大宗商品周报：大宗商品价格的涨势强劲，但波动性也将增加

Strategy 6 May 2021 R E SE A R CH Commodity Chart Set：Commodity prices could rise a lot further 大宗商品周报：大宗商品价格的涨势强劲，但波动性也将增加 近期，在一系列市场因素的影响下，大宗商品价格走高。这些因素包括中国金属需求持续表现强劲、美元疲软、美国一个关键燃油管道遭网络攻击、投资者需求增加以及一系列大宗商品相关新闻。这次网络攻击暴露了美国能源基础设施的脆弱性，也暴露了全球大宗商品基础设施的脆弱性。黑客只需要做多大宗商品就能轻松获得报酬。同样重要的是，在资源丰富的新兴市场开始重新讨论资源税。智利众议院上周四批准了对铜和锂销售征收新的累进税。税率随大宗商品（铜和锂）的价格上涨而上涨，最高可达75%。由于疫情，大多数新兴市场在财政上均表现疲软，资源税被视为可能解决财政疲软的方案。然而，资源税将推迟矿业投资，减少资源长期的供应。我们的大宗商品投资组合目前有50%的净多头敞口，并在上周五增加了20%的黄金配置。 Inflation expectations and commodity prices have become tightly linked Source: Bloomberg, CCBIS  Central bankers have always argued that inflation expectations are a key driver of actual inflation. The US Fed pays for the University of Michigan survey of consumer sentiment because it values its read on inflation expectations. One fascinating aspect of the survey is that inflation expectations have become increasingly linked to inflation expectations over time even though official measures of inflation have become less correlated with commodity prices. If commodity prices keep rising so will bond yields Source: Bloomberg, CCBIS 0501001502002501.002.003.004.005.006.001985198919931997200120052009201320172021US inflation expectations versus commodity prices U of Michigan Expected Inflation (12-m ahead, median)Bloomberg Commodity Index - RHS%Index-0.30.30.81.31.82.32.83.3556065707580859095100Jan-16Jan-17Jan-18Jan-19Jan-20Jan-21US 5-year breakeven inflation vs commodity pricesBloomberg Commodity IndexUS 5 Year Breakeven Inflation - rhs  The same phenomenon is evident in financial markets where measures of inflation expectations derived from bond yields have also become tightly linked to commodity prices  Thus, while public officials remain sanguine on inflation, the bond market has taken its lead from commodity prices. Just as commodity prices have broken the highs from the final years of the last expansion, so have market-derived measures of expected inflation  If commodity prices keep rising, so will bond yields Commodity prices are still lagging far behind previous cycles Source: Bloomberg, CCBIS  Given the strength of commodity prices over the last year or so one could be forgiven for thinking that commodity prices have risen too far too fast  In fact, nothing could be further from the truth. In the seven recessions prior to 2021, commodity prices rose 40% in the year preceding the onset of recession and were still 50% higher than their starting value some 14 months after the start of the recession. By comparison, commodity prices today are just 22% higher than they were a year prior to the onset of recession.  In other words, commodity prices started from such a low base at the onset of recession that the rise in commodity prices cannot be considered exceptional Leading growth indicators are very strong and will remain so through 2021F Source: Bloomberg, CCBIS -10%0%10%20%30%40%50%60%-12-11-10-9-8-7-6-5-4-3-2-10+1+2+3+4+5+6+7+8+9+10+11+12+13Number of months before and after start of recessionCumulative change in Bloomberg Commodity Index 12 months into and after recessionAverage of recessions in 1960, 1969, 1972, 1979, 1990, 2001, and 20082020 recessionCumulativeprice change-8%-6%-4%-2%0%2%4%6%8%-100%-80%-60%-40%-20%0%20%40%60%80%100%200620072008200920102011201220132014201520162017201820192020Global Leading Indicators are strong and still risingG20 Growth MomentumG7 leading Index - YoY% (RHS)  Although commodity prices usually prove resilient in the first year or so after the onset of recession they normally start to weaken beyond a year. On that basis it is not surprising that most central bankers are downplaying the risk of inflation. They probably expect commodity prices will soon weaken  However, economic growth is simply too strong for commodity prices to weaken. This chart shows two measures of economic growth that feed into our commodity trading models: the OECD’s G7 Leading Index and our own measure of economic momentum among the G20 economies.  Base effects combined with monetary and fiscal stimulus suggest that the G7 leading index will keep rising throughout 2021F. Our measure of G20 growth momentum should likewise remain above 80% for most of this year Commodities even rallied in a super-cycle bear under the same conditions Source: Bloomberg, CCBIS  The blue line in this chart shows the Bloomberg Commodity index in the super-cycle bear market from 2008 until 2020. In terms of the 10-year rolling return, this was the worst super-cycle bear market on record since 1820, even worse than the Great Depression in the 1930s.  The red line in the chart shows the performance of the commodity index when the growth conditions we have just discussed prevailed during the bear market. The commodity index realized a 17.2% annualized gain when the G7 Leading Index was rising and our measure of G20 growth momentum was above 80%  If commodities can rally under strong growth conditions during the worst secular bear market for co