By David Stevenson
I'm not a coffee drinker but even I couldn't help notice that back in February, coffee prices suddenly shot up, putting Starbucks in a bit of hot water.
Against this backdrop, I also noticed the launch of some coffee funds by specialist hedge outfit Eiger Trading Advisors. These four funds – two trackers (long and short), one managed alpha fund, plus a green/sharia-compliant fund – aren't likely to feature in many readers' portfolios as the minimum investment is $1m. But I think the launches are notable for a number of reasons.
First, coffee is a specialist commodity that lives up to its reputation as a non-correlated asset. In 2005, a couple of US academics released a paper called Facts and Fantasies about Commodity Futures 2005 (Gorton and Rouwenhorst) that spelled out why commodities as an asset class could be so useful. The key observation was the low correlation of commodities with equities.
A subsequent study by researchers at Ibbotson Associates for Pimco, the US bond firm, backed up this point, suggesting that commodities should have some benefit for most portfolios. It even went so far as to put an estimate of the benefit – 133 basis points.
Sadly, as we've recently discovered, many commodities have been anything but negatively correlated to equities, as investors have sold those with cyclical vulnerability. Oil has plummeted in value, closely followed by coal and just about anything industrial. Coffee, however, has remained resolutely independent, rising and falling in line with factors such as the weather, or whether or not futures traders have got their sums wrong.
Which brings me to the second reason why I think we should take some interest in the Eiger funds – the two new index funds are not based on futures prices but the spot price (although the tracking itself is done using derivatives and futures).
This is important in my book because I sense there's something rotten in the land of commodities and it's called the futures market.
I've received countless e-mails from readers who have a hunch about where commodities prices are going in the next few weeks, months or years. These e-mails usually proceed to mention one of the ETF Securities commodity trackers (called ETCs) that they intend to buy or sell.
The problem that I see is that the ETF Securities funds (along with the smaller number of more general commodity trackers from Lyxor) track the futures markets.
There isn't anything wrong with this as such (in fact it makes the tracking easier), but investors should be aware that there isn't a straightforward overlay between futures and spot markets and vice versa. Futures markets have a curious internal dynamic based around the move between contango (when futures prices rise above spot prices) and backwardation (when futures prices fall lower than spot prices). The Eiger family of funds, by contrast, deliberately only track the spot price.
“We're trying to avoid a lot of the inefficiencies of the futures markets,” says Eldred Buck, the fund manager.
To understand what Buck means, I suggest logging on to FT Alphaville or the excellent US investment blogging website www.seekingalpha.com. Look up the articles “A Self-propelled Pyramid” (FT Alphaville) and “Death by a Thousand Contangos” (SeekingAlpha), which brilliantly remind private investors of the risks of commodity markets – and especially futures markets for oil.
Some parts of the problem are well known – the huge US oil tracker fund USO is now so big that when it rolls over its investment in the underlying futures contracts it causes the main market to move violently.
Both articles quote Stephen Schork of the Schork Report on recent moves in USO. “The USO held sway over the market, i.e. these funds (USO, S&P GSCI et al) are artificially skewing the front of the Nymex curve; putting downward pressure as they sell a massive percentage of open interest in the spot over the course of a few sessions”.
Also, private investors have to factor in the movement back and forth between contango and backwardation – as well as consider the impact of any move in Treasury Bill yields.
Add it all up and you begin to understand why some academics maintain that between one and two thirds of all long-term returns from futures-based indices come from these complex factors. In the US, for instance, Van Eck Global Research estimates that, in the 1980s, the cash yield from Treasury Bills contributed annualised returns of more than 9 per cent while spot prices returned -1.37 per cent.
And for coffee itself – what are the prospects? Well, it has rallied recently and it will probably fall back again, but the point is that spot prices move relatively independently of equities and that diversification has real value. The growing consumerism in the developing world that's pushing up demand for meat-based diets must also spill over into increased coffee consumption. And even if it doesn't in the short term, my experience of recessions so far is that they result in people spending a lot more time in coffee shops talking about what they're going to do next!
作者：英国《金融时报》戴维•史蒂文森(David Stevenson)
我不怎么喝咖啡，但就连我也注意到2月份时咖啡价格突然暴涨，让星巴克(Starbucks)陷入了小小的困境。
在这种背景下，我还注意到专业对冲机构Eiger Trading Advisors推出了一系列咖啡基金。这4只基金——两只指数追踪基金（多头和空头）、一只管理型阿尔法基金(managed alpha fund)、还有一只绿色/伊斯兰基金(green/sharia-compliant fund)——不太可能进入很多读者的投资组合，因为其最低投资额为100万美元。但我认为，出于许多原因，这些基金的推出值得关注。
首先，咖啡是一种特殊大宗商品，是名符其实的非关联性资产。几位美国学者在2005年发表了一篇论文，题为《商品期货的事实与幻想》(Facts and Fantasies about Commodity Futures)（高顿(Gorton)和卢文赫斯特(Rouwenhorst)，2005）。论文阐述了作为一种资产类别，大宗商品为何如此有用。关键原因在于大宗商品与股市的关联度很低。
Ibbotson Associates的研究人员随后为美国债券公司太平洋投资管理公司(Pimco)进行的研究证实了这一点。研究指出，大宗商品应该对大多数投资组合有益。研究甚至对这种益处进行了估算——133个基点。
遗憾的是，根据我们最近的发现，许多大宗商品根本没有与股市形成负联动，因为投资者已经将容易受到周期性影响的商品抛售。油价直线下跌，煤炭和几乎所有工业商品紧随其后。然而，咖啡却保持了绝对独立，价格升降取决于天气等因素，或是期货交易员是否算错了账。
由此我想到了应该对Eiger基金有所关注的第二个原因——两只新指数基金并非基于期货价格，而是基于现货价格（虽然追踪过程本身利用的是衍生品和期货）。
按我个人的看法，这一点很重要，因为我觉得大宗商品领域存在一个腐朽之地，那就是期货市场。
我接到过无数读者的电子邮件，声称自己能预见到未来数周、数月乃至数年的大宗商品价格走势。随后他们往往会在电子邮件中提及打算买进或卖出的某个ETF证券大宗商品追踪基金（被称作交易所交易商品基金(ETCs)）。
问题是，我发现是ETF证券基金（以及来自领先资产管理公司(Lyxor)的少数几支更加综合的大宗商品追踪基金）在追踪期货市场。
这本身并没有什么问题（事实上这让追踪过程更加容易），但投资者应该知道，在期货市场与现货市场之间不存在明显的重迭部分，反之亦然。期货市场拥有一种奇特的内部动态，其基础是期货溢价（contango，期货价格高于现货价格）和现货溢价（backwardation，期货价格低于现货价格）之间的波动。相比之下，Eiger的系列基金故意只对现货价格进行跟踪。
“我们试图避开期货市场的诸多无效性，”基金经理埃尔德雷德•巴克(Eldred Buck)表示。
要理解巴克的意思，我建议读者登陆FT Alphaville或是出色的美国投资博客网站www.seekingalpha.com。搜索这两篇文章：FT Alphaville 上的《自行构建的金字塔》(A Self-propelled Pyramid)和SeekingAlpha上的《因一千次期货溢价而死》(Death by a Thousand Contangos)。这两篇才华横溢的文章提醒私人投资者，要注意大宗商品市场的风险——尤其是石油期货市场。
问题的某些方面已为人们所熟知——巨型美国石油追踪基金USO的规模已经如此巨大，以至于当该基金对其优先期货合同的投资进行换单展期时，会导致市场主体出现剧烈波动。
两篇文章都引用了《施洛克报告》(Schork Report)作者斯蒂芬•施洛克(Stephen Schork)对USO最新动态的分析。“USO控制着市场，也就是说这些基金（USO，标普高盛商品指数(S&P GSCI)以及其它基金）可以任意扭曲纽约商品交易所(Nymex)交易曲线的走向；如果它们在连续几个交易日中出售大比例的现货未平仓量时，就会造成下行压力。”
此外，私人投资者必须考虑到期货溢价和现货溢价之间的来回波动，同时还要考虑到美国国债收益率波动带来的影响。
综合考虑所有因素，你就会开始理解为什么有些学者坚持认为，所有以期货为基础的指数，其长期收益中有三分之一到三分之二来源于这些复杂的因素。例如，在美国，Van Eck Global Research估计，上世纪80年代，美国国债现金收益率贡献的收益率折合年率逾9%，而现货价格的回报率仅为-1.37%。
现在回到咖啡本身——这种商品的前景如何？嗯，最近咖啡价格出现反弹，或许会再次下跌。但关键问题在于其现货价格的波动相对独立于股市波动，而这种多样化具有实际的价值。发展中国家消费主义的日益抬头，推高了对于肉类饮食的需求，也必然产生咖啡消费上升的溢出效应。而且，即使这种情况短期内不会出现，根据我迄今为止有关经济衰退的经验，衰退会导致人们在咖啡馆消磨更多的时间，讨论接下来他们做什么。
译者/管婧
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