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1、,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
2、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
3、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
4、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,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
5、 new equilibriumAlthough we have sympathy for the view of a structural decline in long-termcommodity price volatility given our view for long-term structurally stable prices,webelieve the recent decline in volatility is too much too soon,both relative tocommodity market fundamentals as well as other
6、 asset classes.The core of our view remains price stability against a positive carry that will generate investmentreturns despite a stable price outlook.The end of 2012 reinforced this view as Brent prices endedthe year at$111.11/bbl which was nearly the same as the$111.60/bbl average realized price
7、 for2012.Despite this remarkable price stability,the return from being long a rolling front monthstrategy in Brent during 2012 was 10%,which underscores the importance of the positive carry insome of the key commodity markets.Currently,the positive carry in Brent is$0.80/bbl between the first and se
8、cond month contracts.Should prices remain near our forecasted$110/bbl for 2013,this carry alone would generateanother 10%return in 2013.Driving this positive carry has been relatively tight fundamentals in oiland some of the key agriculture markets such as corn and soybeans.However,as metalsmarkets
9、are softer,with only copper expected to shift into backwardation in 2013,our overallcommodity outlook for the broader S&P GSCI remains more subdued,with an expected returnof 5.0%in 2013.The new year has started with a sharp decline in price volatility across most asset classes,asmany of the downside
10、 risks from 2012 have declined sharply.While the Eurozone crisis nowappears contained,an aggressive new Japanese stimulus program is underway and the Chineseproperty market is much healthier,significant near-term downside risks still exist from the US debtceiling debate and the fiscal drag from tax
11、increases.Given these downside risks posed by theUnited States and the recent price increases excluding precious metals and natural gas,we areshifting 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
12、over these horizons,driven by crude oil,corn in 1H2013 and copper where fundamentals remain tight against animproving 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 t
13、hefrail resolution of the fiscal cliff and the recently improved US macro economic data.While wecontinue to believe that the gold cycle will turn in 2013 and remain structurally cautious in themedium term,we believe the debt ceiling debates and expected deterioration in US macroeconomic data,before
14、it improves again later this year,will likely act as near-term upsidecatalysts for gold prices.Implied volatility drops to 1990s levelsDriving 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 e
15、nergy and Chineseproductive capacity for metals.As these supplies flatten out the supply curve,they take out someof the upside risk to prices,but they also reduce the downside risks given the relatively high costof these supply sources,which is further reinforced by substantial geopolitical uncertai
16、ntyassociated with lower cost supplies.While in 2012 it was commodity price levels that providedfurther evidence of this price stability,thus far in 2013 it is the options markets that are exhibitingincreasing comfort in this view of price stability.In oil,implied volatility has dropped to levels no
17、tseen since the mid 1990s,and overall commodity volatility on the S&P GSCI has dropped below10%(see Exhibit 1).This pattern is very consistent with our view that commodity markets arelikely to trade in a similar manner to the 1980s and 1990s,when substantial OPEC spare capacityand massive Western mi
18、ning capacity created a similar type of price stability which anchoredlong-term commodity prices around stable equilibrium levels$20/bbl for crude oil and$2000/mtfor copper.As we have argued recently,we now believe that these new long-term equilibriumprices are$90/bbl for crude and$7500/mt for coppe
19、r.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 levels1-mo realized S&P GSCI volatility90807060,全球,50403020100,S&P GSCI monthlyvolatilityLast value,1970,1973,1976,1979,1982,1985,1988,1991,1994,1997,2000,2003,2006,2009,2012,Source:CME.We are not out of the wo
20、ods yetDespite the recent price stability,we believe that this decline in commodity volatility is too muchtoo soon,dropping far below the volatility of other asset classes,as risks to both the downsideand upside have not completely gone away(see Exhibits 2 and 3).In other words,we are not outof the
21、woods yet.Upside risks for oil prices include low inventory levels,limited OPEC sparecapacity,and geopolitical risks which are likely near an all-time high with production in a verylarge number of countries at risk,including Egypt,Iran,Iraq,Libya,Nigeria,Sudan,Syria andVenezuela.In addition,the pric
22、e stability in 2H2012 was achieved during a period of extremelyweak global demand growth and a decelerating China,all of which are expected to improveduring the latter half of this year.While one can argue that the upside in oil is capped by a combination of weaker economic growthand the US SPR,a st
23、ronger economy later this year would likely raise the threshold for priceswhile the recent surge in US oil production which has displaced US imports somewhat reducesthe impact the US SPR would have on global markets.Downside risk for all commodity pricescomes from the fact that the macro-economic an
24、d policy improvements are still fragile.Europestill faces economic and policy headwinds,China just experienced a significant food inflationsurprise(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,
25、the automatic spending cuts(or“sequestration”)and impending tax increases.On net,while we have sympathy for the view of astructural decline in long-term commodity price volatility,we believe the recent decline is toomuch too soon,both relative to commodity market fundamentals as well as other asset
26、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 toS&P 500 volatility Brent volatility less S&P 500 volatility200,全球Exhibit 3:while geopolitical risks are near an all-timehighGlobal geopolitical risk index(1996=1.0)1.5,1.41501.3,100,1.2,1.1501.0,0,0.90
27、.8,-501989,1991,1993,1995,1997,1999,2001,2003,2005,2007,2009,2011,1996,1998,2000,2002 2004 2006Geopolitical risk index,2008,2010,2012,Source:ICE and S&P.,Source:Goldman Sachs Global ECS Research.,Demand drives the increasing positive carryAgain much like the 1980s and 1990s,we believe the price move
28、ments around these new stable“equilibrium”price levels are driven by short-term demand fundamentals with emerging marketdemand the key driver in the current environment.Despite concerns over“the end”of strongcommodity demand from the emerging markets,recent micro and macro economic data fromChina po
29、int to continued strong demand,particularly for oil where we believe the weakness fromlast year was partially exacerbated by a de-stocking cycle.Specifically,over the past month asthe outlook for China has improved,the rise in oil prices has mostly been driven by animprovement in timespreads(backwar
30、dation),which further increased the positive carry in oil(seeExhibit 4).It is this dynamic that lies at the core of our positive outlook for commodity investment returnsdespite our stable price outlook.Reinforcing this more positive view on China is a more stableeconomic view on the West with the po
31、tential for a housing recovery in the United States tofurther bolster metals demand.On net,while the US debt ceiling issues have the potential tocreate some demand uncertainty over the next couple of months,we continue to believe thatduring the second half of this year an improving US outlook agains
32、t an improved emerging marketoutlook will further boost near-term prices relative to long-term prices,generating an increasingpositive 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 ti
33、mespreaddriven$/bbl115.00110.00105.00100.0095.0090.00,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 pointAs expected the December FOMC meeting had little impact on gold
34、prices,as we have arguedthat the gold market is pricing in most of the impact from unconventional easing when it is initiallyannounced.In this case it was the announcement of QE3 in September,long before the actualeasing occurred.However,since the FOMC meeting,better than expected US economic dataan
35、d the fiscal cliff resolution have pushed up real interest rates which in turn pushed down goldprices far earlier than we had expected given the uncertainty still associated with the debt ceilingdebate and potential budget sequestration.As a result,we view the recent sell-off as a good entrypoint to
36、 re-establish fresh tactical longs in the gold market before the run up to the debt ceilingdebate,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 becharacterized as a battle between improving US economic
37、 data and further easing through QE3-driven expansion of the Federal Reserves balance sheet.Accordingly,although debt ceilingissues will likely push gold prices higher in the near term,we still believe prices will decline afterthis as better US economic data will likely override the increased easing
38、,despite any gold ETFand central bank buying the easing may stimulate.As a result,we still see gold prices peaking in2013,which is why we continue to back our December recommendation to hedge long positionsby selling$1850/toz April 2013 calls to fund$1575/toz April 2013 puts.Commodities in a nutshel
39、l,CommoditiesEnergy高盛全球经济、商品和策略研究,Recent events/outlook and key issues,12-m priceforecasts,6,2013 年 1 月 14 日,全球,WTI Crude OilBrent Crude OilRBOB GasolineUSGC Heating OilNYMEX Nat.GasUK NBP Nat.Gas,WTI-Brent spreads remained wide for most of 2012 as transportation bottlenecks left growing crude produ
40、ction from Canada and NorthDakota trapped in the US Midwest.As a result,inventories in the US Midwest,particularly at Cushing,OK,the point of the delivery forNYMEX WTI contracts,built to record highs.While the opening of the reversed Seaway pipeline in May allowed crude to be shippedfrom Cushing to
41、the USGC for the first time,this was later offset by the shutdown of BPs Whiting refinery in November,with the plantnow going through a conversion project that will still take several months to complete.However,WTI-Brent spreads have narrowedsubstantially over the past weeks and dropped to$17.00/bbl
42、 on Friday 11 January,as the expansion of the Seaway pipeline was finallycompleted.We expect that the additional capacity of 250 thousand b/d will help to shift the Cushing balance from being in a largesurplus in 4Q12 to a more balanced market in 1Q13.Further,we expect that the Cushing balance will
43、shift into a large deficit in 2Q13as new pipeline capacity from the Permian basin to the USGC comes online in late 1Q13,effectively diverting crude away fromCushing.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 crud
44、e oil market remains tight as reflected in the currently strong Brent timespreads,with front month ICE Brentcontracts trading roughly$1.00/bbl over second month contracts for the past three months.This physical tightness issomewhat at odds with the apparent large overhang in global inventories as re
45、ported 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,butrather NGLs and condensates,which are not directly used in the transportation sector.In fact,adjusting for US NGL stocks,global inventorie
46、s are very close to last years low levels.Consequently,we think that the current strength in Brenttimespreads is warranted as the relevant inventories are at a much lower level than what the aggregate numbers suggest.Ourexpected supply and demand balance suggests that this tightness will extend thro
47、ugh 2013 even as the build in total OECDinventories 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.WhileUS East gasoline stocks remain low,we expect
48、 these inventories to recover as well going forward as rail deliveries of cheap Bakkencrude to East Coast refiners continue to increase.However,depressed European refinery runs due to high refiner financing costs andhigh export demand keep RBOB margins vulnerable to upside spikes during the summer.U
49、S heating oil cracks remained strong as US and global distillate inventories remain at low levels.While a weak European economywill likely undercut diesel demand in the Atlantic Basin going forward,we expect strong export demand to return from Latin America in acouple months as the southern hemisphe
50、re 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 markethas priced this in,with prices declining since their Thanksgiving holiday highs,shifting
