大宗商品的超级周期

陪伴认真的你在交易之路上一同成长

 文 | Dorian君  灰岩金融科技

前德银衍生品交易员  对冲研投专栏作者

200年以来的大宗商品牛熊转换

勘探——建设——投入生产——供应过剩——矿商利润缩减（倒闭潮）——开垦——勘探——建设——供应过剩。。。。

When trading commodities, understanding the commodity cycle is arguably the most important element in determining their future direction. This article provides an overview of the process and outlook on various commodities over the next 18-24 months.

在交易商品时，了解商品周期可以说是决定其未来发展方向的最重要因素。本文概述了未来18-24个月内各种商品的流程和展望。

Commodity Cycle – Key Points

• Commodities are a fast-moving asset class, with about 35% more volatility than US equities, 2.3x the volatility of the US dollar, and 3x the volatility of 10-year US Treasuries

• Commodities are more of a pure trading asset class than stocks and bonds, given they are not cash-producing or yield-generating assets, but can rather be thought of as alternative currencies subject to their own supply-and-demand forces

• All commodities go through cycles that are largely driven by the investment behavior of producers

• Identifying where each commodity is in its cycle, and ideally getting in at the start, is the key to trading them successfully

商品周期 - 要点

大宗商品是一个快速变动的资产类别，其波动性比美国股票高出35％左右，是美元波动率的2.3倍，是10年期美国国债波动率的3倍

鉴于商品不是现金生产或产生收益的资产，大宗商品更像纯粹的交易资产类别，但可以被认为是受其供需力量影响的替代货币。

所有商品都经历了主要受生产者投资行为驱动的周期

确定每个商品在其周期中的位置，并在理想情况下从一开始就进入，这是成功交易它们的关键

Trading commodities is different from other asset classes in that they are predominantly pure alpha type bets. When you invest in stocks, bonds, or in carry-related forex trading, you expect to capture a spread-related compensation with regard to duration or interest rate differentials.

交易商品与其他资产类别不同，因为它们主要是纯alpha类型的投注。当您投资股票，债券或与套利相关的外汇交易时，您希望在持续时间或利率差异方面获得与利差相关的补偿。

Namely, stocks, having no expiration (unlike most bonds) and being the most junior stakeholders in a company’s capital structure (therefore paid after bondholders in a hypothetical bankruptcy scenario), typically provide the highest return over the long-run. This is expected given investors want to be compensated for taking on more risk.

也就是说，没有到期的股票（与大多数债券不同）并且是公司资本结构中最初级的利益相关者（因此在假设的破产情景中通过债券持有人支付），通常在长期内提供最高的回报。这是预期的，因为投资者希望获得更多风险的补偿。

Bonds provide returns commensurate with their duration (i.e., the further the bond is from expiry, the more investors expect to be compensated), interest rate risk, and credit risk.

债券提供与其持续时间相称的回报（即债券到期日越远，投资者预期获得的补偿越多），利率风险和信用风险。

Carry-related forex trading involves being long a higher-yielding currency against a lower-yielding currency and trying to profit off the spread between the two.

Commodities, on the other hand, don’t have yields to speak of. Understanding where commodities should trade relies primarily on supply-and-demand analysis, rather than analysis of expected future cash flow performance as in the case of stocks and bonds.

与运输相关的外汇交易涉及长期高收益货币对低收益货币的影响，并试图从两者之间的利差中获利。另一方面，商品没有收益率可言。了解商品交易的位置主要依赖于供需分析，而不是像股票和债券那样分析预期的未来现金流表现。

One can also think of commodities as alternative currencies; that is, something tangible that is commonly considered of value. A common example is gold, which historically has been a common backing for a nation’s currency. Therefore, commodities can also be considered a store hold for wealth. But given commodities are not cash-producing assets, trading them is thus largely driven by analysis of where price alone will move.

人们还可以将商品视为替代货币;也就是说，有形的东西通常被认为是有价值的。一个常见的例子是黄金，它历来是一个国家货币的共同支撑。因此，商品也可以被视为财富的商店。但鉴于商品不是现金生产资产，因此交易它们主要是通过分析价格单独移动的方式来推动。

How is this done?

Well, it’s important to understand that all commodities go through an investment cycle. It roughly follows a five-step process.

The 5 Phases of the Commodity Cycle

1. In phase one, a surge in demand for the commodity-related input causes it to exceed its supply. When demand outstrips supply, prices rise. This surge in demand can relate to economic growth, a surge in innovation or new industrial usage (e.g., cobalt in electric vehicles), or basic economics wherein low prices beget higher demand – and hence the old adage “low prices cure low prices.”

2. As prices start rising, more producers see their margins expand or at least have the capacity for them to expand. This incentivizes larger amounts of capital spending to increase production. During this time, prices are keen to increase further. This helps to stimulate growth and inflation in the broader economy.

3. As capital expenditure ramps up, capacity is increased. This brings more supply onto the market. At the same time, higher prices begin to erode market demand. For a highly in-demand commodity, high prices will encourage substitution (e.g., cobalt in lieu of lithium in electric cars; natural gas instead of coal for heating) and undermine demand through alternative channels. Demand and supply begin to equilibrate and prices start to stabilize.

4. The next phase begins once supply from new production overwhelms demand and prices begin to fall.

5. Once the reality of lower prices hit the market, capital expenditures must be curtailed (or discontinued entirely) to avoid producing unprofitably. This helps to drain supply from the market, creating a new equilibrium that becomes a cyclical bottom. Once this production capacity evaporates, this provides the basis for the supply constraints witnessed once the cycle turns back to stage one and repeats itself.

这是怎么做到的？

嗯，重要的是要了解所有商品都经历了投资周期。它大致遵循五个步骤。

商品周期的5个阶段

在第一阶段，对商品相关投入的需求激增导致其超过供应。当需求超过供应时，价格上涨。需求的激增可能与经济增长，创新激增或新的工业用途（例如电动汽车中的钴），或低价格带来更高需求的基本经济学有关 - 因此古老的格言“低价格能够治愈低价格”。

随着价格开始上涨，更多的生产商看到他们的利润扩大或至少有能力扩大。这激励了更多的资本支出来增加产量。在此期间，价格急于进一步上涨。这有助于刺激更广泛经济中的增长和通货膨胀。随着资本支出的增加，产能增加。这为市场带来了更多的供应。与此同时，较高的价格开始侵蚀市场需求。对于高需求商品，高价格将鼓励替代（例如，钴代替电动汽车中的锂;天然气代替煤加热），并通过替代渠道破坏需求。需求和供应开始平衡，价格开始趋于稳定。

一旦新产品的供应压倒了需求并且价格开始下降，下一阶段就开始了。

一旦低价的现实进入市场，就必须缩减（或完全停止）资本支出，以避免无利可图地生产。这有助于消耗市场供应，创造一个新的均衡，成为一个周期性的底部。一旦这种生产能力蒸发，这就为周期回到第一阶段并重复自身后出现的供应限制提供了基础。

How This Template Applies to the Current Commodities Picture

Some commodities have longer cycles and some have smaller cycles, and some have cycles that barely move to any appreciable extent (e.g., uranium).

In oil, as of January 2018, we are in phase III of the commodity cycle, where capital expenditure in the oil sector is accelerating, rig count is increasing, and this provides the capacity for more supply to come online. Most upstream oil companies are profitable at USD$65 WTI and $70 Brent oil prices and will be encouraged to bring supply to market to take advantage of prices near three-year highs. But this forthcoming supply-side increase and demand-side erosion that occurs as price rises puts oil much closer to its cyclical top than a cyclical bottom.

For those in oil trades currently, whether that means being long oil equities, oil bonds, or the commodity itself, now would be the time to begin reducing exposure. Generally speaking, the shift from phase III to phase IV of the commodity cycle is when one might look to reduce exposure.

Trades that have been going well tend to bring the sentiment that whatever we’re trading is a good investment. However, it often means that it’s getting more expensive.

此市场范式如何应用于解析商品市场

一些商品具有较长的周期，一些商品具有较小的周期，并且一些商品具有几乎不会移动到任何明显程度的周期（例如，铀）。

在石油方面，截至2018年1月，我们处于商品周期的第三阶段，石油部门的资本支出正在加速，钻机数量正在增加，这提供了更多供应上线的能力。大多数上游石油公司的盈利能力为65美元WTI和70美元布伦特原油价格，并将鼓励市场供应以利用接近三年高点的价格。但随着价格上涨而出现的即将到来的供应方增加和需求方面的侵蚀使得石油更接近其周期性顶部而非周期性底部。

对于目前从事石油交易的人来说，无论是长期石油股票，石油债券还是商品本身，现在都是开始减少风险敞口的时候了。一般而言，商品周期从第三阶段向第四阶段的转变是人们可能希望减少风险敞口。

一直表现良好的交易往往会带来这样的情绪：无论我们交易的是什么都是一项很好的投资。但是，这通常意味着它变得更加昂贵。

Price Outlook for Various Commodities

If I were to give a summarized rundown, here are my current thoughts (January 2018) on where various commodities are likely to go over the next 18-24 months based on the commodity cycle template used above:

Bullish

• Zinc

• Lead

• Alumina

• Chrome

• Gold (slightly)

• Silver (slightly)

Up, then Down (expected inverted U-shape price trajectory over next 18-24 months)

• Cobalt

• Coal (both met and thermal)

Stable

• Oil

• Platinum

• Steel

• Nickel

• Bauxite

• Iron ore

• Tin

• Aluminum

• Uranium

• Palladium

Down, then Up (expected U-shape price trajectory over next 18-24 months)

• Manganese

Bearish

• Liquefied natural gas

• US natural gas

• Copper

• Lithium

各种商品的价格展望

如果我要总结一下，以下是我目前的想法（2018年1月），根据上面使用的商品周期框架，各种商品可能会在未来18-24个月内出现如下行情：

看涨

锌、铅、矾土、铬、黄金（略）、银（略）

向上，然后向下（预计未来18-24个月的倒U型价格轨迹）

钴、煤（遇到和热）、稳定、油、铂、钢、镍、矾土、铁矿、锡、铝、铀、钯

向下，然后向上（预计未来18-24个月的U形价格轨迹）锰

看空

液化天然气美国天然气、铜、锂

Conclusion

All commodities trade in cycles. Any given commodity cycle never flows perfectly as new information becomes available regarding innovations in production, evolving industrial uses, substitution effects, and price speculation from investors.

Most commodities are currently mid-cycle, which means there’s not a ton of upside (or downside) when taking into account the asset class as a whole. We can still nonetheless find pockets of the market that may be worth trading if one has the conviction that the prospective returns are high enough.

If we plot US stocks (as represented by the Wilshire 5000) versus commodity prices, stocks appear very expensive against commodities historically.

But this, naturally, is more of a consequence of stocks being historically expensive – due to years of low interest rates and central banks purchasing assets to boost their prices – rather than commodities being cheap on their own.

结论

所有商品都在这类大周期中交易。随着有关生产创新，不断变化的工业用途，替代效应和投资者价格投机的新信息的出现，任何给定的商品周期都不会完美流动。

大多数商品目前处于周期中期，这意味着在考虑整个资产类别时，并没有大量的上行空间（或下行空间）。如果人们确信预期收益足够高，我们仍然可以找到可能值得交易的市场。

如果我们将美国股票（以Wilshire 5000为代表）与商品价格进行对比，那么股票在历史上看起来对商品来说非常昂贵。

但这当然更多地是由于多年来低利率和央行购买资产以提高价格而导致股票在历史上变得昂贵 - 而不是商品本身便宜。

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