REASONS TO BE CHEERFUL ABOUT COMMODITIES
Commodity
prices have more than doubled over the past four years, leading many investors to ask themselves whether commodities are still worth investing in.
To answer this question, we must revisit the main arguments for investment in commodities. The most popular argument is China. China is becoming an economic powerhouse. Given its sheer size, this is said to lead to a virtually insatiable demand for just about every commodity under the sun. The second most popular argument relates to the supply side. After many years of under-investment many commodity producers are in bad shape. They are unable to meet the recent increase in demand; a situation that is said to continue for many years to come. A third argument is found in a 2005 Yale research paper that shows over the period 1959-2004 a portfolio of 34 different commodities would have generated average returns comparable to stocks, but with negative correlation with stocks and bonds. This combination makes commodities the perfect diversifier for any traditional stock/bond portfolio.
How much truth is there in these arguments? One reason why China is doing well is the global economy has done well over the last couple of years. It is on track to grow 5.1 per cent this year alone. Another reason is the majority of China's population is poor, so labour costs are minimal. As a result, production is moved from the west to China.
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Taken together, this means China is a lot more dependent on the global economy than many believe and a significant chunk of the growth in China's demand for commodities reflects a shift in manufacturing location. Having become a superpower in the global commodities markets, it is only a matter of time before China will force its suppliers to lower prices and increase its own production of various commodities as well as shift production from low-priced to higher-priced agricultural commodities. In time, China could well become a net exporter of a variety of commodities.
Finally, China's future growth could easily be short-circuited. Apart from inadequate infrastructure, a poorly functioning equity market, corruption and serious bad loan problems, China's economic expansion has a tremendous impact on the environment - water is in short supply, millions of people are migrating from rural areas to the big cities, inequality is growing. In addition, if inflation in China picks up, the central bank will have to raise interest rates and a hard landing may be unavoidable.
The supply side argument makes more sense, as it is true that production of many commodities is running low relative to demand. High commodity prices will stimulate the development of additional production capacity and the search for alternatives, as well as slowing down demand. However, these processes take time, because commodity producers will need to be convinced that prices will stabilise at a relatively high level before they embark on multi-billion dollar expansion projects. As a result, assuming demand doesn't suddenly stall, prices of at least a number of commodities will remain high.
Finally, contrary to the Yale paper's argument, more recent research (see Kat and Oomen (2006)) has shown that most commodities do not offer a consistent risk premium. It does confirm that commodities are uncorrelated with stocks and bonds, however.
This is an important point as it means that adding commodities to a more traditional portfolio will be highly effective in reducing volatility.
Of course, without a significant risk premium this will also reduce that portfolio's expected return. As long as the expected return on commodities isn't too low, however, volatility will come down a lot more than expected return, making it a worthwhile trade-off.
In fact, due to the zero correlation, commodities are a worthwhile diversifier under a variety of assumptions with respect to their expected return. The only time when it doesn't work is when the risk premium on commodities is highly negative. In that case the reduction in volatility is not worth the loss in expected return.
This takes us back to the prospects for commodities. Although there are serious shortcomings in the main arguments for a further commodity bull market, prices do not have to drop substantially.
Asset managers and banks are rolling out a wide range of commodity-linked investment products: funds, ETFs, trackers, and all kinds of structured products. Given investors' appetite for these products, it is not unlikely that increased investment/speculative demand will keep prices high, leaving the case for commodities intact.
Under this scenario commodities are primarily a bet on the madness of crowds rather than a fundamentally justifiable investment.
Harry Kat is a professor of risk management and director of the Alternative Investment Research Centre at Cass Business School.
中国需求将支撑商品价格？
过
去4年间，大宗商品价格已上涨一倍多，许多投资者由此怀疑：大宗商品是否还值得投资？
要回答这一问题，我们必须重新回顾一下投资大宗商品市场的主要理由。最流行的理由是中国因素。中国正成为一个经济大国。考虑到其庞大的规模，据称这将引发对世界上所有大宗商品近乎无法满足的需求；第二种流行说法与供应面有关。由于多年来投资不足，许多大宗商品生产商都境况不佳。它们无力满足近来需求的增长，据说这种情形还将持续多年；第三个理由出现在耶鲁大学(Yale) 2005年发布的一份研究报告中，该报告显示，从1959年到2004年，如果投资于34种不同大宗商品的组合，可获得与股票相当的平均回报，但其走势与股票和债券呈负相关性。这一组合使大宗商品成为所有传统的股票/债券投资组合的最佳多元化品种。
中国因素
这些说法有多大的真实性呢？中国经济表现良好的原因之一，在于过去几年全球经济表现良好。仅就今年来说，全球经济增长率就有望达到5.1%。另一个原因在于，中国人口中大多数较为贫穷，因此劳动力成本极其低廉。因此，生产从西方转移到了中国。
综上所述，这意味着中国对全球经济的依赖程度，远高于许多人心目中的水平；同时，中国对大宗商品需求的增长，很大程度上反映了制造地点的转移。已经成为全球大宗商品市场超级大国的中国，早晚会迫使供应商降低价格，并提高各种大宗商品的国内产量，同时将生产从低价农业商品转移到高价农业商品上来。假以时日，中国很可能成为很多大宗商品的净出口国。
最后，中国经济未来的增长很容易受挫。除了基础设施不足、证券市场运行欠佳、腐败及严重的不良贷款问题之外，中国的经济扩张对环境有着巨大的影响：水资源短缺、数百万人从农村迁徙到大城市、不平等状况不断加剧。此外，如果中国通胀抬头，央行将不得不调高利率，那样的话，经济硬着陆可能无法避免。
供应问题
有关供应面的说法更有道理一些，许多大宗商品的生产的确跟不上需求。大宗商品价格高企将刺激开发额外的产能，并推动寻找替代产品，同时也将使需求放缓。不过，这些都需要时间，因为在生产商启动耗资数十亿美元的产能扩张项目前，需要确定价格将稳定在相对较高的水平。其结果是，假设需求不会突然停顿，至少一部分大宗商品的价格就仍将维持在高位。
大宗商品对投资组合的价值
最后一点，与耶鲁研究报告的结论相反，更近期的研究「参见Kat and Oomen (2006) 」表明，多数大宗商品不能提供连贯的风险溢价。不过该研究的确证明，大宗商品的走势与股票和债券没有关联。
这一点很重要，因为它意味着，若将大宗商品加入较为传统的投资组合，将能非常有效地降低波动性。
当然，没有很高的风险溢价，这种做法也将降低投资组合的预期回报。但是，只要大宗商品的预期回报率不是太低，波动性降低的程度就会远远高于预期回报的降幅，这样做也就值得了。
实际上，由于大宗商品走势与股票和债券的零相关，因此在涉及预期回报的很多假设情况下，大宗商品都是一种有价值的多元化品种。只有当大宗商品风险溢价呈现很高负值时，这一做法才行不通。出现这种情况时，降低的波动性已抵不上预期回报方面的损失。
谈到这里，我们重新回到了大宗商品前景的问题。虽然支持大宗商品市场进一步走强的主要理由存在重大缺陷，但大宗商品价格并不一定会大幅下跌。
资产管理公司和银行正大举推出多种与大宗商品有关的投资产品：基金、交易所交易基金(ETF)、指数追踪基金(tracker)，以及各种结构化投资产品。考虑到投资者对于这些产品的兴趣，高涨的投资/投机需求使价格保持高位，也不是不可能的事情，从而使大宗商品市场维持目前的格局。
在上述情况下，从根本上讲，投资于大宗商品就成了押注于参与者疯狂程度的赌博，而非有基本面支撑的投资。
哈里?卡特(Harry Kat)是英国卡斯商学院(Cass Business School)风险管理教授、该校另类投资研究中心(Alternative Investment Research Centre)主任。
