Commodities as an asset class

Transcription

1 Commodities as an asset class Sandra Ebner Deka Investment GmbH March 2008

2 Commodity-Supercycle?! Industrialisation Urbanization Private consumption Rising demand for commodities Energy Metals Agriculture 2

3 Energy Mainly driven by supply-side issues Global oil demand growth has been stable Contribution to growth in percentage points Change in % F OECD North America China Asia ex China Middle East Others Other OECD Total (rhs) -2 Source : Deka Investment, IEA 3

4 Energy Mainly driven by supply-side issues Supplies are getting tight Lack of spare capacities in the oil sector Below-average growth on the supply side Million barrels per day Jan 74 Jan 79 Jan 84 Jan 89 Jan 94 Jan 99 Jan 04 Long-term price assumptions remain extremely conservative Access to new reserves and resource areas is getting harder Material costs are rising Acute shortage of qualified staff Extreme weather conditions are causing production to be lost Capacity Production Sources: Deka Investment, International Energy Agency, OPEC 4

5 Energy Mainly driven by supply-side issues Reliable oil producers are hard to find* UK Norway US Venezuela Iraq Indonesia Mio. Barrel pro Tag Brazil Angola Russia Rest of OPEC Demand Sources: Deka Investment, IEA * Change in oil production 2000 vs

6 Metals story is a China story Cotton Tin Coal Zinc Lead Aluminium Copper Nickel Soybeans Corn Wheat Crude Sugar 8% 8% 15% 21% 19% 16% 25% 22% 22% 33% 31% 29% 39% 0% 10% 20% 30% 40% 50% No. 1 No. 2 No.3 6

7 Metals story is a China story 100% 80% 60% 40% 20% Urbanization in China and India is rising 0% F 2015 F 2020 F 2025 F China+Taiwan Korea Japan US Brazil India Sources: Deka Investment, United Nations 7

8 Metals story is a China story New investment encounters obstacles Delivery times for equipment have risen substantially Chrushers Large haul trucks Tyres Reclaimers Rope shovels Wagons Power generators Locomotives Barges Draglines Grinding Mills Months normal delivery times current delivery times Sources: Deka Investment, Rio Tinto 8

9 Metals story is a China story Gold falling mine production and a weak dollar Gold: Mine production Strong correlation between gold price and US-dollar movement 4% Metric tons %-change EUR-USD 2% 0% -2% 1700 R 2 = % -4% -2% 0% 2% 4% %-change gold price Sources: Deka Investment, World Gold Council 9

10 Agriculture a substitute for energy Increase in biofuel production has strong implications for grains Changing value chain for corn Then and NOW ethanol plant 10

11 Agriculture a substitute for energy Mio. metric tons Boom in biofuels leads to strong demand in corn US energy bill significantly expands renewable fuels Corn Ethanol Corn Ethanol & Advanced Biofuels US corn production Sources: Deka Investment, USDA, White House As per: 2007

12 Agriculture a substitute for energy World ending stocks are falling rapidly Total Stocks (Mio metric tonnes) Corn Wheat Soybeans Sources: Deka Investment, USDA 12

13 Summary Rising commodity prices across the board % % % % % 0-5% Jan 00 Jul 00 Jan 01 Jul 01 Jan 02 Jul 02 Jan 03 Jul 03 Jan 04 Jul 04 Jan 05 Jul 05 Jan 06 Jul 06 Jan 07 Jul 07 Jan 08 DJ-AIG Energy DJ-AIG Industrial Metals DJ-AIG Precious Metals DJ-AIG DJ-AIG Agricultural DJ-AIG Livestock 13 Sources: Bloomberg, Deka Investment As per: January 2008

14 Commodities as a Strategic Element in the Mix 1000 Commodities and equities perform similarly in the long term* Apr 73 Apr 78 Apr 83 Apr 88 Apr 93 Apr 98 Apr 03 Commodities Bonds Stocks 14 Sources: Bloomberg, Deka Investment; Period: March 1973 December 2007 *Adjusted for inflation; Based on: Commodities = Goldman Sachs Commodity Index and DJ-AIG Commodity Index, Stocks = S&P 500 TR, Bonds = ML Corporate Bond TR Please take note of the information regarding mentioned indexes on the last page of this presentation.

15 Commodities as a Strategic Element in the Mix Backwardation Contango USD/ton cents/bushel T1 T3 T5 T7 T9 210 T1 T3 T5 T7 T9 Futures curve: copper Futures curve: corn Sources: Bloomberg, Deka Investment 15

16 Commodities as a Strategic Element in the Mix Stocks and bonds correlate inversely with commodities Asset class returns over the business cycle Late Expansion Early Recession Commodities: 20,92% Stocks: 15,50% Bonds: 5,19% 159 Months Commodities: 21,02% Stocks: -18,11% Bonds: 12,65% 32 Months 32 Months Late Rezession Commodities: -4,13% Stocks: 32,30% Bonds: 25,58% 159 Months Early Expansion Commodities: 4,84% Stocks: 15,68% Bonds: 11,3% Sources: Bloomberg, DekaBank, Goldman Sachs, Merrill Lynch; economic cycle phases established by the National Bureau of Economic Research (NBER, USA); Based on: Average monthly performance (ann.) of total return indices S&P GSCI, S&P 500, Merrill Lynch Corporate Bond Index ; Period: Jan Nov Please take note of the information regarding mentioned indexes on the last page of this presentation.

17 Commodities as a Strategic Element in the Mix ML Govt Bond S&P 500 Inflation DJ AIG CI ML Govt Bond 1 0,16 --0,12 0,00 S&P 500 0, ,07 0,09 Inflation -0,12-0,07 1 0,57 DJ AIG CI 0,00 0,09 0, Period Jan 1992 Dec 2007 Data: Equities (S&P 500 ), Bonds (ML Government Bonds ), Commodities (DJ-AIG Commodity Index ); Inflation (US CPI; lagged) Please take note of the information regarding mentioned indexes on the last page of this presentation.

18 Commodities as a Strategic Element in the Mix Stocks and bonds vary inversely with commodities Commodities do well at times when equities do badly 40% 20% 0% -20% -40% Commodities Stocks Bonds 18 Sources: own calculations, Bloomberg, Deka Investment Based on: Stocks = S&P 500, Bonds = REXP, Commodities = DJ-AIG Commodity Index As of Please take note of the information regarding mentioned indexes on the last page of this presentation.

19 Commodities as a Strategic Element in the Mix Commodities conventionally do well in times of crisis The ten months of worst-ever returns on equities vs. on commodities 20% 10% 0% -10% -20% -30% Stocks Commodities 19 Sources: own calculations, Bloomberg, Deka Investment, Goldman Sachs Data series: Based on: Stocks = S&P 500, Commodities = S&P GSCI Please take note of the information regarding mentioned indexes on the last page of this presentation.

20 Commodities as a Strategic Element in the Mix Return (%) 13% 12% 11% 10% 9% Efficiency curves with and without raw material allocation* 40% Bonds 40% Stocks 20% Commodities 20% Bonds 60% Stocks 20% Commodities 50% Bonds 50% Stocks 20% Bonds 80% Stocks 8% 5% 7% 9% 11% 13% 15% 17% Risk (%) Allocation without commodities 5% Commodities 20% Commodities 20 Sources: own calculations, Bloomberg, Deka Investment, Goldman Sachs, Merrill Lynch Based on: Commodities S&P GSCI TR, S&P 500 TR, Merrill Lynch Corporate Bond Index TR ; Data series: Please take note of the information regarding mentioned indexes on the last page of this presentation.

21 Investment vehicles Resource Stocks do not offer similar diversification properties Correlation Matrix 10 years Euro Stoxx 50 DJ-AIG TR REXP MSCI World Energy MSCI World Materials MSCI World Euro Stoxx 50 1,00-0,01-0,33 0,32 0,57 0,83 DJ-AIG TR -0,01 1,00-0,04 0,53 0,33 0,18 REXP -0,33-0,04 1,00-0,14-0,26-0,27 MSCI World Energy 0,32 0,53-0,14 1,00 0,67 0,55 MSCI World Materials 0,57 0,33-0,26 0,67 1,00 0,77 MSCI World 0,83 0,18-0,27 0,55 0,77 1,00 Sources: Bloomberg, Deka Investment 21 Please take note of the information regarding mentioned indexes on the last page of this presentation.

22 Investment vehicles DJ-AIG CI 10,1% 8.2% Weighted individual commodities Crude 13.16% Gasoline 3.78% 17,4% 18.1% 10,4% 10.4% Agriculture Livestock Precious metals 29,2% 30.2% 33.0% Energy Industrial metals Natural Gas 12.24% Heating Oil 3.82% Soybeans 7.63% Cotton 2.48% Aluminium 7.11% Sugar 3.19% Gold 7.40% Coffee 3.00% Live Cattle 4.89% Soybean Oil 2.81% Copper 7.04% Zinc 3.03% Corn 5.66% Nickel 2.79% Wheat 4.70% Silver 2.72% Lean Hogs 2.55% Return: 10.8% p.a./risk: 15.0% p.a.* 22 Sources: Deka Investment, Dow Jones Indexes Weighting as at January 2007 (weighting varies over the year, reflecting changes in market prices) * Data series: Please take note of the information on the last page of this presentation.

23 Disclaimer "Dow Jones," and Dow Jones EuroStoxx and Dow Jones AIG Commodities Index are trademarks of Dow Jones & Company, Inc. and have been licensed for use for certain purposes by Investment GmbH. DekaInvestment's Deka- Commodities based on the Dow Jones AIG Commodities Index are not sponsored, endorsed, sold or promoted by Dow Jones, and Dow Jones makes no representation regarding the advisability of trading in such product(s). MERRILL LYNCH IS LICENSING THE MERRILL LYNCH INDICES "AS IS," MAKES NO WARRANTIES REGARDING SAME, DOES NOT GUARANTEE THE QUALITY, ACCURACY AND/OR COMPLETENESS OF THE MERRILL LYNCH INDICES OR ANY DATA INCLUDED THEREIN OR DERIVED THEREFROM, AND ASSUMES NO LIABILITY IN CONNNECTION WITH THEIR USE.D REX Performanceindex is a registered trademark of Deutsche Börse AG. This financial instrument is neither sponsored nor promoted, distributed or in any other manner supported by Deutsche Börse AG (the "Licensor"). Neither the publication of the Index by the Licensor nor the granting of a license regarding the Index as well as the Index Trademark for the utilization in connection with the financial instrument or other securities or financial products, which derived from the Index, represents a recommendation by the Licensor for a capital investment or contains in any manner a warranty or opinion by the Licensor with respect to the attractiveness on an investment in this product. MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed or produced by MSCI. 23

24 Many thanks for your attention!