI and were pricing in a rebound rather than slump in global manufacturing. Even after losing 9% over the past two months, the complex is still2Jan-17 Mar-17 May-17 Jul-17 Sep-17 Nov-17 Jan-18 Mar-18 May-18 Jul-18 Sep-18 Nov-18 Jan-19 Mar-19May-19JPMCCI TR Sub-

27、20184Q20181Q2019 2Q19 QTD 2019 YTDcomponentsIndustrial Metals-18.0%-7.0%10.5%-9.1%0.4%Copper-17.0%-4.0%9.3%-9.7%-1.3%Aluminum-17.6%-10.2%3.2%-6.6%-3.6%Zinc-22.2%-4.0%20.2%-12.0%5.8%Nickel-16.3%-15.1%21.4%-7.4%12.4%Precious Metals-3.9%6.8%1.0%-0.2%0.7%Gold-2.7%7.2%0.9%0.9%1.8%Silver-10.2%5.4%-2.8%-3.

28、8%-6.5%Platinum-14.8%-2.7%6.6%-6.6%-0.4%Palladium16.9%12.8%13.5%-0.1%13.3%BCOMIN TR-19.5%-8.7%12.8%-7.6%4.3%BCOMPR TR-4.6%6.8%0.0%-1.5%-1.5%Global Commodities ResearchMetals Quarterly 07 June 2019Natasha Kaneva (1-212) 834-3175Gregory C. Shearer (44-20) 7134-8161gregory.c.s

29、Thomas Anthonj (44-20) 7742-7850Ladislav Jankovic (1-212) 834-9618pricing a slightly more than one point rise in JPMs global manufacturing PMI to 51.2. In other words, it is trading at about 13% premium, on an aggregate basis

30、 (Exhibit 3).characteristics. Our reasoning hasnt changed. We certainly see scope for gold to outperform in a business cycle that in March became the longest on record. In the most optimistic scenario, global central banks succeed in lifting growth, extending the cycle and bumping inflation higher.

31、Gold tends to perform exceptionally well during such late-cycle periods, as long as the US dollar trades at least neutral to lower.Base metals valuations are no longer as stretched as they were in February and March, when we first turned neutral and then bearish on the space (With price target reach

32、ed, the tension between weak macro data and constructive monetary policy keeps us neutral, 22 February 2019, Stretched valuations warrant caution on metals into 2Q but firmer growth should reopen upside in 3Q, 11 March 2019). The priced growth hurdle also does not appear as high relative to what cou

33、ld be delivered in the near-term given the likely policy responses from China and the US, leaving us with an overall constructive short-term bias in 3Q relative to spot levels. As valuations converge with reality, and assuming some level of stabilization in global growth, the sector could become tac

34、tically interesting again, particularly if Chinese policymakers announce some more immediate fiscal and monetary support in response to tariffs or the whole recent trade war escalation itself is unwound with the stroke of a pen.In a negative scenario, as growth slips lower and the Fed pause turns in

35、to Fed cuts, gold also tends to outperform. In other words, we think being long gold over 2H19 and into 2020 offers unique hedges to both a bullish and bearish macro narrative.Moreover, the metal is uniquely positioned to hedge a plethora of other risks, be it an explicit collapse in US- China trade

36、 talks, a hard Brexit or political impasse on Capitol Hill.In terms of valuations, signs of economic distress have delivered extreme bond market pricing. An aggressive response from the Fed to a further deterioration in growth appears to be the modal outcome implied by the OIS curve, which is now pr

37、icing two full cuts by December 2019, followed by another cut and a half by the end of 2020. At 2.12%, the benchmark 10-year notes yield has dropped to its lowest level since September 2017down more than a full percentage point since its recent high in Octoberand is trading below that of the three-m

38、onth bill (2.31%), further stoking fears of recession.For now, we opt to maintain our negative 4Q19 outlook for base metals though, given the age of the cycle and the significant likelihood of a macro rollover in 2020. We keep a sharp end-2019 selloff in our base case across industrial metals, altho

39、ugh we have to admit that our forecasted price levels dont look particularly bearish vs current spot levels.Exhibit 3: Global PMI and Bloomberg Industrial Metals SubindexLHS: PMI Index; RHS: BCOMIN IndexThe extreme slide in yields has left gold spot valuations fairly attractive for investors looking

40、 for a recession hedge: our fair value model shows that current spot gold prices are about $25/oz too cheap vs. real 10-year Treasury yields (Exhibit 4).551405413053120Exhibit 4: Golds premium/discount to 10-year real yieldsUS$/oz1455251110100PMIBCOM509095498045Source: Bloomberg, J.P. Morgan Commodi

41、ties Research(5)Unique late-cycle characteristics of precious metals keep us bullish in 2H19With the unfavorable 2Q gold catalysts largely behind us, we maintain our bullish outlook on gold over 2H19 and into 2020 given the metals unique late-cycle(55)Source: Bloomberg, J.P. Morgan Commodities Resea

42、rch3Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 Apr-17 Jul-17 Oct-17 Jan-18 Apr-18 Jul-18 Oct-18 Jan-19 Apr-19Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Aug-18 Sep-18 Oct-18 Nov-18 Dec-18 Jan-19 Feb-19 Mar-19Apr-19 May-19Global Commodities ResearchMetals Quarterly 07

43、June 2019Natasha Kaneva (1-212) 834-3175Gregory C. Shearer (44-20) 7134-8161Thomas Anthonj (44-20) 7742-7850Ladislav Jankovic (1-212) 834-9618Price forecasts largely unchangedOur bearish b

44、ias for 2Q19 worked well, and with the exception of zinc and its protracted backwardation, all other base and precious metals performed in line with our expectations, resulting in only slight mark-to-market adjustments. Aluminum aside, we make only cosmetic changes to our 3Q price forecasts, which l

45、eaves us quiteconstructive the base metals sector for the quarter relative to spot prices given the more tactical reasons we laid out above. At this juncture we also opt to keep our 4Q19 price forecasts largely unchanged. In aluminum, we trim our price expectations for each quarter in 2019, bringing

46、 our overall 2019 price 4% lower. We have also downgraded our 2020 aluminum price forecast by 6% (Table 1).Table 1: JPM base and precious metals price forecastsIndustrial metals are LME cash in US$ per metric tonne. Precious metals are spot prices in US$ per troy ounce Price and forecasts are quarte

47、rly and annual averagesSource: J.P. Morgan Commodities Research41Q20192Q20193Q20194Q201920191Q20202Q20203Q20204Q20202020202120222023New1,8621,8101,8601,780AluminumOld (Mar 2019)1,8901,8502,0021,880Change-1%-2%-7%-5%1,8281,906-4%1,6801,7301,7201,7901,7301,8131,9212,3061,8331,8131,9212,306-6%0%0%0%New

48、6,2216,1006,2005,600CopperOld (Mar 2019)6,2356,2006,4005,600Change0%-2%-3%0%6,0306,109-1%5,2005,4005,5655,5005,4165,3626,1667,5845,4165,3626,1667,5840%0%0%0%New12,39312,26512,80011,200NickelOld (Mar 2019)12,40012,69013,00011,200Change0%-3%-2%0%12,16512,323-1%9,80010,00010,30010,50010,15011,00013,750

49、16,50010,00011,00013,75016,5001%0%0%0%New2,7072,7002,5002,300ZincOld (Mar 2019)2,6702,5002,4502,300Change1%8%2%0%2,5522,4803%2,0002,1002,1002,2002,1001,9802,2202,5502,1001,9802,2202,5500%0%0%0%New1,3031,2901,3461,405GoldOld (Mar 2019)1,2901,2601,3461,405Change1%2%0%0%1,3361,3251%1,4351,4571,4671,480

50、1,4601,3721,3041,3691,4601,3721,3041,3690%0%0%0%New15.5514.8015.8416.73SilverOld (Mar 2019)15.4515.0016.6217.35Change1%-1%-5%-4%15.7316.10-2%16.8817.7717.6718.0617.6016.1015.8016.9017.6016.1015.8016.900%0%0%0%New824840900950PlatinumOld (Mar 2019)816820900950Change1%2%0%0%8788721%97098098099098090087

51、09209809008709200%0%0%0%New1,4021,3441,4001,250PalladiumOld (Mar 2019)1,3951,3301,4001,150Change0%1%0%9%1,3491,3192%1,1001,0501,0009901,0359201,0001,1001,0359201,0001,1000%0%0%0%Global Commodities ResearchMetals Quarterly 07 June 2019Natasha Kaneva (1-212) 834-3175Gregory C

52、. Shearer (44-20) 7134-8161Thomas Anthonj (44-20) 7742-7850Ladislav Jankovic (1-212) 834-9618CopperAdjusting both supply and demand lowermining regions of Chile and Peru, later replaced by increased tensions in the

53、 African Copperbelt. In total, we have removed almost 400 kmt from our mine supply forecast as a result of the disruptions, a majority of it in Africa (Exhibit 1). Yet we also had to adjust our Latin American production lower as well, as the scale of the disruptions in both Peru and Chile was far wo

54、rse than we anticipated. As production results started to trickle in, it became clear that all operations that were affected by the rains suffered declines in operating rates (Chuqui, El Abra, El Teniente, Cuajones, Toquepala and Las Bambas).Copper mine production continues to underperform and we ha

55、ve removed almost 400 kmt from our 2019 supply profile.We have also downgraded our global copper demand forecasts.We still view current spot prices as overpriced compared to global growth. Yet, if copper prices were to sell off by a couple more percentage points, lowering the entry level, and global

56、 growth stabilizes, upside for prices could reopen in 3Q19.Yet, as the global economy dips below potential by year-end, we expect prices to sell back below current spot levels and average $5,600/t in 4Q19.Exhibit 1: Difference between JPM estimates and realized copper mine productionThousand mtOur outlook on the copper market has been quite choppy this year. We entered the year feeling quite optimistic as we believed prices had sold off too heavily in 4Q18. We knew China was stimulating and the Fe