Leading the PPI futures "Octopus" again

1comment 2019-04-15 01:39:25 source:China Securities Journal Author:Zhang Qinfeng The second beauty energy comes!

"March NanhuaindustryBoth the price index and the CRB industrial raw material spot index have risen, MarchPPI ring up or increase from negative to positive. "This is someBrokerA paragraph in the March data forecast report. This judgment has been verified. The National Bureau of Statistics announced that the PPI in March rose by 0.1% from the previous month.

Since the beginning of this year, the market's expectation of price movements has quietly changed, and commodity price trends have become a key driver. Industry insiders said that the predictability of futures prices on price trends has been verified again, for many market participants,Commodity futureTrends have become an important indicator of observation or decision-making.

  Product performance exceeded expectations

The facts prove once again that the market consensus is expected to be biased, and sometimes the difference is still outrageous. A market research conducted by the research team of CICC at the end of 2018 showed that bonds that had been rising for nearly a year were still regarded as the most promising assets in 2019, followed by stocks, then commodities, and within the commodity, it is generally believedgoldPerformance will be better than commodities. At that time, the organization's ranking of financial assets was roughly bond > stock > commodity. However, since the beginning of the year, the actual performance of financial assets is stocks > commodities > bonds,Stock trendAs soon as you ride the dust, the commodity market is remarkable. The performance of the most favored bonds has not been satisfactory.

Since the beginning of 2019, the commodity market has entered a steady upward channel. As of April 12, the South China Commodity Index reported 1468.24 points, up 10.81% from the end of 2018. Although there is a certain gap between the increase and the stock index, it is more than enough to outperform the bond. Year-to-date, the total debt (total value) index of China's debt has only increased by 0.29%, and even the “zero” of the increase in the commodity index is not.

The best performers in the commodity market are not gold, but black, energy, and metal.Precious metalPoor performance. Wind data shows that the South China Industrial Products Index has risen 13.63% since the beginning of the year.Agricultural products(Quotes000061,Medical stockThe index only rose by 1.37%, and industrial products are the main force driving the rise of the commodity index. Within the industrial products, the South China Metal Index rose 17.81%, and the Energy Index rose 9.76%, providing a two-wheel drive for the industrial product index. In terms of metals, the black index rose by 21.37%, which was far ahead, followed byNon-ferrous metalThe price rose by 5.55%, while the precious metals fell by 2.79% against the trend.

As a prominent representative of the black and petrochemical systems, South China since the beginning of the yearIron oreThe index and the South China Asphalt Index rose by 43.92% and 30.93%, respectively, which are the only two commodity futures varieties that have risen more than 30% since the beginning of the year.

  Leading price data again

There is no doubt that the performance of the commodity market has been more than expected to a certain extent. As the trend of commodities changes, the market's perception of price trends is constantly adjusting.

At the end of 2018 and the beginning of 2019, the deflation of prices, especially the deflation of industrial products, once became a hot topic in the market.

From the perspective of the industrial producers' price index (PPI), the PPI in the 2018 trend was inverted, and the first quarter and the third and fourth quarters went through a downward process, especially in the latter round. More obvious. On a year-on-year basis, the PPI rose by 4.7% year-on-year in June 2018, and then continued to narrow. It fell to 3% in November, and fell directly to less than 1% in December, and further dropped to 0.1 in January 2019. %, hit a new low since October 2016. On a ring basis, from October 2018, the PPI growth rate continued to narrow, and the month-on-month growth rate turned negative in December. The PPI fell by 1% in December, the largest decrease since February 2015. Since then, the PPI has been in January 2019. In February, the momentum of the decline was maintained.

From the third quarter of the 2018 to the fourth quarter, the market's view of price trends has undergone a more obvious conversion.Haitong Securities(Quotes600837,Medical stocka copy of the macro team released at the end of 2018Research reportIt is pointed out that in 2018, the market's view on economic growth has not changed much throughout the year, but inflation expectations have undergone tremendous changes. Until the end of the third quarter of 2018, the market is still worried about inflation. In the fourth quarter of 2018, inflation The expectation suddenly disappeared and replaced with deflation expectations. At that time, many institutions believed that the risk of deflation in 2019 was much greater than the risk of inflation.

In the first quarter of 2019, the market's view of price trends once again ushered in a switch. Under the influence of the price hikes of pigs and oil prices and the price increase of some industrial products, inflation expectations in the market have re-emerged since March. According to data released by the National Bureau of Statistics, China's consumer price index (CPI) and PPI both accelerated in March, and CPI rose by 2.3% year-on-year. It returned to the “2” era. The PPI ended a four-month negative growth and rose by 0.1 in the month. %. The agency pointed out that the price increase in March is still relatively mild, but the upward trend is basically confirmed, and the February data may become the annual low.

It is worth noting that behind the repeated changes in market inflation expectations, commodity price trends have become a key driver.

At the end of 2018, deflation was expected to rise, just after the commodity market suffered a sharp fall. In November 2018, the commodity market showed a significant adjustment. The South China Commodity Index fell by 8.08% and the Nanhua Industrial Products Index fell by 8.9%, which was the biggest month of decline in 2018. In the face of a sharp drop in prices, the organization began to suggest deflation risks from the end of November 2018. By December 2018, "deflation" had become a high-frequency vocabulary for institutional research.

The rise in inflation expectations in the first quarter of 2019 occurred after the upward trend in the commodity market. Since December 2018, the South China Commodity Index and the Industrial Products Index have rebounded for three consecutive months, of which, in January 2019, they rose by 6.82% and 7.66% respectively. The institutional research report began to focus on inflation in February.

Combined with the trend of price data, it is not difficult to find that the trend of commodity index not only caused changes in market inflation expectations, but also showed strong predictability for the trend of price data. Whether it is the fourth quarter of 2018 or the first quarter of 2019, the turning point of the commodity index is ahead of the inflection point of price data.

“Discovering prices and reflecting expectations is the natural function of futures.” Mr. Wang, an observer of the senior futures market, told reporters that the fluctuations in commodity futures prices caused inflation expectations and price data changes are the outstanding performance of futures price discovery.

  "Octopus brother" reveals his skills

It is also due to the function of price discovery that the performance of commodity futures has received wide attention and is not limited to commodity market participants.

“In March, the Nanhua Industrial Product Price Index and the CRB Industrial Raw Material Spot Index both rose. The March PPI rose or turned from negative to positive.” This is the March data forecast report released by China Securities Security Research Research Team on April 7. A paragraph in the middle. This judgment was subsequently verified. According to data released by the National Bureau of Statistics on the 11th, the PPI rose by 0.1% in March from positive to negative.

This is not a special case. In many economic forecast reports, the trend of commodity indices and major commodity futures is an important basis for researchers to judge inflation trends, especially PPI trends. The aforementioned Huachuang Securities report pointed out that the South China Industrial Product Price Index usually leads the PPI by about one month.

Commodity futures prices are not just used to study price trends.

After the Spring Festival,Central bankThe pace of monetary policy regulation has slowed down. One view is that commodity prices have risen somewhat since 2019, inflation expectations have risen again, and the constraints on marginal relaxation of monetary policy are increasing.

It is also worth mentioning that in recent years,Bond investmentThe phenomenon of looking at commodity futures as bonds is also obvious.

From the historical data point of view, there is indeed a high linkage between commodity futures and bonds. Under normal circumstances, there is a negative correlation between commodity prices and bond prices.

“Traditional theory holds that economic and inflation expectations are the causeBond marketThe main reason contrary to the trend of commodity prices. When the economy is running well and the total demand is expanding, the demand for commodities will follow higher, which will drive up commodity prices. And rising commodity prices will raise concerns about inflation, which is not conducive toBond Market. According to CICC’s previous report, the market’s economic and inflationary discussions increased, and the bond market and commodity movements had the opposite probability, and the same rise and fall were less likely to occur. With this large probability of negative correlation The trend can be derived from a number of trading strategies.

"Price is determined by supply and demand. Commodity futures prices mainly reflect the market's expectations of future commodity supply and demand. Therefore, in many cases, commodity futures prices have become indicators of observing real economic demand and economic prosperity expectations. Commodity futures price trends may cause Changes in inflation and inflation expectations may in turn affect the formulation of macroeconomic policies. Further, futures price volatility reflects the market's expectations of commodity price movements, and will also have an impact on the earnings expectations of industrial chain companies." Some researchers have told Reporters, for macro, strategy, fixed income, industry and even company researchers, commodity futures trends are important indicators of observation.

Keyword reading:Industrial price index

Editor in charge: Fu Jianqing RF13564
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