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食衣住行的必需品:商品期貨


最初的期貨交易是從現貨遠期交易發展而來,現貨遠期交易是雙方口頭承諾在某一時間交收一定數量的商品,後來隨著交易範圍的擴大,口頭承諾逐漸被買賣契約代替。這種契約行為日益複雜化,需要有中間人擔保,以便監督買賣雙方按期交貨和付款,於是便出現了1570年倫敦開設的世界第一家商品遠期合同交易所-「皇家交易所」。也正式開始期貨交易的紀元。

1570年甚至股票市場都尚未開始,類似於我們現在期貨的買賣合約已經誕生,可想而知當初期貨的標的物是大宗商品,而不是所謂的指數。隨著時代的發展,雖然指數期貨在21世紀大行其道,但實際上一個國家工商業的發展及民生必需品都與原物料商品脫離不了關係,因此製造業,民生工業等大宗商品的買入者仍然有避險的需求,生產者希望鎖定利潤,在加上金融市場裡無所不在的投機炒作及長期投資,造就了數百年不衰的商品交易市場。

商品期貨交易的品種隨著交易發展而不斷增加。從傳統的穀物、畜產品等農產品期貨,發展到各種有色金屬、貴金屬和能源等大宗初級產品的期貨交易。我們大概可分為下列三者:

農產品類商品

又包含糧食期貨(黃豆、玉米、小麥等)、經濟作物(咖啡、可可等)、畜產品(肉牛)、林產品、橡膠等
以美國CBOT(芝加哥期貨交易所)為主要集中地。

金屬類商品

目前在國際期貨市場中,上市交易的有色金屬主要有10種,即銅、鋁、鉛、鋅、錫、鎳、鈀、鉑、金、銀。
其中金、銀、鉑、鈀等期貨因其價值高又稱為貴金屬期貨。
紐約、倫敦、東京等工業大城都是主要交易所。

能源類商品

能源類期貨誕生距今不過30餘年,卻已經是國際商品市場的重要組成成分,尤其以原油期貨最為重要。
其中最大宗的德州輕原油及布蘭特原油分別在紐約商業交易所及倫敦國際石油交易所交易。



原物料為百業之母,製造商加工需要原料,食衣住行也都依靠原物料商品,因此國家的經濟發展與景氣幾乎都與原物料價格有關,簡單說原物料價格代表景氣榮枯,從低通膨開始景氣擴張直到通膨過高,景氣進入收縮期為止,商品價格都成為一個領先預測景氣的重要指標。加上金融市場離不開國際熱錢的炒作,因此商品價格也一部分代表了熱錢進出場的現象。

原物料商品價格除了可以拿來作為景氣榮枯及觀察熱錢進出的指標之外,最直接的相關性還是投資原物料期貨時的重要參考。一般來說原物料期貨有別於指數期貨,結算時皆要用現貨來交割,除非你是大宗商品的進出口商,否則一般人投資原物料皆以期貨為主。

投資商品期貨除了低買高賣的期貨價格改變及風險溢酬外(現貨與期貨價差),投資商品期貨還有抗通膨的效果。由於原物料價格上漲造成產品與服務費用上升(也就是通膨),因此投資商品可以抗通膨是相當直觀的說法。但是CPI物價指數等經濟數據總是落後指標,因此即期的商品價格是領先CPI的。


<圖一>CRB領先CPI

還有一些學者認為商品指數對於股債市有低相關性,因此納入投資組合可以降低風險。


<圖二>四個指數分別代表股市、匯市、貨幣市場及消費者物價指數

其中GSCI(高盛原物料指數)在第一組圖於其他四個指數的相關性只有低到不及0.2,與CPI這個代表通膨的指標比較,相關性也不高。


<圖三>S&P500 vs R/J CRB(EOD)

但由圖三可見,雖然股市(S&P500)與商品指數(路透商品指數)的漲跌幅度不盡相同,但根本上方向是相同的。因為終究股市與原物料市場都離不開基本面。但在轉折的時間點上,多數時間是商品指數略為領先

為什麼圖二中呈現的相關性如此之低,但圖一及圖三中的關聯性又如此之高呢?
原因來自於投資商品的報酬來源,大多數來自風險溢酬,少部分來自價格的改變。
風險承受者因為有風險溢酬才願意承接生產者拿來避險的期貨部位,例如生產石油者顯要鎖定未來1個月價格下跌的風險,而風險承受者只願意接受比未來現貨價格稍低的期貨合約,而稍低的部分就是所謂風險溢酬,也就是期現貨價差。

下一篇文章會介紹數個不同的商品指數及其代表的意義。

商品價格對於另外3個市場群(股、匯、債)有密不可分的關係,尤其對於景氣枯榮及熱錢流向仍有其重要性,因此商品市場價格指數仍然是分析市場互動一個不能忽視的指標。

金多多團隊是由金湯尼廣邀各界好手組成,有團隊專屬操盤空間,並且有媲美法人等級的軟硬體設備與研究資料庫,朝向多市場、多商品、多策略的目標邁進。期許日後能帶給幣圖誌的讀者們更寬廣的視野與思維。

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