1、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
2、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 GSCI Enhanced Commodity 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） 。 Saman
3、tha Dart +44(20)7552-9350 samantha.dartgs4 高盛国际 杰夫可瑞 +44(20)7774-6112 jeffrey.curriegs 高盛国际 Allison F. Nathan (212) 357-7504 allison.nathangs 高盛集团 David Greely (212) 902-2850 david.greelygs 高盛集团 Damien Courvalin (212) 902-3307 damien.courvalings 高盛集团 Stefan Wieler, CFA (212) 357-7486 stefan.wielergs
4、 高盛集团 Johan Spetz +44(20)7552-5946 johan.spetzgs 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 - /2011 年 9 月 22 日 全球 高盛全球经济、商品和策略研究 2 Hedging and trading recommendations Petroleum Hedging recommendations Consumers: With world economic growth continuing to drive oil demand growth well in excess of non-OPEC producti
5、on growth, the oil market continues to draw on inventories and OPEC spare capacity in order to balance. In our 6view, it is only a matter of time before inventories and OPEC spare capacity become effectively exhausted, requiring higher oil prices to restrain demand, keeping it in line with available
6、 supply. Consequently, we believe the recent market correction provides a good opportunity for consumers to begin to hedge their forward oil exposure. Refiners: Refining margins have recently shown counter-seasonal strength. However, this strength largely owes to the local weakness in WTI. As we exp
7、ect the spread between WTI and Brent to narrow from current levels, we also expect product cracks to weaken. Further, we maintain that refining margins will remain under pressure owing to the large increase in refining capacity in Asia. As a result, we view any renewed rise in long-dated refinery ma
8、rgins in 2011 as a selling opportunity for refinery hedgers. For 2012 and beyond, we believe that crude will be the bottleneck in the system, rather than refining; this would squeeze margins from the crude side through backwardation, suggesting that refiners should also look for potential time-sprea
9、d hedges. Producers: While the risk-reward trade-offs for producer risk management programs have diminished with the recent market correction, additional economic disappointments could generate more downside in the near term. We recommend that producers look at option strategies to hedge against thi
10、s risk. However, we expect supply-demand balances to continue to move to critically tight levels in 2012, with prices above recent levels by next year. Consequently, we think opportunities for producer hedging longer term are less attractive. Trading recommendations Long ICE Brent December 2012 cont
11、racts (initial price $105.16/bbl, current gain $0.45/bbl) We recommend a long position in the ICE Brent December 2012 contract, as we expect that the market will continue to tighten to critical levels by 2012, pushing oil prices substantially higher to restrain demand. Natural Gas Hedging recommenda
12、tions Consumers: We believe there are opportunities for consumer hedging in the long end of the NYMEX natural gas curve, particularly in calendar 2015 and 2016 contracts. Specifically, we believe that US natural gas prices will be supported above the $6/mmBtu range from 2015 onwards, as we expect si
13、gnificant increases in generation demand for natural gas driven by the retirement of more than 40 GW of coal-fired power plants. In addition, long-term US natural gas demand may be further supported by industrial demand growth, possible delays in the construction or license renewals of nuclear power
14、 plants as well as potential US LNG exports. We believe there are currently good hedging opportunities for consumers exposed to European spot markets; we expect a tightening shift in global LNG markets intensified by this years events in Japan and Libya to lead to a reconnection of European spot pri
15、ces to oil-indexed prices this year. As a result, we see upside to UK NBP prices relative to the forward curve. 渐飞研究报告 - /2011 年 9 月 22 日 全球 高盛全球经济、商品和策略研究 3 Producers: We believe the hedging opportunities for US producers in calendar 2012 and 2013 contracts are increasingly limited, as prices have
16、declined recently. In the UK, we believe there are limited hedging opportunities for producers exposed to spot prices as we see upside relative to the forward curve from 3Q this year and onward. Trading recommendations Long UK NBP Q4 2012 ICE Natural Gas contracts (initial price 70.8 p/th, current g
17、ain 3.0 p/th) We recommend a long position in UK NBP Q4 2012 contracts, as we expect a continued tightening of global LNG markets to lead to a reconnection between spot prices and oil-indexed prices in Europe, with spot gas pricing above oil-indexed in the beginning of the winter to attract incremen
18、tal volumes for the peak demand period. This reconnection between spot and oil-indexed natural gas prices in Europe is not currently priced in the UK NBP forward curve. Base Metals Hedging recommendations Consumers: Concerns about recent macro deterioration and the European sovereign debt problems h
19、ave kept the base metals complex under pressure. Although these concerns continue to present downside risk to prices, we believe that a global recession and/or financial crisis would be required to derail our current constructive commodity views on copper and zinc. Although the risk of these events
20、has risen, they are not the mainline view, with the ability for China to reverse or ease their tightening shifts over the past year providing a strong line of defense against unwanted weakening. As a result, we continue to see cyclical tightness developing in copper and eventually zinc. Further, we
21、believe that “cost-push” support stemming from tightening hydrocarbon markets and currency moves will likely keep prices elevated across the complex. Accordingly, we believe that the recent sell-off presents a relatively good opportunity for longer-dated purchases. Producers: Although prices remain
22、below this years highs, the still historically high price levels present some value to producers, in our view, especially considering the elevated uncertainty in the macro environment, which generate downside risk to our constructive price views. Trading recommendations Long Copper: Buy June 2012 LM
23、E copper (initial price $8,804/mt, current loss $471/mt) We continue to expect further upside in copper. Although the recent macro deterioration and European sovereign debt problems have increased the downside risk to our forecasts, our mainline economic views and expectations of continued strong ec
24、onomic growth in emerging markets (EM) and China in particular continue to suggest tightening copper fundamentals that will push prices higher over the next year. Long Zinc: Buy December 2012 LME zinc (initial price $2,189/mt, current loss $35/mt) Although we do not see the zinc balance as tight as
25、copper next year, we believe that zinc price risk is also skewed to the upside given our views of a developing deficit. We emphasize that China is a growing net importer of zinc raw materials, like copper, setting up for sizable upside for the metal even before important mine closures are set to tak
26、e place in 2013-2015. As for copper, 渐飞研究报告 - /2011 年 9 月 22 日 全球 高盛全球经济、商品和策略研究 4 recent macro deterioration and the ongoing European debt problems have increased the downside risk to our zinc forecasts, but we believe that a global recession and/or financial crisis would be required to derail our
27、views. Precious Metals Hedging recommendations Consumers: We expect gold prices to continue to climb in 2011 given the current low level of US real interest rates. Further, with our US economics team now forecasting slower US economic growth in 2011 and 2012, we expect US real interest rates to rema
28、in lower for longer, supporting higher gold prices through 2012. Consequently, we recommend near-dated consumer hedges in gold through 2012. Producers: With gold prices expected to continue to climb through 2012, we find hedging opportunities less attractive for gold producers at this time. Trading
29、recommendations Long Gold: Buy December 2011 COMEX Gold (initial value of $1,364.2/toz, current gain $444.9/toz) We expect gold prices to continue to climb in 2011 and 2012 given the current low level of US real interest rates. Agriculture Hedging recommendations Consumers: Growing risks of higher c
30、orn and soybean prices offer opportunities for consumer hedging. We also recommend cotton consumers layer in asymmetric upside hedges for 2012 as any further weather disappointment will likely push prices higher. Producers: Upside risks to our expectation of corn, wheat and soybean prices modestly a
31、bove the current forward curve points to limited opportunities for producers to implement hedge programs. Trading recommendations Long soybeans: Buy November 2011 CBOT soybean call options (initial value of $11.60/bu, current gain $1.80/bu) We continue to see soybean price risk as skewed to the upsi
32、de given the low level of 2011/12 ending stock that we forecast. On August 4, we recommended rolling our existing long Nov-11 CBOT soybean trade recommendation opened in November 2010 into a long Nov-11 CBOT soybean $14.0/bu call position. 渐飞研究报告 - /2011 年 9 月 22 日 全球 高盛全球经济、商品和策略研究 5 Current tradin
33、g recommendations Source: Goldman Sachs Global ECS Research. Long Brent Crude OilBuy December 2012 ICE Brent Crude Oil May 23, 2011 - Energy Watch $105.16/bbl $105.61/bbl $0.45/bblLong CopperBuy June 2012 LME Copper May 23, 2011 - Commodity Watch $8,804/mt $8,333/mt ($471/mt)Long ZincBuy December 20
34、12 LME Zinc May 23, 2011 - Commodity Watch $2,189/mt $2,154/mt ($35/mt)Long UK Natural GasBuy Q4 2012 ICE UK NBP Natural Gas April 26, 2011 - Natural Gas Weekly 70.8 p/th 73.8 p/th 3.0 p/thLong SoybeansBuy November 2011 CBOT Soybean November 18, 2010 - Agriculture Update $11.60/bu $13.40/bu $1.80/bu
35、Rolled into a long Nov-11 CBOT soybean $14.0/bu call on 3-Aug-11 with a realized gain of $1.68/buLong GoldBuy December 2011 COMEX Gold October 11, 2010 - Precious Metals $1,364.2/toz $1,809.1/toz $444.9/toz?As of close on September 20, 2011. Inclusive of all previous rolling profits/losses.Current p
36、rofit/(loss)1Current trades First recommended Initial value Current Value渐飞研究报告 - /2011 年 9 月 22 日 全球 高盛全球经济、商品和策略研究 6 Price actions, volatilities and forecasts Source: Goldman Sachs Global ECS Research. SP GSCI Enhanced Commodity Index? and strategies total return and forecasts1 1YTD returns throug
37、h August 31, 2011. Source: Standard Poors, Goldman Sachs Global ECS Research. units 21 Sep Change Implied2 Change Realized2 Change 1Q 10 2Q 10 3Q 10 4Q 10 1Q 11 2Q 11 3m 6m 12mEnergy ?3.66?1.74?-0.17?0.03?-0.21?10.14Industrial Metals4?-37?-525?-805?-117Precious Metals?-41?-1.7Agriculture?-64?-39?-25
38、?-4?-14?-271?-4.1?5.0?0.91 Monthly change is difference of close on last business day and close a month ago.2 Monthly volatility change is difference of average volatility over the past month and that of the prior month (3-mo ATM implied volatility, 1-mo realized volatility).3 Price forecasts refer
39、to prompt contract price forecasts in 3-, 6-, and 12-months time.4 Based on LME three month prices.81.9 79.7 71.2 86.2n/a 19.8 -44.6 69.7 CME Lean Hog Cent/lb 89.3 n/a110.7 120.0 CME Live Cattle Cent/lb 119.3 n/a95.0 95.093.6 95.093.7 95.0 100.5 111.2 130.0 120.0n/a 13.7 -0.3 90.515.5 20.2 29.0 30.5
40、-2.38 31.8 -11.9 24.4 NYBOT Sugar Cent/lb 26.8 35.83043 2700 NYBOT Cocoa $/mt 2727 n/a24.0 24.024.5 28.02987 2863 2856 3307 2700 2700n/a 26.9 5.0 3070140 174 205 257n/a 28.0 2.6 134 NYBOT Coffee Cent/bu 252 n/a156 100 NYBOT Cotton Cent/bu 103 n/a200 175271 23581 87 128 179 100 100n/a 27.2 -11.4 7635
41、5 422 562 670-4.12 27.3 -2.6 370 CBOT Corn Cent/bu 686 29.91361 1375 CBOT Soybean Cent/bu 1321 20.3735 700731 735957 1035 1245 1379 1400 1400-0.87 17.9 1.5 955467 653 707 786-1.89 25.0 -15.2 496 CBOT Wheat Cent/bu 667 31.238.0 27.5 London Silver $/troy oz 40.3 44.4790 750745 75018.3 19.0 26.4 31.9 2
42、8.9 31.12.72 45.2 6.2 16.91197 1228 1370 13887.41 34.1 14.5 1110 London Gold $/troy oz 1808 28.32271 2450 LME Zinc $/mt 2077 33.01730 18601508 16452052 2043 2333 2414 27500 27001.46 26.5 -8.7 230722431 21271 23619 269261.00 37.8 1.8 20163 LME Nickel $/mt 20400 34.39163 9700 LME Copper $/mt 8300 31.5
43、23000 2300024191 240007042 7278 8614 9629 10000 110002.98 23.8 -1.3 72742122 2110 2365 25310.29 17.8 -3.1 2199 LME Aluminum $/mt 2318 24.458.04 76.00 UK NBP Nat. Gas p/th 62.13 29.22900 29502618 280037.48 42.68 51.74 56.77 75.00 78.008.80 62.7 43.8 33.354.35 4.23 3.98 4.20-1.23 33.2 8.5 4.99 NYMEX N
44、at. Gas $/mmBtu 3.73 32.23.05 3.12 NYMEX Heating Oil $/gal 2.93 33.9 2.11 2.06 2.36 2.82 3.26 3.480.72 21.0 -10.5 2.054.50 4.004.38 4.25Volatilities (%) and monthly changes2Prices and monthly changes1WTI Crude Oil $/bblPrice Forecasts385.92 42.3 5.62 28.0Historical Prices78.88 78.05-17.6 131.0094.60
45、 102.34 97.50 120.00120.00 124.0076.21 85.2476.96 87.45 105.52 116.99 134.00 Brent Crude Oil $/bbl 110.36 40.2 3.32 25.9 -10.1 77.37 79.412.19 33.9 -5.7 2.11 RBOB Gasoline $/gal 2.67 37.3 2.95 3.352.22 2.682.17 2.00 3.10 2.89Current 12-MonthWeight Forward(%) 2009 2010 2011 YTD 12-mo ForecastSP GSCI
46、Enhanced Commodity Index 100.0 21.6 12.2 4.9 20.0Energy 66.2 23.8 5.9 5.0 25.7Industrial Metals 8.0 82.7 16.5 -4.4 22.5Precious Metals 4.2 25.2 34.5 29.3 4.0Agriculture 16.7 3.6 33.7 6.5 4.8Livestock 4.9 -11.3 18.5 -2.2 4.0高盛集团 高盛全球经济、商品和策略研究渐飞研究报告 - /2011 年 9 月 22 日 全球 高盛全球经济、商品和策略研究 7 Resilience i
47、n commodities in line with fundamentals Despite the heightened level of financial uncertainty associated with the still-unresolved sovereign debt issues in Europe and the slowing economic activity in the United States, commodities have been remarkably resilient over the past month relative to other
48、asset classes. Driving this resiliency and substantially less volatility (see Exhibit 1) has been continued evidence of a relatively stronger fundamental picture due to a combination of supply disappointments and significant demand leverage to the growth markets where economic activity has remained
49、supportive. This stands in sharp contrast to earlier this spring when commodities experienced a high level of uncertainty driven by a price overshoot that was corrected back in line with fundamentals, which have since remained fairly well supported. Exhibit 1: Commodity markets have exhibited significantly less volatility than equity markets in the past month Monthly volatility Source: Goldman Sachs. During the past month, the absence of clear signs of im
