Читать книгу The Foreign Exchange Matrix - Barbara Rockefeller - Страница 43

FX traders watch commodity prices as an inflation barometer as well as for insight into which commodity currencies to buy or sell. Select commodities, especially the precious metals, are viewed as a gauge of risk. For instance, spot gold prices and futures prices are closely eyed, along with gold exchange traded funds (ETFs). Rising gold prices may mean that the market is concerned about inflation or that investors are too afraid to buy anything else. Similarly, the rapid run-up in crude oil prices in 2011, especially Brent crude, indicated that market players were concerned less about reduced supply in the wake of Middle East/North African turmoil, and more about the risk of prices doubling. Fear of the unknown drove prices, rather than pure supply and demand concerns.

Ask a precious metals trader why spot gold reached a life-time high of $1911.46/oz in August 2011 and he will give you a laundry list of reasons, namely low US interest rates, inflation concerns and rising global demand. At the same time, he will say that fear of the unknown and fear of investing in other instruments also played an important role.

Some traders track the Thomson Reuters-Jefferies CRB Index and watch for anomalies in its price action as a risk gauge. The CRB has been around for over 50 years and began in 1957 when the Commodity Research Bureau constructed an index comprised of 28 commodities, two spot markets and 26 futures markets for investors to trade. The index has evolved over the years, with the number of commodities later pared back. In June 2005, the index was renamed the Reuters/Jefferies CRB index and included 17 commodities, all on a futures basis. The present Thomson Reuters-Jefferies CRB Index includes 19 commodities.

Of the weightings given to the various commodities, Group One (WTI crude the highest weight of 23%, heating oil and RBOB gasoline each 5%) has a 33% weight, Group Two (natural gas, corn, soybeans, live cattle, gold, aluminum, copper all 6%) has a 42% weight, Group Three (sugar, cotton, coffee, cocoa all 5%) has a 20% weight, and Group Four (nickel, wheat, lean hogs, orange juice, silver all 1%) has a 5% weight.

As of 4 January 2012, the CRB has a ten-year annualised return of 4.73%. ^[9] This is favourable compared with other tradable commodity indexes – the Dow Jones UBS commodity index return was at 4.58% and the S&P GSCI commodity index was at 3.46%. The Sharp ratio (measure of risk premium per unit of risk) is 0.4x for the CRB, 0.3x for the Dow/UBS commodity index and 0.1x for the S&P GSCI. What this signals to FX traders is that commodities are, as the portfolio optimisation orthodoxy has it, a high-risk but profitable alternative investment to conventional equities and bonds. When investors are feeling frisky and want to embrace risk, they will buy commodities and this is a signal that demand for the dollar as a safe-haven is waning.