2024年度商品宏观策略：宏观主导降波，把握短期节奏

策略报告 2024年度商品宏观策略 2023年12月18日 宏观：在2024年对商品需求侧的影响会有所减弱，如若没有供给端的强烈扰动，市场将维持低波动，且缺乏全面向上的驱动。 相关报告 1.20221215招期宏观策略年报：沉舟侧畔，静待良辰-赵嘉瑜 2.20230529招期策略专题报告：从宏观的边际驱动看市场的企稳-赵嘉瑜 1）主要国家货币当局在收缩资产负债表，这对于商品价格来说偏负面。缩表的效果恐怕是被市场低估的。 3.20230921招期策略专题报告：商品长牛可期，短期风险增加-赵嘉瑜 2）增长分为中国、欧美、其他新兴等三极，这三极均面临着一些短期的压力。中国看地产竣工，美国看消费下滑，其他新兴受制于高利率环境对投资有抑制。 3）汇率角度看，除非出现原油等的供应扰动，否则美弱欧强格局形成，美元相对走弱，这会让商品的内外比价有所收窄，且可以一定程度抑制下游持续让利上游的情况。 4）宏观对商品需求侧的影响较前三年有所减弱。而供给端的扰动是更加需要去关注的，这并不属于传统宏观研究的范式，且诸多风险以黑天鹅（诸如红海事件等）或是灰犀牛形式（中国对过剩产能的调控等）出现。 赵嘉瑜86-755-82548083zhaojiayu@cmschina.com.cnF3065666Z0016776 策略：如若没有供给端扰动，上半年将相对承压，文华商品指数可能会触碰2023年5月的位置，而下半年在降息带动下更易走强。关注短节奏的机会。 1）原油或航线等的供应端扰动如果持续时间长且强度大，那么会造成通胀预期的进一步推升，迫使美债利率和美元走强，商品资产继续优于股、债。需要关注其影响的时间和强度。其他不少商品也处于低库存且有供给端扰动的风险，但对整体商品的影响相对有限。 2）市场对美联储降息推测在上半年以及全年降息3到4次，降息时间和空间依旧存在后推和下修的可能。在美联储降息确认前后，大概率有内上外下的结构出现，黑色建材、有色会强于油品。而降息后的宏观环境对商品偏利多。 3）国内政策释放与库存周期的配合可能是明年工业品最大的机会，全行业经过一年多的主动去库，库存水平已经来到相对低位。中美共同进入补库大概会在明年年中看到，但其力度取决于经济预期。这可能会带来各条产业链的集中补库。尤其需要关注金三银四以及金九银十等旺季前可能的补库节奏。 4）从板块角度看，贵金属仍是最具多头配置价值的，无论是从利率的下行预期还是全球风险抵御的层面，而白银向上弹性高于黄金；工业品由于供给及库存周期等因素表现较农产品会稍强；而工业品内部各板块偏震荡运行，除非供应扰动，或是政策大超预期，恐难有年度级别行情。 风险提示：供应链扰动，流动性风险事件。 正文目录 一、2023年市场回顾.........................................................................................................................................4（一）2023年商品市场表现.......................................................................................................................4（二）宏观驱动梳理...................................................................................................................................6（三）2022年年报观点回顾与剖析............................................................................................................8二、全球层面研判：波动率降低，需求侧利好有限...........................................................................................9（一）缩表恐怕被强烈低估，其主导资产的降波........................................................................................9（二）商品需求三极形成，但缺乏举债主体.............................................................................................11（三）美元预计震荡偏弱，比价方面有一定机会......................................................................................13三、中国层面研判：存在时间节奏上的机会....................................................................................................15（一）市场对财政政策的预期调整...........................................................................................................15（二）地产的双面性.................................................................................................................................15（三）库存周期如何演绎？......................................................................................................................16四、总结...........................................................................................................................................................18（一）逻辑的确定性与不确定性...............................................................................................................18（二）策略路径.........................................................................................................................................19研究员简介..............................................................................................................................................................21 图表目录 图1：文华商品指数（2022年-至今）·································································································4图2：12个子板块价格指数变化幅度（2023年1月为基期-至今，单位：%）············································5图3：各商品价格指数表现（截止到12.18）························································································5图4：商品各板块22日波动率（单位：%）·························································································6图5：子板块价格指数变化幅度（2022年6月为基期-至今，单位：%） ····················································7图6：商品与货币的关系（单位：%，%）···························································································9图7：资产负债表与货币供应量的关系（单位：%，%）·········································································9图8：全球主要央行资产（单位：亿美元）························································································10图9：主要央行资产同比变化（单位：%）························································································10图10：工业增加值（单位：百万美元）····························································································11图11：商品需求三极·····················································································································11图12：全球通胀预测·····················································································································12图13：全球宏观债务率（%）·········································································································12图14：剔除汇率因素后的内外价格比值与汇率···················································································13图15：上下游价格比值（2023/1/1为基期）与汇率·············································································13图16：美元指数与人民币汇率················································································