资源类大宗商品战略配置研究
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摘要
无独有偶,2002年在大宗商品金融化悄然兴起的时候,中国出口导向的经济已经在世界经济体系中占据举足轻重的地位,贸易顺差和外国直接投资所形成的高额外汇储备引发了人民币升值的国际呼声。资源类大宗商品纳入机构投资者长期配置的资产池具有深刻的时代背景：一方面是以美国为代表的发达经济从传统制造业向知识导向的新经济形态的转型导致国际证券市场在60多年持续上升后进入调整阶段；另一方面是以中国为代表的新兴经济体进入工业化高潮,推动大宗商品需求的持续高涨。追求长期回报的机构投资者将其投资重点从单一证券市场,调整为证券市场与大宗商品市场并举。为此,我们提出商品资产与金融资产混合配置的投资思路和长期投资与动态配置的投资原则与实施策略。
本文研究分为六个紧密相连的模块：
1.中国经济新增长模式下的国际资源需求。国际需求放缓和国内经济转型催生了我国资源需求的新格局。首先,以产业升级、城镇化、节能减排、内需拉动为准则建立新增长模式的综合评价指标体系。其次,基于2000-2011年的历史数据分析煤炭、石油、天然气、新能源、铜、铁、铝、铅、锌、镍等十种资源需求的变化趋势、影响因素以及综合使用效率。最后,在惯性增长、严格政策、宽松政策等三种情景下利用计量模型对我国2012-2020年的资源需求量进行预测,并通过比较得出资源需求的最低保障线和最高上限。
2.后金融危机时代国际需求的新格局。国际市场供需关系变化通过价格渠道影响我国的资源需求。首先,从实体经济和流动性两个层面探讨美国、欧元区、日本以及新兴经济体的经济形势。在此基础上,选取GDP和M2作为反映宏观经济的指标,通过相关性分析与回归分析检验各国实体经济和流动性对各类资源价格的影响,并进而判定资源价格对我国资源需求的影响。研究发现：从中长期看,各国实体经济的复苏是拉动大宗商品价格的主要因素,增加货币流动性不一定推高大宗商品价格；由于经济增长的内在约束,即使大宗商品价格上升,中国对各类资源的需求量仍将扩大。
3.大宗商品资产长期配置的动态调整策略。通过建立一个具有一般意义的随机规划模型,实现了金融类资产和大宗商品资产在国际市场上长期动态配置,体现了战略配置中的长期性、动态调整性和全局性特征。
4.商品金融化的影响。首先回顾了金融化背景和主要特征,并对其发生的内外因简要分析。结果发现,不同商品期货收益率之间的相关性明显增强,商品期货与金融类资产收益率之间的相关性上升,被计入大宗商品价格指数的期货品种之间的相关性明显高于未被计入商品价格指数的期货品种之间的相关性,以及商品指数基金的交易活动剧烈。
5.代表性企业基于供应链的商品套保需求。立足于企业视角讨论大宗商品资产配置的作用以及具体的实施策略,选择江西铜业、上海宝钢和中石油三家资源型重点企业为代表研究新增长模式下的供应链策略、国际化策略以及相应的套期保值手段与实施策略,并讨论主权财富基金在企业实施大宗商品资产配置过程中的参与模式。
6.大宗商品投资的风险管理与应急机制的基本思路。考虑到商品资产投资的特点,我们关注了市场风险、基差风险和系统性风险。重点是系统性风险。
从研究资源类大宗商品战略配置的投资理念与实施策略的目标出发,我们将理论分析和实证分析相结合,从以下几个方面进行创新型探索：
第一,在国际需求放缓和国内经济转型的背景下我国资源需求形成新格局。从历史数据的演变趋势看：我国2000-2011年间对各类资源的需求普遍呈持续上升趋势,增长的速度呈现出围绕均值波动的态势,资源的综合使用效率在提升；从相关性分析的结果看：工业制成品和高技术产品出口比重的上升、城镇化的推进、GDP的增长与资源需求显著正相关,节能减排和国内居民消费支出比重的上升与资源需求显著负相关,第三产业增加值和出口占GDP比重的上升与资源需求没有显著相关性；从资源需求的预测结果看：我国在2012-2020年间对各类资源的需求仍将保持持续增长的状态,但在实施政策干预的情况下资源需求的增长势头明显放缓,并且强干预(严格政策情景)的效果要大于弱干预(宽松政策情景)；惯性情景下的资源需求量可作为最高上限,严格政策情景下的资源需求是最低保障线,宽松政策情景下的资源需求则是中间线。
第二,大宗商品资产的战略投资应当在长期目标下实施机动的动态调整,基于多阶段随机规划模型的国际商品资产的动态配置方法能够实现风险与收益的有效匹配。该模型确定的最优策略不仅能够为投资组合提供更强的抵御风险能力,而且能够稳步提升其收益空间,为金融机构实现长期目标下国际商品资产投资的主动管理提供决策支持。
第三,大宗商品资产的战略配置必须监测金融系统性风险,及时进行风险调整。系统性风险增加会使得大宗商品指数的收益率下降和收益率波动率增加。反之,当大宗商品指数收益率的波动率增加时,也会增加系统性风险。特别值得注意的是,当受到系统性风险的冲击时,能源类商品、原材料类商品的指数收益率和其波动率的呈现有趋同现象。
第四,具有不同供应链特征的重点制造业企业在原材料的套保需求上具有不同特征。应当将大宗商品市场风险和汇率风险结合起来进行综合风险管理,并在大宗商品投资中通过主权财富基金与国内骨干企业的合作,实现国家资源安全与保障。
中国金融机构进行资源类大宗商品资产的国际化投资仅仅是开始,它将伴随中国经济发展转型和产业升级的全过程,必将对于国际资本市场产生持久和深远的影响。
Coincidentally, when the financialization of bulk commodity was quietly rising in2002, the export-oriented economy of China had already occupied a decisive position in the world economic system, and the high foreign exchange reserves formed by favorable balance of trade and foreign direct investment gave rise to the international calls for the appreciation of the RMB. The incorporation of bulk commodity into the asset pool of the long-term allocation of institutional investors has profound historical backgrounds:on the one hand, the transition of developed economies represented by America from traditional manufacturing industry to knowledge-oriented new economic patterns results in that international securities market enter into adjustment stage after a continuous increase of over6decades; on the other hand, the emerging economies represented by China enter into the climax of industrialization, promoting the continuous rising of the demands for bulk commodity. The institutional investors, who pursue long-term returns, adjust their investment priority from the single securities market to both securities market and bulk commodity market. Therefore, we proposed the investment thought of hybrid allocation of commodity asset and financial asset and the investment principle and implementation strategy of long-term investment and dynamic allocation.
The research in the paper is divided into six closely connected modules:
Ⅰ. The international resource demand under the new growth model of Chinese economy. The slowdown of international demand and transition of domestic economy hasten the generation of the new pattern of resource demand of our country. Firstly, by taking industrial upgrading, urbanization, energy conservation and emission reduction and domestic demand promotion as the criterion, we established a comprehensive evaluation index system of new growth model. Secondly, based on the historical data from2000to2011, we analyzed the variation trend of demands for ten kinds of resources including coal, petroleum, natural gas, new energy, copper, iron, aluminum, lead, zinc and nickel, influencing factors and comprehensive usage rate. In the end, under the three situations including inertial increase, strict policy and slack policy, we predicted the quantity of resource demand of our country in2012to2020by using measurement model, and obtained the minimum subsistence level and upper limit by comparison.
Ⅱ. The new pattern of international demand in Post Financial Crisis Era. The change of supply-demand relationship of international market affects the resource demand of our country through the channel of price. Firstly, we discussed the economic situations of America, Eurozone, Japan and emerging economies from two levels of entity economy and liquidity. Based on this, we tested the influence of the entity economy and liquidity of each country on the price of various resources through correlation analysis and regression analysis by selecting GDP and M2as the indexes reflecting macro-economy, and thus judged the influence of resource price on our country's resource demand. The research found out:in a long term, the recovery of the entity economy of all countries is the major factor that drives the price of bulk commodity, and increasing currency liquidity doesn't necessarily increase the price of bulk commodity; due to the internal restraint of economic growth, even if the price of bulk commodity is rising, the quantity of demand for various resources of China will still expand.
Ⅲ. The dynamic adjustment strategy of the long-term allocation of bulk commodity assets. By establishing a stochastic programming model, we achieved the long-term dynamic allocation of financial assets and bulk commodity assets in international market, which reflected the chronicity, dynamic adjustability and globality in strategic allocation.
IV. The influence of commodity financialization. Firstly, we reviewed the background and main features of financialization and briefly analyzed the internal and external factors of its occurrence. The results show that there is a significant correlation between the earnings rate of different commodity futures, and the correlation between the rate of returns on commodity futures and financial assets is increasing, while the correlation among the future varieties included into the price index of bulk commodity is apparently higher than that of future varieties not included, and the trading activity of commodity index funds is intense.
V. The demands for commodity hedging of representative enterprises based on supply chain. Based on the perspectives of enterprises, we discussed the function of the asset allocation of bulk commodity and specific implementation strategy, studied supply chain strategy, international strategy and relevant hedging means and implementation strategy by choosing three key resource-based enterprises including Jiangxi Copper Corporation, Baosteel Group and China National Petroleum Corporation as the representatives, and discussed the participation model of sovereign wealth fund in the implementation of bulk commodity asset allocation.
VI. The basic thought of risk management and emergency mechanism of bulk commodity investment. Considering the characteristics of commodity asset investment, we paid attention to market risks, basis risks and systematic risks, with the emphasis on the last one.
Starting from the target of studying the investment concept and implementation strategy of the strategic allocation of bulk commodity, we concluded the following new understandings by combing theoretical analysis with empirical analysis:
Firstly, under the background of international demand slowdown and domestic economic transition, the resource demand of our country forms a new pattern. Viewing from the evolution trend of historical data:the demands for various kinds of resources of our country in2000to2011generally present a trend of constant rising, the rates of rising present a momentum of fluctuating centering around mean value, and the comprehensive usage rate of resources is increasing; seeing from the results of correlation analysis:the increase of the export proportion of manufactured goods and high-tech products, the promotion of urbanization and the increase of GDP present a significant positive correlation with resource demand, the rising of the proportion of energy conservation and emission reduction and domestic household consumption presents a significant negative correlation with resource demand, and there is no significant correlation between the increase of the proportion of added value of tertiary industry and export and resource demand. Viewing from the prediction results of resource demand:the demands for various kinds of resources of our country in2012to2020will still maintain a state of continuous increase, but the growth momentum of resource demand will obviously slow down under the situation of implementing policy intervention, and the effect of strong intervention (the situation of strict policy) is greater than weak intervention (the situation of slack policy); the quantity of resource demand under inertial situation can be taken as the upper limit, while the resource demand under the situation of strict policy is the minimum subsistence level, and that under the situation of slack policy is the middle line.
Secondly, the resource demand of China maintains a leading role in and exerts an important influence on the supply-demand relationship of international market. Seeing from the evolution trend of data, the economy of America is recovering and is very likely to maintain a constant growth at a low speed in the future; the economy of Eurozone also has the sign of recovery, but they still need a long time to completely recover and there exists a quite large national difference internally; Japanese economy will still be in downturn; the emerging economies will continue keeping on increasing rapidly, but they have higher fluctuation risks. In a midterm or long term, the increase of currency liquidity doesn't necessarily push up the price of bulk commodity, while the growth of each country's GDP is its major factor. Even though the price of bulk commodity will rise in the future, due to the internal restraint of economic growth, the quantity of China's demand for bulk commodity will still increase.
Thirdly, the strategic investment of bulk commodity assets should implement flexible dynamic adjustment under long-term goals, and the approach of dynamic allocation of international commodity assets based on multi-stage stochastic programming models can achieve an effective matching of risks and returns. The optimal strategy determined by this model can not only provide stronger ability to resist risks to investment portfolio, but also promote its space of earnings steadily and provide decision support to financial institutions for achieving the active management of international commodity asset investment under long-term goals.
Fourthly, the strategic allocation of bulk commodity assets must supervise the financial systematic risks and adjust risks in time. The increase of systematic risks will decrease the earnings rate of commodity index and increase the fluctuation ratio of earnings rate.
The international investment of bulk commodity done by Chinese financial institutions, which is just starting, will follow the whole process of the development and transition of Chinese economy and industrial upgrading, and will surely exert a lasting and profound influence on international capital market.
本文研究分为六个紧密相连的模块：
1.中国经济新增长模式下的国际资源需求。国际需求放缓和国内经济转型催生了我国资源需求的新格局。首先,以产业升级、城镇化、节能减排、内需拉动为准则建立新增长模式的综合评价指标体系。其次,基于2000-2011年的历史数据分析煤炭、石油、天然气、新能源、铜、铁、铝、铅、锌、镍等十种资源需求的变化趋势、影响因素以及综合使用效率。最后,在惯性增长、严格政策、宽松政策等三种情景下利用计量模型对我国2012-2020年的资源需求量进行预测,并通过比较得出资源需求的最低保障线和最高上限。
2.后金融危机时代国际需求的新格局。国际市场供需关系变化通过价格渠道影响我国的资源需求。首先,从实体经济和流动性两个层面探讨美国、欧元区、日本以及新兴经济体的经济形势。在此基础上,选取GDP和M2作为反映宏观经济的指标,通过相关性分析与回归分析检验各国实体经济和流动性对各类资源价格的影响,并进而判定资源价格对我国资源需求的影响。研究发现：从中长期看,各国实体经济的复苏是拉动大宗商品价格的主要因素,增加货币流动性不一定推高大宗商品价格；由于经济增长的内在约束,即使大宗商品价格上升,中国对各类资源的需求量仍将扩大。
3.大宗商品资产长期配置的动态调整策略。通过建立一个具有一般意义的随机规划模型,实现了金融类资产和大宗商品资产在国际市场上长期动态配置,体现了战略配置中的长期性、动态调整性和全局性特征。
4.商品金融化的影响。首先回顾了金融化背景和主要特征,并对其发生的内外因简要分析。结果发现,不同商品期货收益率之间的相关性明显增强,商品期货与金融类资产收益率之间的相关性上升,被计入大宗商品价格指数的期货品种之间的相关性明显高于未被计入商品价格指数的期货品种之间的相关性,以及商品指数基金的交易活动剧烈。
5.代表性企业基于供应链的商品套保需求。立足于企业视角讨论大宗商品资产配置的作用以及具体的实施策略,选择江西铜业、上海宝钢和中石油三家资源型重点企业为代表研究新增长模式下的供应链策略、国际化策略以及相应的套期保值手段与实施策略,并讨论主权财富基金在企业实施大宗商品资产配置过程中的参与模式。
6.大宗商品投资的风险管理与应急机制的基本思路。考虑到商品资产投资的特点,我们关注了市场风险、基差风险和系统性风险。重点是系统性风险。
从研究资源类大宗商品战略配置的投资理念与实施策略的目标出发,我们将理论分析和实证分析相结合,从以下几个方面进行创新型探索：
第一,在国际需求放缓和国内经济转型的背景下我国资源需求形成新格局。从历史数据的演变趋势看：我国2000-2011年间对各类资源的需求普遍呈持续上升趋势,增长的速度呈现出围绕均值波动的态势,资源的综合使用效率在提升；从相关性分析的结果看：工业制成品和高技术产品出口比重的上升、城镇化的推进、GDP的增长与资源需求显著正相关,节能减排和国内居民消费支出比重的上升与资源需求显著负相关,第三产业增加值和出口占GDP比重的上升与资源需求没有显著相关性；从资源需求的预测结果看：我国在2012-2020年间对各类资源的需求仍将保持持续增长的状态,但在实施政策干预的情况下资源需求的增长势头明显放缓,并且强干预(严格政策情景)的效果要大于弱干预(宽松政策情景)；惯性情景下的资源需求量可作为最高上限,严格政策情景下的资源需求是最低保障线,宽松政策情景下的资源需求则是中间线。
第二,大宗商品资产的战略投资应当在长期目标下实施机动的动态调整,基于多阶段随机规划模型的国际商品资产的动态配置方法能够实现风险与收益的有效匹配。该模型确定的最优策略不仅能够为投资组合提供更强的抵御风险能力,而且能够稳步提升其收益空间,为金融机构实现长期目标下国际商品资产投资的主动管理提供决策支持。
第三,大宗商品资产的战略配置必须监测金融系统性风险,及时进行风险调整。系统性风险增加会使得大宗商品指数的收益率下降和收益率波动率增加。反之,当大宗商品指数收益率的波动率增加时,也会增加系统性风险。特别值得注意的是,当受到系统性风险的冲击时,能源类商品、原材料类商品的指数收益率和其波动率的呈现有趋同现象。
第四,具有不同供应链特征的重点制造业企业在原材料的套保需求上具有不同特征。应当将大宗商品市场风险和汇率风险结合起来进行综合风险管理,并在大宗商品投资中通过主权财富基金与国内骨干企业的合作,实现国家资源安全与保障。
中国金融机构进行资源类大宗商品资产的国际化投资仅仅是开始,它将伴随中国经济发展转型和产业升级的全过程,必将对于国际资本市场产生持久和深远的影响。
Coincidentally, when the financialization of bulk commodity was quietly rising in2002, the export-oriented economy of China had already occupied a decisive position in the world economic system, and the high foreign exchange reserves formed by favorable balance of trade and foreign direct investment gave rise to the international calls for the appreciation of the RMB. The incorporation of bulk commodity into the asset pool of the long-term allocation of institutional investors has profound historical backgrounds:on the one hand, the transition of developed economies represented by America from traditional manufacturing industry to knowledge-oriented new economic patterns results in that international securities market enter into adjustment stage after a continuous increase of over6decades; on the other hand, the emerging economies represented by China enter into the climax of industrialization, promoting the continuous rising of the demands for bulk commodity. The institutional investors, who pursue long-term returns, adjust their investment priority from the single securities market to both securities market and bulk commodity market. Therefore, we proposed the investment thought of hybrid allocation of commodity asset and financial asset and the investment principle and implementation strategy of long-term investment and dynamic allocation.
The research in the paper is divided into six closely connected modules:
Ⅰ. The international resource demand under the new growth model of Chinese economy. The slowdown of international demand and transition of domestic economy hasten the generation of the new pattern of resource demand of our country. Firstly, by taking industrial upgrading, urbanization, energy conservation and emission reduction and domestic demand promotion as the criterion, we established a comprehensive evaluation index system of new growth model. Secondly, based on the historical data from2000to2011, we analyzed the variation trend of demands for ten kinds of resources including coal, petroleum, natural gas, new energy, copper, iron, aluminum, lead, zinc and nickel, influencing factors and comprehensive usage rate. In the end, under the three situations including inertial increase, strict policy and slack policy, we predicted the quantity of resource demand of our country in2012to2020by using measurement model, and obtained the minimum subsistence level and upper limit by comparison.
Ⅱ. The new pattern of international demand in Post Financial Crisis Era. The change of supply-demand relationship of international market affects the resource demand of our country through the channel of price. Firstly, we discussed the economic situations of America, Eurozone, Japan and emerging economies from two levels of entity economy and liquidity. Based on this, we tested the influence of the entity economy and liquidity of each country on the price of various resources through correlation analysis and regression analysis by selecting GDP and M2as the indexes reflecting macro-economy, and thus judged the influence of resource price on our country's resource demand. The research found out:in a long term, the recovery of the entity economy of all countries is the major factor that drives the price of bulk commodity, and increasing currency liquidity doesn't necessarily increase the price of bulk commodity; due to the internal restraint of economic growth, even if the price of bulk commodity is rising, the quantity of demand for various resources of China will still expand.
Ⅲ. The dynamic adjustment strategy of the long-term allocation of bulk commodity assets. By establishing a stochastic programming model, we achieved the long-term dynamic allocation of financial assets and bulk commodity assets in international market, which reflected the chronicity, dynamic adjustability and globality in strategic allocation.
IV. The influence of commodity financialization. Firstly, we reviewed the background and main features of financialization and briefly analyzed the internal and external factors of its occurrence. The results show that there is a significant correlation between the earnings rate of different commodity futures, and the correlation between the rate of returns on commodity futures and financial assets is increasing, while the correlation among the future varieties included into the price index of bulk commodity is apparently higher than that of future varieties not included, and the trading activity of commodity index funds is intense.
V. The demands for commodity hedging of representative enterprises based on supply chain. Based on the perspectives of enterprises, we discussed the function of the asset allocation of bulk commodity and specific implementation strategy, studied supply chain strategy, international strategy and relevant hedging means and implementation strategy by choosing three key resource-based enterprises including Jiangxi Copper Corporation, Baosteel Group and China National Petroleum Corporation as the representatives, and discussed the participation model of sovereign wealth fund in the implementation of bulk commodity asset allocation.
VI. The basic thought of risk management and emergency mechanism of bulk commodity investment. Considering the characteristics of commodity asset investment, we paid attention to market risks, basis risks and systematic risks, with the emphasis on the last one.
Starting from the target of studying the investment concept and implementation strategy of the strategic allocation of bulk commodity, we concluded the following new understandings by combing theoretical analysis with empirical analysis:
Firstly, under the background of international demand slowdown and domestic economic transition, the resource demand of our country forms a new pattern. Viewing from the evolution trend of historical data:the demands for various kinds of resources of our country in2000to2011generally present a trend of constant rising, the rates of rising present a momentum of fluctuating centering around mean value, and the comprehensive usage rate of resources is increasing; seeing from the results of correlation analysis:the increase of the export proportion of manufactured goods and high-tech products, the promotion of urbanization and the increase of GDP present a significant positive correlation with resource demand, the rising of the proportion of energy conservation and emission reduction and domestic household consumption presents a significant negative correlation with resource demand, and there is no significant correlation between the increase of the proportion of added value of tertiary industry and export and resource demand. Viewing from the prediction results of resource demand:the demands for various kinds of resources of our country in2012to2020will still maintain a state of continuous increase, but the growth momentum of resource demand will obviously slow down under the situation of implementing policy intervention, and the effect of strong intervention (the situation of strict policy) is greater than weak intervention (the situation of slack policy); the quantity of resource demand under inertial situation can be taken as the upper limit, while the resource demand under the situation of strict policy is the minimum subsistence level, and that under the situation of slack policy is the middle line.
Secondly, the resource demand of China maintains a leading role in and exerts an important influence on the supply-demand relationship of international market. Seeing from the evolution trend of data, the economy of America is recovering and is very likely to maintain a constant growth at a low speed in the future; the economy of Eurozone also has the sign of recovery, but they still need a long time to completely recover and there exists a quite large national difference internally; Japanese economy will still be in downturn; the emerging economies will continue keeping on increasing rapidly, but they have higher fluctuation risks. In a midterm or long term, the increase of currency liquidity doesn't necessarily push up the price of bulk commodity, while the growth of each country's GDP is its major factor. Even though the price of bulk commodity will rise in the future, due to the internal restraint of economic growth, the quantity of China's demand for bulk commodity will still increase.
Thirdly, the strategic investment of bulk commodity assets should implement flexible dynamic adjustment under long-term goals, and the approach of dynamic allocation of international commodity assets based on multi-stage stochastic programming models can achieve an effective matching of risks and returns. The optimal strategy determined by this model can not only provide stronger ability to resist risks to investment portfolio, but also promote its space of earnings steadily and provide decision support to financial institutions for achieving the active management of international commodity asset investment under long-term goals.
Fourthly, the strategic allocation of bulk commodity assets must supervise the financial systematic risks and adjust risks in time. The increase of systematic risks will decrease the earnings rate of commodity index and increase the fluctuation ratio of earnings rate.
The international investment of bulk commodity done by Chinese financial institutions, which is just starting, will follow the whole process of the development and transition of Chinese economy and industrial upgrading, and will surely exert a lasting and profound influence on international capital market.
引文
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