ࠎࣁᄝಆ౯അ௹ࠊ൧ӆഈ෮ϲဆ֥࢘
Standard Bank Group ଲ٤ѓሙၿྛ٤ᇝၿြູࠢѓၿࠢषᅚݓ࠽ၿᄝଲ٤षᅚਬ൲đ൞٤ᇝቋն֥ၿྛ༢ྛြༀ֥ᇏྏbᅞᇗሧၛࠣഅြၿྛ֥ြᆭ၂ׄ:ༀÖሧჷၿྛ(ູঀြაࣁඋྛြิ܂ڛༀ)ÖྍྖሧЧ൧ӆ
ሧჷၿྛঀြವሧࣁඋસၞವሧሧჷၿྛࠎЧࣁඋିჷঀြሦ࿘122 ჴ۽ђ҃12ݓࡅૌ֥ሧჷၿྛູଢ଼ิ܂༢ྟಆ໊֥ٚڛༀ
ૌ֥ቀ֣ࠖޑধধථ॓ථ֣ۢغଉણض֛ؗᄶ༆୧ჿ҃ঘ۬၈ථฌഈݚજέૡ҃غКཐְۖϨྍࡆिஂঘέक़ঘঘ۲ථઅбࣁ೬ղථঘଚ০ઔवෳପପ০ڍ໑֤ބक़ࡆ҃અୄઔ௴ກ༑ୄჿݩଽථЍଚϘϘବ(ሹ҆)഼Ќઅݗঘূઔೖ҃ၒ୶ථη০ථჷႿ٤ᇝ-ђ҃ಆ౯
ࠎЧࣁඋڛༀٓຶႇݓѓሙၿྛࠎЧࣁඋ҆ᆌؓࣁඋࡎ۬ڄགູሧದิ܂ѓሙ߄ၛࠣਈദקቓ֥ࢳथٚσ•LME ෮Ⴕӆଽđӆຓࢌၞࣁඋഅቔ൧അ–۲ᇕ௹ಃࢌၞ֥ቔ൧അ–‘קࡎ’–नم, ໃᆩ, ၛᆩ–؟ᇕࠊлࣁඋקࡎ–Comexࢌၞၛࠣส০ࠃ–ૄರགྷࠊࣁඋࡎ۬ࠎሙ–ิֆࢌၞ–ವሧ, ໊ٚ& ࠩљߐࢌၞ–९թವሧ–ส௹Ќᆴࢳथٚσࠣࡹၰ–ࠎЧࣁඋ࣮ರ/ᄅ
ࢃဆն۔•હ൞ࠎࣁĤ•ࠎࣁؓ൧ӆ֥႕ཙ•ູહေሧഅ௹ࠊ൧ӆ?•ؗࣁඋ௹ࠊࢌၞ෮ᆷඔ(LMEX)ࠣఃഅ௹ࠊᆷඔ•ሧܢ൧ߎ൞അ௹൧?
હ൞ࠎࣁ?•CTAs(അࢌၞܤ໙):–൞սіሧದሧഅ൧ӆ֥؋௹ሧЧࣜದbЇওڶႵ֥۱ದሧᆀđࡅቂఒြđၛࠣն࿐गᄼࠎࣁބအࠎࣁ֩ࠏܒሧದ–ॖି൞Ҡቔੱቋ֥ۚ“ࠎࣁ”ທࡅđᇏཬࠎࣁ๙ݖ۵ሶ൧ӆሼ൝ၛࠣඌٳ༅ࣉྛ؋௹ሧđѩࡆख؋௹ѯږ؇(Ֆ1990୍$85ၡૅჭᄹӉᇀ2004୍$500ၡૅჭ).–CTAsൈࡼሱႵሧЧೆሧದሧࣁቆӮࠎࣁ९đაሧದࡹ৫ކࠄದܱ༢ѩ܋ཚሧ߭Бb–ܵᅫ൞CTAሧࣁ֥ਸ਼၂টჷbֆ၂ሧದ൱ಃCTAಆಃսఃࢌၞြༀbሧದ๙ӈࢌڱCTAնჿᅝఃಆ҆ҍӁ2%֥ܵٮၛࠣაࠎࣁіགྷཌྷܱ֥ႛࣁ(ჿᅝ০֥20%)b
હ൞ࠎࣁ?•CTAs(࿃):–CTAsປಆ၇ঠࡎ۬ྐ༏ၛࠣ۲ᇕႮൎࡎ۬စളطট֥ᆷѓᇅקೆ൧ࠣԛ൧֥Ҧ–CTAࢌၞ༢๙ӈ۴ऌࡎ۬ਈط٤ଖหקࡎ۬۳ԛઙછྐݼ–၂ུ༢ҧᇗܱᇿࠫ฿ࠇ൞ࠫྒ௹֥ሼ൝đࢠӉ௹֥ᄵॖၛղ֞ࠫ۱ᄅ–ႮႿࡎ۬đնਈิֆӻҝ౦ঃ֩ྐ༏ૼ؇֤ၛڿđCTAඔਈᄝLMEࢌၞᇏᄹӉ–CTAsູඔᇙ؟bӑݖ2,500۱CTAsᄝૅݓഅ௹ࠊࢌၞჴ߶CFTC֨࠺
હ൞ࠎࣁ? (࿃)•ሱႏࢌၞᆀ:–ࣜӈ৳༢ࣜࡀྛđၿྛބఃࣁವࠏܒbᆰࢤࠆ౼൧ӆઙછྐ༏bૌ๙ݖग़սြༀਔࢳ൧ӆཟđѩ۴ऌሱദؓ൧ӆ֥؎ࡹ৫؟ࠇॢ֥ժ•ࠏܒ/۱ದሧᆀ:–အࠎࣁđगᄼࠎࣁၛࠣЌག܄ඳ•ᆷඔࠎࣁ:–ሧႿGSCI, MSCI, DJ/AIG
હ൞ࠎࣁ? (࿃)•ส০(ಆ౯ޡܴ) ࠎࣁ:–൞ሧሧЧቆӮ֥ሧࣁ९bᄝૅݓၛႵކࠄದᇅԛགྷĠᄝρ൧ӆ֮ࠣඥੱݓࡅᄵࣜӈၛ܋ࠎࣁ֥ٚൔԛགྷ–նܿଆሧႿ҂ᇕোࣁವӁ֥նࠎࣁbᆃུࠎࣁ֥ࠎЧҦЇও൮༵ؓႿಆ౯ࣜ࠶ሼ൝ࣉྛ؎, ಖު۴ऌః؎Ⴕ࠹߃֥ሧႿ۲ᇕࣁವ۽ऎbགྷႵܵࠎࣁሹحჿ$3000ၡૅჭ•ᇕI: ყ௹ޡܴࣜ࠶ሼ൝ջট֥႕ཙđᄝ۲ᇕഅᆭࡗљമັ•ᇕII: ყ௹܂۳/ླࠎЧ૫đ۲ᇕഅ(Їওࣁඋ)ᆭࡗႵٳ
હ൞ࠎࣁ? (࿃)•ส০(ಆ౯ޡܴ) ࠎࣁ:–࣌ᆸቓܼۡđ္ીႵؓຓ܄҃ఃࠃࠇၭ౦ঃ֥ေ–ӑݖ4,500۱ส০ࠎࣁ–ᇶေ๙ݖაࠎࣁіགྷཌྷܱ֥ࠗৣծീࠆ০b๙ӈჿᅝྍࠆ০֥20%–ູਔࠆ౼۷֥ۚ߭Бੱđૌ০ႨҍༀۗۆቔႨࡼሧՖ2:1(ࠧࡼሧ٢ն၂П)ঘശᇀӉ௹ሧЧ(LTCM)๙ӈҐႨ֥300:1֥бੱb4-5П֥ۗۆིႋࢠູӈ–ᄝݖಀ10୍ᇏđส০ࠎࣁᄹӉ(Ֆ1990୍֥300 ᄹӉᇀ2004 ୍֥ӑݖ4,500bఃሹሧӁႮ$450ၡૅჭᄹӉᇀto $2,050ၡૅჭ
CTAsߎ൞ส০ࠎࣁ•CTAࢌၞ֥ᇶေหׄ:•ૡ్۵ෛሼ൝–২ೂ๙ݖܴҳݖಀ30฿ᇏૄರ൬ࡎđ࠹ෘ10ರđ30ರ൬ࡎ၍नཌbૄ֒10ರनཌӑᄀ(ࠇ߁ઋ)30ರनཌđઙೆ(ࠇછԛ)ྐݼྙӮ•ყ௹ሼ൝–ᄝྍ၂ѯྛ౦টਢభđ๙ݖ২ೂ۵ሶᆷѓཌྷؓႿࡎ۬ொٳ༅đყ௹ሼ൝b•൝طྛ–ᄝഈശྛ౦௹ଌđӑܓ֥౦ঃ༯છԛࠇᆀᄝ؎ູౢҝָ֮҆ࡎઙೆ•ࢌၞੱ–აส০ࠎࣁ֥Ӊཌᅞཌྷّđَࣉԛഅࢌၞ൧ӆ
Copper Price (c/lb)2004୍ࠎࣁᄝࠎЧࣁඋ൧ӆၳӈࠃᄁؓႿࠎЧࣁඋुᅨ֥ၛComexഅ: ٤അြ࣪ໃࢲౢಃၭࠣࡎ༯ჰၹğJan98 -Mar0560160•ಆ౯ࣜ࠶گ්ؓႿࠎЧ࣪ժ50150ࡎࣁඋླᄹӉ֥ყ௹40140Long•ᇏݓླ֥ᄹӉ3013020120•ૅჭ֥ࣉ၂҄ъᆴ10110•ቔູؓॆ๙ࠊளᅮ֥ส100Short௹Ќᆴ۽ऎ-1090-2080-3070-406005-Jan-9815-Mar-9923-May-0031-Jul-0108-Oct-0216-Dec-0322-Feb-05Data: Standard Bank London Ltd; CFTC. Note: 1 contract = 25,000 lbsNet Positions (contracts, '000s)
ૅჭூೈႵᇹิശࣁඋࡎ۬ૅჭࢌၞ-ࡆಃᆷඔ140ࠏሧЧੀཟࠎЧࣁඋ:240LMEXૅჭ130•ࡼሧࣁՖܢ൧đᅏ൧֩220֮൬ၭࣁವሧӁᇏሇ၍120ၛࠆ౼۷֥ۚሧ߭Б200110180•ؓॆૅჭூೈ100160•ؓॆ๙ࠊளᅮ901408012070100608050Feb-85Feb-88Feb-91Feb-94Feb-97Feb-00Feb-03Source: Federal Reserve BureauLMEX Index (US$)Trade-Weighted US Dollar Index
ࠏ౺ࡎ۬ࠎࣁ/ࠏᆀᄝLME൧ӆࠃᄁđѩᇶေႮၛ༯ӮჴቆӮ: •CTAs(അࢌၞܤ໙) –ᄎႨଷႮඌሼ൝ളӮ֥ࢌၞྐݼؓႿਈࠣሼ൝ࣉྛࢌၞ•ህ০ࢌၞჴ–ൈ౼थႿඌ૫ၛࠣࠎЧ૫•ส০(ಆ౯ޡܴ)ࠎࣁ–ᇶေ۵ෛࠎЧ૫•۱ದ/ࠏܒሧᆀ–അၘࣜӮູႵࣩᆚ৯֥ሧӁ၂ቂ•ᆷඔࠎࣁ–ሧႿGSCI, MSCI, DJAIG. ¾ᄝݖಀ3۱ᄅᇏđྍᄹ֥؟ֆӑݖ$50ၡૅჭѩࡼؓႿഅ൧ӆሧሹحิۚᇀ$450-500ၡૅჭ¾նჿ10% ($5ၡૅჭ)ФሧႿLMEđཌྷ֒ႿLME୍൬ೆ֥5-10%
ؓႿࣁඋ൧ӆ֥ᇗေ႕ཙૄರࡎ(LME3ᄅBasis)$/t3,3003,100•ສສॱնࡎ۬ѯږ؇đᄹࡆѯ2,900ྟđঔնۚڂა֮ܡb2,7002,5002,300•ؓӉ௹ࡎ۬ሼ൝ӯᇏྟ႕ཙ2,1001,9001,700•ૄರӮࢌӮతഈຣ൭đੀྟ1,50002-Jan-0302-May-0302-Sep-0302-Jan-0402-May-0402-Sep-0402-Jan-05఼,ࢌၞӮЧ֮৷ၛࠣࢌၞൈࡗૄರࡎ(LME3ᄅBasis)($/t)൞LMEቋն་ႄದᆭԩ17,50015,500•ࣜӈᄝ2-3฿֥ࡎ۬ѯᇏཁགྷ13,500ࠃᄁ11,5009,5007,50002-Jan-0328-May-0316-Oct-0309-Mar-042-Aug-0421-Dec-04
ູહሧഅ௹ࠊ൧ӆ?•ٳڄག•აః۲ᇕሧڵཌྷܱ•۵ሶ൧ӆሼ൝•࠱ࢫྟ൧ӆ•ࠎЧ૫थקࡎ۬
ٳڄག•๙ݖٳሧӁቆކၛࡨഒၩຓࣜ࠶൙ࡱ২ೂഅࡎ۬э֩ؓႿܢௐđᅏಊ֩Ԯሧཛଢڵ૫႕ཙ֥ڄག•ᆰࢤഅሧູದૌิ܂ਔ၂่ห֥൬ၭࣥđෛሢൈࡗ֥ੀ൜ࡼᆣૼఃؓႿٳڄག෮ఏ֥ቔႨ•Ӊ௹টुđ๙ݖؓႿ௹ࠊഅሧॖࠆ౼‘ሱಖ’߭Бੱ(২ೂ༎ಌ൬ၭđь০൬ၭ֩) •๙ݖࠒࠞܵഅ൧ӆॖିթᄝ֥ࡎི֮۬ྟ࿙ᅳࠆ০ࠏ߶
23-Jul-016-Apr-0122-Dec-0013-Sep-002-Jun-0018-Feb-004-Nov-9926-Jul-9913-Apr-9929-Dec-9816-Sep-985-Jun-9819-Feb-985-Nov-9725-Jul-9714-Apr-9730-Dec-9617-Sep-966-Jun-9621-Feb-968-Nov-9528-Jul-9513-Apr-953-Jan-95۵ሶ൧ӆሼ൝LMEᄅࡎ۬($/ؕ)10,7009,700છԛ8,700છԛ7,7006,700ઙೆ5,7004,7003,700
ᇛ௹ྟ൧ӆ$/tLME3ᄅࡎ۬ሼ൝3,000છԛછԛ2,500છԛઙೆ2,000ઙೆ1,500ઙೆ1,000Aug-79Jun-82Apr-85Feb-88Dec-90Oct-93Aug-96Jun-99
Ֆіࠆ౼ྐݼ$/t1,800છԛྐݼ1,7001,6001,5001,4001,300ઙೆྐݼ1,2001,1004-Jan-994-May-994-Sep-994-Jan-004-May-004-Sep-004-Jan-014-May-01LME 3m10 per. Mov. Avg. (LME 3m)30 per. Mov. Avg. (LME 3m)
Metal Prices Index (LMEX $/t)ࠎЧ૫थקࡎ۬ࣁඋഅᄍྸಆ౯ޡܴส০ࠎࣁࣜૌᄝഅြᇛ௹э߄ഈࣉྛࠏbൎഈࣁඋࡎ۬აGDPđ۽ြӁԛđሧЧሧބରႨཧ൲֩Ⴕཌྷܱྟ2407220520018031601140120-1100-38060-540-720G7۽ြӁԛࣁඋࡎ۬(LMEX)-901985198719891991199319951997199920012003Industrial production % chg
അࠎࣁ–ංႪංਜ?Ⴊ൝•ູഅ൧ӆิ܂ੀྟ•՜۷؟ದҕაؿགྷࡎ֥۬ࠃ•ࠧᄝႮႿ࠱ࢫྟ႕ཙđ൧ӆౢ֎֥౦ঃᆭ༯ಯູഅ൧ӆࢌၞิ܂ࠃ৯•ิۚሧᆀؓႿഅ൧ӆ֥ࣞतྟਜ൝•ࡆख؋௹അࡎ۬ѯږ؇•ࡎ۬эສສॱնགྷൌđࡆखۚڂა֮ܡӱ؇
അᆷඔ•LMEX•GSCI (ۚഹ)•DJ-AIGCI (֡౪ථ/ૅݓݓ࠽ࠢ)•JPMCI (JP ଉ۴)•DBCLI (֣ၩᆽၿྛ)
LMEX•LMEX (LME ᆷඔ) ൞၂ᇕЇওLMEੂᇕᇶေࣁඋࡎ֥۬ᆷඔ•ᆷඔࡹ৫Ⴟ۲ᇕ௹ࠊކჿࠎԤഈ•۲ᇕࣁඋᄝᆷඔᇏ෮ᅝбᇗႮఃݖಀ5୍ಆ౯ӁਈၛࠣLMEӮࢌਈथק•൞௹ࠊაӆଽࢌၞ௹ಃކჿ֥ࠎሙᆷඔ•҂ఠടགྷࠊࢌ۩đކჿ๙ݖགྷࣁࢲෘ
LMEX (࿃)•۽ြࣁඋ֥ൎࡎ۬ሼ൝აܢࡎӯཌྷّ൝•ᄝݖಀ֥15୍ᇏđૅݓܢ൧ቋ୍֥֮(1987, 1990ބ1994୍)൞۽ြࣁඋࡎ۬ঘശቋखਛ୍֥bLMEXᄝପ୍ུᇏनᅨږູ%•ဢᄝն؟ඔܢ൧Вᅨ୍֥ٺᇏđ۽ြࣁඋיږᇗ•Ֆ1985-1999୍đؓႿLMEXࣉྛሧđࡼॖु֞ఃؓႿڄགٳטᆜު֥ܢௐᅏಊሧӁቆކሧ߭Бੱ֥ڿቔႨ
LMEXіགྷPerformance Since Inception (Jan 1985 -Dec 1999)LMEXS&P 500 IndexSalomonStock, Bond & Commodity TreasuryPortfolioslllllllV୍؇ሧ߭Бੱ%%%%%%%୍؇ѓሙҵ%%%%%%%Sharpeбੱቋն༯ࢆږ؇%%%%%%%LMEཌྷܱྟሧӁቆކl: 50%ܢௐᆷඔၛࠣ50%ᅏಊᆷඔሧӁቆކll: 90%ሧӁቆކlၛࠣ10% GSCIഅᆷඔሧӁቆކlll: 90%ሧӁቆކl, 5% LMEXၛࠣ5% GSCIିჷᆷඔሧӁቆކlV:90%ሧӁቆކlၛࠣ10% LMEX
LMEXൎࡎ۬Jan 4 1999 = 1,0002,4002,2002,0001,8001,6001,4001,2001,000800Jul-84Jul-86Jul-88Jul-90Jul-92Jul-94Jul-96Jul-98Jul-00Jul-02Jul-04Data: LME; (Note: Weighting derived from global production and traded volume of each of the six metals)
Lack of correlation with other investments24 Month Performance (Jul 2002 –Jun 2004)Annualized Rate of Return (Jan 1990 –Jun 2004)ಆ౯ޡܴส০ࠎࣁಆ౯ޡܴส০ࠎࣁ༢ྟܵࠎࣁ༢ྟܵࠎࣁܢௐᆷඔܢௐᆷඔࣁವഅࣁವഅ؟ᇕӁ؟ᇕӁሱႮࣜದሱႮࣜದࠊлࠊл୪Ӂ୪Ӂѓ௴ѓ௴50040ବථղक़ବථղक़֡౪ථ֡౪ථ%%ܵ௹ࠊܵ௹ࠊ
ሧഅࠎࣁ–ሹࢲ•ࡨഒሧӁቆކࡎ۬ѯڄག•ᄝԮܢௐᅏಊ൧ӆ֥֮ࣜ࠶ߌ༯ิۚሧ߭Бੱ•ҕაᄝԮሧҦᇏ҂ॖିҕა֥൧ӆٓຶ۷ܼ֥ࣁವӁሧ
ሧܢ൧ߎ൞അ௹൧?•ሧܢ൧ࠇྸ൞ԛႿᅞჰၹ(ࠆ౼॥ᇅಃđٳཚӁӮၛࠣࣉೆྍ൧ӆ֩)•ࣁඋაܢௐࡎ۬ᄝ҂֥അြᇛ௹ׄഈഈᅨࠇ༯י•ሧളӁഅ܄ඳܢௐ෮ิ܂֥൬ၭੱࢤ࣍Ⴟሧཌྷܱܢௐ൧ӆ൬ၭੱđط٤ᆰࢤሧႿھഅ෮ࠆ֥൬ၭੱ•ᄝԮሧ౻֡২ೂܢ൧֩đ҂թᄝᇭೂь০൬ၭ֥֩ሧ߭Бটჷ
ሧܢ൧ߎ൞അ௹൧?•ؓႿഅ൧ӆሧ෮ࠆ֤ࣁವۗۆིႋ๙ӈӑݖܢௐ൧ӆ•അၘࣜӮູ৫֥ሧӁࢨҪbऌႵսіྟ֥ሧӁቆކູğ40%ܢௐđ40%ᅏಊđ20%അ•Ԣ٤ࣁඋࡎ۬खਛэ߄, ؓႿࣁඋোܢௐ֥ሧაࣁඋࡎ۬эཌྷܱྟ҂ն•Ԣ٤ཌྷܱഅࡎູ۬ࢲܒྟטᆜđః؋௹֥ࡎ۬ѯؓཌྷܱሧჷ܄ඳܢௐࡎ۬ࠫެીႵ႕ཙ
LME turnover 1988-2002The annual turnover on the LME is about 60 million lots, equating to a value of about $ trillion, or about $10,000 million per (Million lots)
4)'& ࣁඋӮࢌحၡದл
੨֥Ӯࢌح֥Ӯࢌح
୍ ୍ ୍ ୍
-.&9%+* -.&9%+*
%+*
-.&9
୍ ୍ ୍ ୍ ୍ ୍ ୍ ୍ ୍ ୍ ୍ ୍ ୍ ୍
DJI & LMEX֥ཌྷܱྟ %+*-.&9%+* -.&9 %+*-.&9%+* -.&9 %+*-.&9%+* -.&9
ԛ֥CTA JWH௹ࠊࠎࣁ• ୍đ୍؇گކ൬ၭੱູ • ୍đܿଆູ ၡૅჭ•ሧቆކğ–ࠊлđ০ੱđܢௐᆷඔđࣁඋ௹ࠊđିჷ௹ࠊđ୪Ӂ௹ࠊ–ᄝಆൗࢸ ۱൧ӆࢌၞđनӻႵ ᇕժ• ֥ܵٮ ֥ြࠛࢂৣ•ۗۆ؇đ
๙ٚൔ•ؗMs. ZhongtaoHarding Tel: 0044-20-78154090•ཐۖMs. KeziahKwanTel: 00852-28227959•ഈݚTel: 0086-21-68412666
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