贵金属投资技术分析英文版-57.pptVIP

Commodities * * Energy Industrial Metals Precious Metals Agricultural Products Livestock Crude oil Aluminum * Gold Wheat Live cattle Brent crude oil Lead Silver Red Wheat Feeder cattle RBOB gas Copper Soybeans Lean hogs Heating oil Zinc* Cotton Gas oil Nickel* Sugar Natural gas Coffee * Traded on the London Metal Exchange (LME), others are based on U.S. trading (CME) Components of the SP/Goldman Sachs Commodity Index: Commodities * * Direct investments Cash purchase of physical commodities Requires possession, storage, financing, insurance and transportation of commodities Indirect investments Exposure to markets via derivatives (e.g., long positions in futures contracts) Equity in commodity producers TSX Global Gold index May not effectively provide full exposure to commodity price movements, because traditionally, companies hedge their exposure (changing in the late 2000’s to become unhedged) TSX Weights by Market CapAs of September 10, 2012 * * Energy 26.31% Materials 19.20% Industrials 5.93% Cons Disc 4.44% Cons Staples 3.05% Health Care 1.95% Financials 30.77% Info Tech 1.20% Telecom Svc 5.26% Utilities 1.91% Source: SP Indices Commodity Benchmarks * * Indices based on futures prices Examples: SP GSCI, DJ-UBSCI Replicate returns to holding long positions in listed futures contracts (nearby contracts: shortest time to maturity, to reflect spot prices) Can vary widely in composition, weighting scheme and purpose Market weighting difficult GSCI uses world production levels (in dollars) as weights Hence, energy has the biggest weight (67%) Components of Commodity Return * * Spot/price return Changes in nearby futures prices Commodities often have positive exposure to event risk (e.g., supply shocks – a prime determinant of price) Collateral return/yield Futures are bought on margin. Yield earned if margin (typically 10%) is invested in Treasuries during the life of the futures contract Roll return/yield Change in futures prices not attributable to the change i