对传统经济板块投资的复兴：问题及展望1206.ppt

30%,20%,2012 年 12 月 5 日对传统经济板块投资的复兴研究报告2013-2014 年问题及展望,投资复兴而非终止从大宗商品供应紧张态势缓解、中国经济增长放缓以及生产企业回报率正常化来看，大宗商品的超级周期似乎将会结束。然而我们认为当前的形势发展只不过是进入了大宗商品投资周期（始于上世纪 90 年代末）的下一阶段，并将带来新的投资机会；因此我们认为这属于投资“复兴”而非终止。长期价格稳定并不意味着短期内不会出现供应短缺状况虽然所有大宗商品的供应面创造了更稳定的长期价格环境，但这并不意味着短期内不会出现供应紧张状况。我们认为，尽管长期价格比较稳定，但随着直至 2013年下半年经济增长改善，当前基本面可能保持紧张态势，令远期曲线（短期价格高于长期价格）的正利差上升，从而带来显著的投资回报。这意味着大宗商品市场的交易情况将回到上世纪 80、90 年代，不同于 2000 年之后大部分大宗商品的远期曲线（即短期价格低于长期价格，负利差拖累回报）。负利差导致超级周期的回报并不很高标普 GSCI 指数的总回报50%,杰夫可瑞(212)357-6801 高盛集团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 高盛国际Stefan Wieler,CFA(212)357-7486 高盛集团Johan Spetz(212)357-9225 高盛集团,40%袁飞+852-2978-6128 高盛（亚洲）有限责任公司10%0%-10%-20%-30%-40%-50%,1985,1989,1993,1997,2001,2005,2009,GSCI Total ReturnGSCI Total Return average,Enhanced GSCI Total ReturnEnhanced GSCI Total Return average,资料来源：标普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,3,4,5,7,18,23,31,34,35,37,40,2,2012 年 12 月 5 日,全球,Table of contentsCurrent trading recommendationsPrice actions,volatilities and forecastsExecutive Summary2013-2014 Issues and Outlook:The Old Economy RenaissanceOil:Cyclically tight but structurally stableNatural Gas:Beyond the recovery,a more sustainable price rangeCopper:Resilience to continue,significant upside on pick-up in global industrial production in 2013but 2014 much tougher27Aluminium:Outlook relatively bearish,risks skewed to downsideZinc:Large stock overhang and Chinese supply profitable but should balance up into 2014 on slower global supply growth33Nickel:Prices well above$17,000/t appear unsustainableGold:The cycle is set to turn on improving US recoveryAgriculture:Nothing solved yetAppendices:Global crude oil supply and demand,Disclosure Appendix高盛全球经济、商品和策略研究,42,3,2012 年 12 月 5 日Current trading recommendations,全球,Current trades,First recommended,Initial value,Current Value,Currentprofit/(loss)1,Opening:The Commodity Carry Basket:Crude,Corn and Base(CCB)Long the S&P GSCI Petroleum,Corn and Copper total return indices,short the S&P GSCI F3 Aluminium total return index,equally weighted,December 5,2012-2013-2014 OutlookLong NYMEX natural gas one-by-two call spreadLong one Jul-13 NYMEX natural gas$3.85/mmBtu call,short two Jul-13 NYMEX natural gas$4.70/mmBtu calls,100.00,November 11,2012-Natural Gas Watch,$0.12/mmBtu,$0.13/mmBtu,$0.01/mmBtu,Long Jun-13 NYMEX WTI crude vs.short Jun-13 ICE Brent crudeBuy 1 Jun-13 NYMEX WTI crude,sell 1 Jun-13 ICE Brent,August 21,2012-Energy Weekly,($12.33/bbl),($15.81/bbl),($3.48/bbl),Long S&P GSCI Brent crude oil total return indexLong S&P GSCI Brent crude oil total return index at initial index value of 1,174.26,August 21,2012-Energy Weekly,1,174.26,1,151.18,(12.74%),Rolled from a long September 2012 NYMEX WTI Crude Oil position on 21-Aug-12,carrying forward a potential loss of 10.77%Long Mar-13 MATIF Wheat vs.short Mar-13 CBOT WheatBuy 1 Mar-13 MATIF Wheat,sell 1 Mar-13 CBOT Wheat,hedge EUR/$exposure on entry,August 7,2012-Agriculture Update,($17.47/MT),$32.91/MT,$50.38/MT,Long GoldBuy April 2013 COMEX Gold,sell$1,850/toz Apr-13 call,buy$1,575/toz Apr-13 put,October 11,2010-Precious Metals,$1,698.9/toz,$1,698.9/toz,$317.8/toz,Rolled from a long Dec-12 COMEX Gold future position on 4-Dec-12 with a potential gain of$317.8/tozAs of close on December 4,2012.Inclusive of all previous rolling profits/losses.Source:Goldman Sachs Global ECS Research.高盛全球经济、商品和策略研究,4,1,2,3,4,4,2012 年 12 月 5 日Price actions,volatilities and forecasts,全球,Prices and monthlychanges1,Volatilities(%)and monthly changes2,Historical Prices,Price Forecasts3,units,04 Dec Change Implied2 Change Realized2 Change 2Q 11 3Q 11 4Q 11 1Q 12 2Q 12 3Q 12,3m,6m,12m,Energy,WTI Crude OilBrent Crude OilRBOB GasolineNYMEX Heating OilNYMEX Nat.GasUK NBP Nat.Gas,$/bbl$/bbl$/gal$/gal$/mmBtup/th,88.50109.842.693.003.5469.39,3.644.160.120.06-0.013.70,29.927.027.725.135.521.3,-1.90-2.57-3.19-1.940.320.46,30.625.728.524.437.517.7,4.12.9-6.31.3-3.6-6.1,102.34 89.54 94.06 103.03 93.35 92.20 111.00 106.00 99.00116.99 112.09 109.02 118.45 108.76 109.42 115.00 110.00 105.003.10 2.89 2.62 3.06 2.95 2.95 3.03 2.88 2.553.05 2.98 2.98 3.16 2.89 3.00 3.19 3.09 3.014.38 4.06 3.48 2.50 2.35 2.89 4.00 4.25 4.5058.04 57.03 61.56 57.46 55.89 56.92 75.30 73.20 76.20,Industrial Metals,LME AluminumLME CopperLME NickelLME Zinc,$/mt$/mt$/mt$/mt,2,0948,03217,5052,022,1693671530148,19.722.426.422.4,-0.90-0.83-1.86-2.06,19.814.522.519.3,1.8-1.61.02.2,2,618 2,430 2,115 2,219 2,019 1,950 2,000 2,000 2,1009,163 8,993 7,530 8,329 7,829 7,721 8,000 9,000 8,00024,191 22,037 18,396 19,709 17,211 16,396 16,500 16,500 17,0002,271 2,247 1,917 2,042 1,932 1,905 1,950 2,000 2,100,Precious Metals,COMEX GoldCOMEX Silver,$/troy oz$/troy oz,1,69432.7,191.9,13.924.1,-1.05-2.59,16.031.0,3.87.3,1,50838.3,1,70438.8,1,68531.8,1,69332.7,1,61229.4,1,65429.9,1,82530.5,1,80530.1,1,80030.1,Agriculture,CBOT WheatCBOT SoybeanCBOT CornNYBOT CottonNYBOT CoffeeNYBOT CocoaNYBOT SugarCME Live CattleCME Lean Hog,Cent/buCent/buCent/buCent/lbCent/lb$/mtCent/lbCent/lbCent/lb,8571,417747731372,49119.4126.184.5,-8-3773-17440.00.76.7,26.019.823.622.528.226.622.111.015.9,-0.64-1.59-1.20-2.06-1.54-1.36-0.49-0.21-2.02,23.017.816.415.235.924.525.47.814.5,3.4-9.1-9.2-12.17.1-1.24.8-0.1-7.9,7451,36173115627130432411194,6901,3566961062562,9622911594,6151,175620952292,3832512188,6431,272641932052,3082512587,6411,426618801702,2222111788,8711,677783731722,4382112283,9501,650825701752,30022.0115.079.0,9501,550825751752,30022.0120.076.0,8001,350650751752,45022.0130.095.0,Monthly change is difference of close on last business day and close a month ago.Monthly volatility change is difference of average volatility over the past month and that of the prior month(3-mo ATM implied,1-mo realized).Price forecasts refer to prompt contract price forecasts in 3-,6-,and 12-months time.Based on LME three month prices.Source:Goldman Sachs Global ECS Research estimates.高盛全球经济、商品和策略研究,5,2012 年 12 月 5 日,全球,Executive SummaryCrude oil:We expect that the global oil market will remain cyclically tight andinventories low in the 2013-2014 period despite the fact that we expect astructurally much more stable market,where longer-term prices remainanchored around$90/bbl.We therefore maintain our average 2013 forecast forBrent crude oil at$110.00/bbl and introduce a 2014 forecast at$105.00/bbl.Further,we expect US Mid-Continent crude inventories to reconnect to theglobal crude market and for Brent-WTI spreads to narrow sharply going forwardas transportation bottlenecks ease and we maintain our average price forecastfor WTI of$105.50/bbl for 2013 and introduce a price forecast of$99/bbl for2014,reflecting an average Brent-WTI spread of$4.50/bb and$6.00/bbl in 2013and 2014,respectively.Natural gas:Despite the recent weather-driven pull-back,we expect US natural gas prices tocontinue to recover in 2013-2014 as the need for price-induced coal-to-gas switching is furtherreduced and dry shale gas production will need to start growing again.Beyond 2014,we expectdemand growth from coal-fired power plant retirements and LNG exports against ampleproduction potential to result in more range-bound prices in the medium to long term.Weintroduce a 2014 average NYMEX natural gas price forecast of$4.25/mmBtu,in line with our2013 forecast,and expect NYMEX natural gas prices to establish a$4.00-5.00/mmBtu tradingrange in coming years.In contrast to the US market,global gas markets will likely remain in adeficit in the near to medium term.From 2015,however,the incremental liquefaction capacityexpected to come online is likely to rebalance the market and lead to lower spot LNG prices.Thistightening trend in the global LNG market through 2014 followed by a softening market in 2015and beyond is likely to drive the European natural gas balance and,accordingly,we reiterate our2013 UK NBP forecast of 73.8p/th($11.50/mmBtu).Base metals:Copper is still our preferred base metal as we head into 2013.Its high exposure tocontinued strength in late cycle Chinese construction completions(c.50%of Chineseconsumption),together with an anticipated rebound in underperforming sectors in China(consumer appliances,manufacturing,machinery)and a pick-up in ex-Chinese consumption(UShousing,general EM activity)are expected to underpin copper consumption growth through mid-late 2013.While we also expect copper mine supply growth to accelerate to above trend rates in2013,this is not expected to shift the market into a noticeable surplus until 2014.By 2014,abovetrend supply growth is expected to continue in the face of a sharp slowdown in Chineseconstruction completions,moving copper into a surplus of at least 300,000t,and driving pricesdown from a peak of$9,000/t in 2013 to an average c.$7,000/t in 2014.Aluminium is expected toremain in surplus and trade in contango in 2013,underperforming copper,with market specificprice risks skewed the downside.Specifically,the outlook for aluminium has deteriorated sincewe last wrote on the market on October 15,partly owing to lower cost support,and we downgradeour 2013 price forecasts accordingly(we now see$2,100/mt as fully priced).Overall theprospects for zinc are not particularly bullish for 2013,but should gradually improve in 2014,asthe market balances up on slower global supply growth following the closure of a number ofdepleted mines.Meanwhile,we continue to be bearish on the nickel market fundamentals withany significant rally above$17,000/t expected to be a good level to hedge/establish a shortposition over the short to medium term.Precious metals:We expect gold prices to peak in 2013 as US growth recoverytakes hold.Gold prices have remained range-bound in 2012,despite a steadydecline in US real rates and a rise in central bank holdings that would ordinarilybe supportive.The key driver to this dislocation is that gold prices“lookthrough”easing that does not require Fed balance sheet expansion,likeOperation Twist since September 2011.Looking forward,our economistsforecast that the US economic recovery will slow early in 2013 before高盛全球经济、商品和策略研究,6,2012 年 12 月 5 日,全球,reaccelerating in the second half.They also expect additional expansion of theFeds balance sheet.Near term,the combination of more easing and weakergrowth should prove supportive to gold prices and our 3-mo forecast is$1,825/toz.Medium term however,the gold outlook is caught between theopposing forces of more Fed easing and a gradual increase in US real rates onbetter US economic growth.Our expanded modeling suggests that theimproving US growth outlook will outweigh further Fed balance sheet expansionand that the cycle in gold prices will likely turn in 2013 with our 6-and 12-month gold price forecasts of$1,805/toz and$1,800/toz and our 2014 forecastat$1,750/toz.Risks to our growth outlook remain elevated however,especiallygiven the uncertainty around the fiscal cliff,which makes calling the peak ingold prices a difficult exercise.Agriculture:Grain prices rallied sharply in 2012 on the back of droughts in the US,SouthAmerica and the Black Sea,the worlds major producing and exporting regions.These droughtsfollowed disappointing weather conditions in both 2010 and 2011,leaving the global or US corn,wheat and soybean markets in deficit for the past three years.We believe that the combination ofdownside risks to crop production and signs of resilient demand will require higher crop prices inthe coming months given already very low inventories,especially for corn.The upside to soybeanprices is potentially larger than for corn but would require further deterioration in South Americanweather.While average weather conditions in 2013 could bring a significant rebound inproduction and inventories and in turn push prices sharply lower,weather conditions remainchallenging across major producing regions and especially in the US where the drought persists.Given the growing risk that crop production disappoints again in 2013,we expect that new-cropprices will remain high by historical standards until at least next spring.Recommending CCB basket to benefit from positive carry:To take advantage of our view ofincreasing carry in key commodity markets,we recommend opening an equally weighted position inGSCI-style rolling front month indices in petroleum,corn and for base,copper less aluminium(Commodity Carry Basket:Crude,Corn and Base,or CCB).Near-term fundamentals still remaintight in crude oil,corn and copper,which reinforces our more positive view on near-term prices.In oilit is the combination of Iranian sanctions,low inventory cover and limited spare OPEC productioncapacity that drives the near-term tightness.In copper it is robust growth in Chinese constructioncompletions,a pick-up in Chinese property sales and a modest rebound in ex-Chinese demand thatis expected to underpin demand through mid-late 2013.While we also expect copper mine supplygrowth to accelerate to above trend growth in 2013,this is not expected to shift the market into anoticeable surplus until 2014.For corn,our forecast for lower US production in the face of resilientdemand requires prices to rise further to avoid inventories from falling to critically low levels.Whilethe upside potential for soybeans is greater should weather in South America deteriorate further,wehave a stronger conviction that corn prices are too low.Further corn prices should follow a rally insoybean prices as corn cannot afford to lose acreage ahead of next springs US planting season.Net,this near-term tightness in oil,corn and copper should support backwardation more broadlyacross these three commodities.Finally,aluminium is expected to remain in surplus and trade incontango,with market specific price risks skewed the downside,which we have added as short totake some of the market risk out of the basket and take advantage of the persistent contango.Ourupside CCB target is for 12%taking a 6-month horizon,with a stop loss at-6%高盛全球经济、商品和策略研究,7,2012 年 12 月 5 日,全球,2013-2014 Issues and Outlook:The Old Economy RenaissanceWith commodity supply constraints easing,Chinese growth slowing and producer companyreturns normalizing,it is tempting to call an end to the commodity super cycle.However,webelieve current market developments are simply the next phase of a commodity investment cyclethat commenced in the late 1990s and,like previous phases,it will create new investmentopportunities and should therefore be viewed more as a“renaissance”.Specifically,we haverecently argued that many commodity markets have found new equilibrium prices that generatesufficient supply growth to create a more stable long-term price environment;however,this doesnot preclude near-term market tightness.As economic growth improves into the latter half of 2013,we believe current fundamentals are likely to create near-term shortages,which will likely boostnear-term prices relative to long-term prices,generating a positive carry in the forward curves.This return of positive carry,or backwardation,will likely create significant inves