2012年 5月 10日
全球
贵金属
研究报告
黄金作为最后避风港的地位正在削弱？
尽管近期金价大幅下跌，我们仍认为答案是否定的。2009年年初时我们曾指出，由于市场对主权债务违约
和降级的担忧升级，黄金已取代美元成为最后的避风港。此后，在避险事件发生时金价往往都会上涨。但今
年春季，在此类事件期间金价开始下跌，这可能是市场对美元的信心改善、使得美元被视为安全避险资产所
致。但由于市场对于美元最初的担忧还尚未消退，我们认为目前把美元看作是避风港还为时过早。
投资者将美元看作避风港，导致金价下跌…
过去两天 COMEX金价大幅下挫，跌破 1,600美元/盎司关口，创下 2011年 12月
末以来的最低点。近期金价走低，在跌破两个关键技术支撑位后更是大幅下跌，
与之相呼应的是贸易加权美元汇率大幅上涨，延续了去年秋季以来金价与美元实
际利率之间脱钩的走势。
…尽管金价上涨面临诸多推动因素
尽管近期金价下跌导致黄金作为最后避风港的地位遭到质疑，但我们认为金价上
涨的前景依然完好。美国经济走弱（我们的美国经济学家目前预测 6月 19-20日
联邦公开市场委员会会议上将出台进一步货币放松政策）、欧债风险卷土重来以
及现货需求稳健都预示着金价将会上涨。但我们也愈发清晰地看到，在市场预期
本已较低的情况下，欧洲或美国形势需要继续恶化才会引发大量投资突然转向黄
金。特别值得关注的是，我们认为 6月中旬可能是金价的关键期，因为 6月 19-
20日联邦公开市场委员会将召开会议，6月 28-29日欧盟峰会可能会就“增长契
约”展开讨论，而且如果希腊各党派无法组成联合政府，那么该国可能会在 6月
17日重新大选。
我们重申对金价前景的积极看法
然而我们认为，在这些推动因素出现之前金价将维持疲弱走势并仍将与广义美元
汇率和其他大宗商品价格高度相关（我们外汇经济学家认为美元将走弱的观点仍
预示着金价将走高）。总体而言，我们维持积极的金价前景预测不变，6个月价
格预测为 1,840美元/盎司。
杰夫·可瑞
(212) 357-6801 @
高盛集团
Damien Courvalin
(212) 902-3307 @
高盛集团
David Greely
(212) 902-2850 @
高盛集团
高盛集团 高盛全球经济、商品和策略研究
渐飞研究报告 -
2012年 5月 10日 全球
高盛全球经济、商品和策略研究 2
Hedging and trading recommendations
Hedging recommendations
Consumers: We expect gold prices to climb as subdued US growth reduces the market’s
expectation of real rates. Consequently, we recommend near-dated consumer hedges in gold
through 2012.
Producers: With gold prices expected to continue to climb through 2012, we find hedging
opportunities less attractive for gold producers at this time.
Trading recommendations
Long Gold: Buy December 2012 COMEX Gold (initial value of $1, current
gain $
Following the recent decline, gold prices remain well below the level implied by the current 10-
year TIPS yields. We believe that the case for higher gold prices remains in place, with weaker
US growth – our US economists forecast for additional monetary easing at the June 19-20 FOMC
meeting – rising European sovereign risks and resilient physical demand all pointing to gold
prices back to our 6-monrth forecast of $1,840/toz. Consequently, we continue to recommend a
long gold position.
Current trading recommendations
Source: Goldman Sachs Global ECS Research.
Short Jul-12 CBOT Wheat vs. Corn spread
Sell Jul-12 CBOT wheat, buy Jul-12 CBOT corn
May 1,2012 - Agriculture Update $ ($ $
Long Jul-12 CBOT Corn call and short Sep-12 vs. Dec-12 CBOT Corn timespreads
Buy Jul-12 CBOT $ corn call, sell Sep-12 CBOT corn and buy Dec-12 CBOT corn
March 30,2012 - Agriculture Update ($ ($ $
Long Dec-12 NYB Cotton put
Buy Dec-12 NYB $ cotton put
March 30,2012 - Agriculture Update $ $ $
Long WTI Crude Oil
Buy September 2012 NYMEX WTI Crude Oil February 22, 2012 - Energy Weekly $ $ ($
Long Gold
Buy December 2012 COMEX Gold October 11, 2010 - Precious Metals $1, $1, $
Rolled from a long Dec-11 COMEX Gold future position on 13-Nov-11 with a potential gain of $
Long summer 2013 NYMEX Natural Gas
Buy summer 2013 NYMEX natural gas (April-October contracts)
April 11, 2012 - Natural Gas Watch $ $ $
Long UK Natural Gas
Buy 3Q 2012 ICE UK NBP natural gas April 11, 2012 - Global Gas Watch p/th p/th ( p/th)
Rolled from a long 4Q 2012 UK NBP Natural Gas position with a potential loss of p/th
¹As of close on May 9, 2012. Inclusive of all previous rolling profits/losses.
Current
profit/(loss)1
Current trades First recommended Initial value Current Value
渐飞研究报告 -
2012年 5月 10日 全球
高盛全球经济、商品和策略研究 3
Price actions, volatilities and forecasts
units 09 May Change Implied2 Change Realized2 Change 4Q 10 1Q 11 2Q 11 3Q 11 4Q 11 1Q 12 3m 6m 12m
Energy
Industrial Metals4
-60
-307
-1210
-60
Precious Metals
-24
Agriculture
-39
-8
-17
-3
-8
279
1 Monthly change is difference of close on last business day and close a month ago.
2 Monthly volatility change is difference of average volatility over the past month and that of the prior month (3-mo ATM implied volatility, 1-mo realized volatility).
3 Price forecasts refer to prompt contract price forecasts in 3-, 6-, and 12-months time.
4 Based on LME three month prices.
n/a 71 CME Lean Hog Cent/lb n/a
111 111 115 121
86 94 94 88
29 NYBOT Sugar Cent/lb
125 CME Live Cattle Cent/lb n/a n/a 101
2450 NYBOT Cocoa $/mt 2364 n/a
3307 3043 2962 2383 2450 2450n/a 2856
31 24 29
n/a 205 NYBOT Coffee Cent/lb 175 n/a
2308
175 175205 200
179 156 106 95 80 75
257 271 256 229
562 CBOT Corn Cent/bu 641
93 90 NYBOT Cotton Cent/lb 86 n/a n/a 128
1430 CBOT Soybean Cent/bu 1430
525 525641 690
1379 1361 1356 1175 1430 1245
670 731 696
707 CBOT Wheat Cent/bu 600
1272
575 575643 680
3195 3832 3881 3183
786 745 690 615
COMEX Silver $/troy oz 2652
1370 COMEX Gold $/troy oz 1605
2042 2200 LME Zinc $/mt 1943
1840 19401693 1785
2414 2271 2247 1917 2200 2333
1388 1508 1704 1685
23619 LME Nickel $/mt 17195
8329 9000 LME Copper $/mt 8054
18600 1860019709 18600
9629 9163 8993 7530 9000 8614
26926 24191 22037
LME Aluminum $/mt 2049
UK NBP Nat. Gas p/th
2531 2618
2430 2365
2400 24002219 2400
NYMEX Nat. Gas $/mmBtu
NYMEX Heating Oil $/gal
Volatilities (%) and monthly changes2
Prices and monthly
changes1
WTI Crude Oil $/bbl
Price Forecasts3
Historical Prices
RBOB Gasoline $/gal
Brent Crude Oil $/bbl
Source: Goldman Sachs Global ECS Research estimates.
渐飞研究报告 -
2012年 5月 10日 全球
高盛全球经济、商品和策略研究 4
Is gold losing its luster as the currency of last resort?
COMEX gold prices sold off sharply over the past two days, through $1,600/toz and to their
lowest level since late December 2011. This latest move in gold prices, likely exacerbated by a
break in key technical support levels, corresponded to a broad based rise in the trade weighted
US dollar, which extends the disconnect between gold prices and US real interest rates that
occurred last fall (Exhibits 1 and 2).
Despite this recent pull-back, which has brought into question gold’s status as the currency of last
resort, we believe that the case for higher gold prices remains in place. With weaker US growth,
renewed European sovereign risks and resilient physical demand all pointing to higher gold prices,
in our view. However, it is also increasingly apparent that already low market expectations will
likely require continued deterioration in Europe or in the US to trigger a sharp inflow into gold.
Overall, we see several catalysts for higher gold prices:
Further declines in consensus expectations for US economic growth, which remain above our
economists’ forecast of 2% for 2012;
Additional monetary easing at the June 19-20 FOMC meeting;
Rising European headline risk in the wake of the Greek and French elections; and
Potential for strong Indian gold buying following the withdrawal of an excise tax on precious-
metal jewelry.
In particular, we believe that mid-June will likely be a key period for gold prices, given the June
19-20 FOMC meeting, the likely discussion of a “Growth Compact” at the EU summit on June 28-
29, and, if no coalition is formed in Greece, a new general election likely on June 17.
Until such catalysts materialize, however, we see risks that gold will likely continue to trade with a
lack of conviction and remain well correlated to the broad based US dollar and the rest of the
commodity complex, which under our FX economists’ view of a weaker US dollar still suggests
higher gold prices. Net, we are leaving our constructive gold forecast unchanged with a 6-month
forecast of $1,840/toz.
Exhibit 1: Gold prices are trading with a strong
correlation to the trade weighted US dollar…
COMEX gold prices (lhs), US$ trade weighted index (rhs)
Exhibit 2: … while further disconnecting from low US real
rate levels
US$/toz (left axis); % yield (right axis, inverted)
Source: COMEX, Goldman Sachs Global ECS Research.
Source: FRB, COMEX, Goldman Sachs ECS Research.
192
195
198
201
204
207
210
213
1,400
1,500
1,600
1,700
1,800
1,900
2,000
COMEX Gold GS USD TWI (rhs)
1,300
1,400
1,500
1,600
1,700
1,800
1,900
Gold price US 10 year TIPS yield (right axis, inverted)
渐飞研究报告 -
2012年 5月 10日 全球
高盛全球经济、商品和策略研究 5
Gold selling off through key technical support levels…
As COMEX gold prices traded lower in line with a broad based rise in the trade weighted US
dollar, they broke through two technical supports: $1,620/toz, a level that had provided a floor to
gold prices in April as well as last fall, and the 55 week moving average, making it susceptible to
trend reversal according to the GS FX technical strategist John Noyce (see GS Techs: Today's
Top Techs, May 9, 2012). This likely exacerbated the decline in gold prices, which have
tentatively settled at $1,595/toz.
Exhibit 3: The sell-off in gold prices accelerated as prices traded through $1,620/toz
COMEX gold prices, $/toz
Source: COMEX, Goldman Sachs Global ECS Research.
… as flight to the US dollar as a safe haven pushes gold lower
While this latest move in gold prices extends the recent correlation between gold prices and the
trade weighted US dollar, it also further disconnects US$ denominated gold prices from US real
interest rates. After being remarkably strong in the first half of 2011, this relationship first broke
down last fall, with gold prices falling sharply in the face of declining US real rates, as tracked by
10-year TIPS yields. While gold prices had returned to trading with a strong inverse correlation to
US real rates since late December, this relationship broke down again in April, with the move over
the last two days occurring with unchanged US 10-year TIPS yields (Exhibits 4 and 5).
1,100
1,200
1,300
1,400
1,500
1,600
1,700
1,800
1,900
Jul-10 Sep-10 Nov-10 Jan-11 Mar-11 May-11 Jul-11 Sep-11 Nov-11 Jan-12 Mar-12 May-12
COMEX Gold 1620 55-week moving average
渐飞研究报告 -
2012年 5月 10日 全球
高盛全球经济、商品和策略研究 6
Exhibit 4: This break in gold prices extends the gold to
US real rate disconnect…
US$/toz (left axis); % yield (right axis, inverted)
Exhibit 5: … and further extends the valuation disconnect
US$/toz (left axis); % yield (right axis, inverted)
Source: FRB, COMEX, Goldman Sachs ECS Research.
Source: FRB, COMEX, Goldman Sachs ECS Research.
Despite this recent price action, we do not believe that gold has lost its luster as the currency of
last resort. In early 2009 we suggested that gold had become the currency of last resort,
overtaking the US dollar’s status due to rising sovereign default and debasement concerns, and
since then gold has generally risen during risk-off events. This spring, however, gold has started
to decline during risk-off events, which is likely the result of improved confidence in the US$,
making it the flight-to-safety asset. However, we believe it is too early for the US$ to reclaim this
status, as the original US$ concerns have not disappeared.
Growing catalysts for higher gold prices
We believe that the case for higher gold prices remains in place. Specifically, US economic and
employment data has now disappointed for several weeks, European election results point to
further stress in the Euro area, while anecdotal data suggests that physical gold demand remains
resilient. Our view remains that these developments will prove supportive to gold prices,
especially following the recent collapse in prices. However, we are also increasingly aware that
low expectations will require further disappointing headlines to spur a sharp turnaround in gold
prices:
The US economy has slowed back to the sluggish pace that has characterized most of the
recovery so far with our US economists’ current activity indicator tracking at only % for
April (see Exhibit 6 and US Views – Still Dreary, May 8, 2012). Our expectation had been for
this slowdown to push the market’s expectations of real rates back lower and gold prices
higher (see Gold to glimmer as growth tarnishes, March 27, 2012). This support has yet to
materialize and it is possible that the market is increasingly comfortable with a sluggish but
stable US economy. As a result, further evidence of US GDP growth slowing to our
economists 2% forecast, and below consensus expectations, will likely be required to support
gold prices (Exhibit 7).
,550
1,600
1,650
1,700
1,750
1,800
1-Dec 15-Dec 29-Dec 12-Jan 26-Jan 9-Feb 23-Feb 8-Mar 22-Mar 5-Apr 19-Apr 3-May
Gold price US 10 year TIPS yield (right axis, inverted)
1,300
1,400
1,500
1,600
1,700
1,800
1,900
Gold price US 10 year TIPS yield (right axis, inverted)
渐飞研究报告 -
2012年 5月 10日 全球
高盛全球经济、商品和策略研究 7
Exhibit 6: US economic activity is slowing both outright
and relative to expectations…
MAP index (lhs), CAI (% change, annualized)
Exhibit 7: … with our US economists’ forecast still below
consensus growth expectations for 2012
% GDP growth (left axis); % yield (right axis, inverted)
Source: Goldman Sachs Global ECS Research.
Source: Consensus Economics, FRB, Goldman Sachs Global ECS Research.
Last weekend was intense in political events in Europe, with election outcomes bringing
focus squarely back on the European sovereign crisis. In Greece, the likelihood of seeing a
“national salvation government” of pro bail-out parties is shrinking with the Syriza party,
against austerity, now looking to form a coalition. Meanwhile, Germany, the EU and the IMF
reiterated the need for Greece to stick to its reform plans for the program payments to unfold
as planned. In France, president Hollande is likely to become proactive in promoting the idea
of a “Growth Compact” ahead of a formal summit on June 28 (see European Economics
Daily, May 8, 2012 for more details). Surprisingly, gold prices did not move on these
headlines. While the “shock” from a broadening European crisis is potentially smaller after
2011 showed that the transmission from intense financial stresses to the global economy
were smaller than feared, European risk is still very high given deterioration in the European
growth picture and uncertainties from the eroding political support for austerity measures.
Finally, recent anecdotal data suggests that physical monetary demand for gold remained
surprisingly resilient despite the weakness in gold prices with recent policy shifts in India
likely further supporting physical gold purchases:
o ETF gold holdings have continued to track the decline in real rates, and are only down 1
million toz from their record high mid-March level (Exhibit 8).
o Emerging market central banks continue to purchase gold, with March purchases at a
four-month high and above the 2011 average monthly volume. While this IMF data has a
significant lag, this release confirms that the structural shift into gold buying by central
banks remains intact.
o Mainland China’s gold imports from Hong Kong surged more than six fold in the first
quarter, according to the Census and Statistics Department of the Hong Kong
government, suggesting strong growth in Chinese domestic and official gold demand.
o India’s Finance Minister announced on Monday (May 7) that he was withdrawing an
excise tax on precious-metal jewelry, boosting prospects for the country’s gold demand
this year. Imports in April had plunged to 30-to-35 tons from 90 tons a year earlier,
according to the Bombay Bullion Association. We believe that signs of this pick up in
demand at current lower gold prices would be a key catalyst for a turn around in prices.
-125
-100
-75
-50
-25
0
25
50
75
100
125
150
Jan-10 Apr-10 Jul-10 Oct-10 Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12
US MAP Index US Current Activity Indicator (rhs)
May-10 Aug-10 Nov-10 Feb-11 May-11 Aug-11 Nov-11 Feb-12 May-12
Consensus US GDP expectations GS 2012 US GDP forecast 10-yr TIPS (rhs)
渐飞研究报告 -
2012年 5月 10日 全球
高盛全球经济、商品和策略研究 8
Exhibit 8: ETF gold holdings have stabilized near their
record highs
Million toz (left axis); % yield (right axis, inverted)
Exhibit 9: Emerging market central banks are still buyers
of gold
Central bank gold flows, million toz
Source: Bloomberg, FRB.
Source: IMF, Goldman Sachs Global ECS Research.
Net, we believe that the case for higher gold prices remains in place, with weaker US growth,
rising European sovereign risks and resilient physical demand all pointing to higher gold prices.
Until such catalysts materialize, however, we see risks that gold will likely continue to trade with a
lack of conviction and remain well correlated to the broad-based US dollar and the rest of the
commodity complex, which under our FX economists’ view of a weaker US dollar still suggests
higher gold prices. Net, we are leaving our constructive gold forecast unchanged with a 6-month
forecast of $1,840/toz.
We believe that mid-June will likely be a key period for the gold price, given the June 19-20
FOMC meeting, the likely discussion of a “Growth Compact” at the EU summit on June 28-29,
and, if no coalition is formed in Greece, a new general election likely on June 17. Interestingly,
although gold implied volatility levels have rebounded modestly from their low levels over the past
few days, they remain low relative to these potential catalysts (Exhibits 10 and 11).
67
69
71
73
75
77
79
Jul-10 Oct-10 Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12
Gold ETFs holdings US 10 year TIPS yield (right axis, inverted)
March change Level of
in holdings holdings
Mexico +
Russian Federation +
Turkey +
Kazakstan +
Ukraine +
Month on month
change in holdings
March +
February +
January +
December +
2011 monthly average +
Country
All countries
渐飞研究报告 -
2012年 5月 10日 全球
高盛全球经济、商品和策略研究 9
Exhibit 10: Gold implied volatilities have rebounded
slightly but remain low…
1-mo ATM implied and realized COMEX gold volatility
Exhibit 11: … especially for near-dated expirations
COMEX gold ATM implied and 1-mo realized volatility
Source: COMEX, Goldman Sachs Global ECS Research.
Source: COMEX, Goldman Sachs Global ECS Research.
5
10
15
20
25
30
35
40
Jan-10 Apr-10 Jul-10 Oct-10 Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12
1-mo implied volatility 1-mo realized volatility
0%
5%
10%
15%
20%
25%
30%
35%
40%
45%
May-10 Sep-10 Jan-11 May-11 Sep-11 Jan-12 May-12 Sep-12
Implied volatility term structure 1 week ago 1-mo realized vol
渐飞研究报告 -
2012年 5月 10日 全球
信息披露附录
申明
我们，杰夫·可瑞、Damien Courvalin、David Greely，在此申明，本报告所表述的所有观点准确反映了我们的个人看法，没有受到公司业务或客户关系因素的
影响。
高盛信息披露
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渐飞研究报告 -
