近幾年，隨著原油價(jià)格下滑，不斷有商品對(duì)沖基金倒下，只剩下幾個(gè)規(guī)模較大的玩家，其中包括霍爾。但他所經(jīng)營(yíng)的Astenbeck Capital Management基金，由于今年的虧損，最終也決定關(guān)閉。

今年年初，許多基金押重注油價(jià)將會(huì)反彈，使多頭期貨頭寸在二月末達(dá)到歷史最高記錄，但在那之后，盡管歐佩克達(dá)成了產(chǎn)量削減協(xié)議，但全球原油供應(yīng)卻持續(xù)增加，導(dǎo)致原油價(jià)格陷入了長(zhǎng)期低迷。

今年，油價(jià)低迷和波動(dòng)率下降，使押注大幅反復(fù)波動(dòng)的基金損失慘重，許多商品基金處境艱難。據(jù)瑞士信貸統(tǒng)計(jì)，2017年截至7月底，專門從事期貨交易的CTA基金下跌2.8%，而對(duì)沖基金研究的大宗商品對(duì)沖基金指數(shù)同期下跌了0.9%。

隨著今年煉油利潤(rùn)的大幅增長(zhǎng)，押注其他價(jià)差交易的結(jié)果要好得多，過(guò)去兩個(gè)月，對(duì)餾分油的高需求，使煉油利潤(rùn)增長(zhǎng)了超過(guò)50%。

2016年大部分時(shí)間持續(xù)低迷的汽油利潤(rùn)也有所反彈。本月早些時(shí)候，美國(guó)煉油利潤(rùn)漲至近兩年的最高點(diǎn)。

RCMA Asset Management的董事長(zhǎng)道格·金表示：“全球煉油利潤(rùn)和需求都非常健康。”他的Merchant Commodity Fund管理著約1.9億美元的大宗商品。但該基金年比下降了12%。

3月份的原油價(jià)格暴跌，令霍爾和包括Andurand Commodities Fund在內(nèi)的許多基金嚴(yán)重受挫。據(jù)知情人士透露，至7月底，Andurand虧損超過(guò)15%。

這些基金并未對(duì)置評(píng)請(qǐng)求做出回復(fù)。

能源類對(duì)沖基金Kronenberg Capital Advisors的合伙人馬修·佩里表示：“今年的基金以創(chuàng)紀(jì)錄的價(jià)格開始。結(jié)果這給多數(shù)交易員帶來(lái)了毀滅性的后果。”

交易員們表示，霍爾的謝幕最令人意外，因?yàn)樗跇I(yè)內(nèi)有數(shù)十年的經(jīng)歷。但在2016年年末寫給投資者的一封信中，霍爾曾表示，歐佩克的產(chǎn)量削減協(xié)議意味著，該組織將更活躍地參與價(jià)格制定，因此未來(lái)很可能迎來(lái)看漲行情。

當(dāng)然，并非所有基金都表現(xiàn)不佳。Eurekahedge跟蹤的12只能源對(duì)沖基金，今年到目前為止上漲了5.1%。目前尚不確定其他指數(shù)是否包含這些基金。

尋找失去的波動(dòng)性

CBOE原油波動(dòng)率指數(shù)計(jì)算的波動(dòng)率，在2017年持續(xù)下降。經(jīng)過(guò)兩年價(jià)大幅價(jià)格波動(dòng)后，2017年的波動(dòng)率指數(shù)基本上低于30，這表明市場(chǎng)處于區(qū)間震蕩態(tài)勢(shì)，讓希望出現(xiàn)更多上下波動(dòng)的基金經(jīng)理感到絕望。

一名要求匿名的對(duì)沖基金經(jīng)理表示：“當(dāng)原油價(jià)格限制在六美元區(qū)間內(nèi)時(shí)，你不能投入大量資金。”

一些基金表示，他們?cè)谄渌I(lǐng)域找到了機(jī)會(huì)，如跨期價(jià)差。跨期價(jià)差是指一對(duì)交割日期不同的合約之間的價(jià)差，其最近的波動(dòng)更大。

上周四，2017年12月美國(guó)原油期貨合約的交易價(jià)格，比2018年12月的合約價(jià)格略高，這種現(xiàn)象被稱作現(xiàn)貨溢價(jià)。

一名不愿透露姓名的對(duì)沖基金業(yè)內(nèi)人士表示：“時(shí)間價(jià)差和煉油利潤(rùn)最近的波動(dòng)幅度較大。進(jìn)行動(dòng)態(tài)交易，建立多頭和空頭頭寸的基金，能夠取得很好的業(yè)績(jī)。”（財(cái)富中文網(wǎng)）

譯者：劉進(jìn)龍/汪皓

Commodity hedge funds have dwindled in recent years as oil prices slumped, leaving only a handful of larger players, including Hall, who ran the Astenbeck Capital Management fund until deciding to close it following losses this year.

A number of funds bet heavily on an oil rally early in the year, boosting long futures positions to a record in late February, before oil went into a prolonged slump as global supply remained elevated despite cuts from OPEC.

Many commodity funds have struggled this year as oil stagnated and volatility fell, hurting bets on large back-and-forth fluctuations. According to Credit Suisse, CTA funds - which concentrate on futures - were down 2.8% in 2017 through the end of July, while Hedge Fund Research's commodity hedge fund index was down 0.9% through the end of July.

Betting on other spreads has worked better with refining margins increasing sharply this year, as heavy demand for distillates has boosted those margins by more than 50% in the last two months.

After remaining depressed for most of 2016, gasoline margins have also rebounded. U.S. refining margins rallied to the highest in nearly two years early this month.

“Refining margins are healthy worldwide and global demand is healthy,” said RCMA Asset Management Chairman Doug King, whose Merchant Commodity Fund runs some $190 million in commodities. That fund is down 12% on the year, however.

Oil dropped sharply in March, bringing down Hall along with others including Andurand Commodities Fund, which through the end of July had lost more than 15%, according to a source close to the firm.

Those funds did not respond to request for comment.

"Funds started the year at record length in futures,” said Matthew Perry, partner at energy-focused hedge fund Kronenberg Capital Advisors LLC. "That turned out to be devastating for most traders."

Hall's decline was most surprising, according to traders, given decades of history in the market. But in a late 2016 investor letter he said OPEC's deal to cut supply meant the cartel was going to be more heavily involved in setting prices, and was likely to be bullish.

Not all funds are doing poorly. A group of 12 energy hedge funds monitored by Eurekahedge are up 5.1% so far this year. It is unclear if these funds are included in other indexes.

In search of lost volatility

Volatility, as measured by the CBOE Crude Oil Volatility Index, has fallen in 2017. After two years of big price swings, the oil VIX has generally stayed below 30 in 2017, a level consistent with rangebound trading, which frustrates fund managers hoping for more up-and-down action.

“You can't put a lot of money to work when crude oil is trapped in a six-dollar range," said a hedge fund manager who could not comment on the record.

Some funds say they are finding opportunities in other areas, such as calendar spreads. These spreads measure price differences between pairs of contracts with different delivery dates, and they have been moving around more of late.

Last?Thursday, the December 2017 U.S. crude futures contract traded at a premium to the December 2018 contract briefly, known as backwardation.

“Time spreads and refinery margins have seen significant moves of late," said a hedge fund industry source who could not comment on the record. "The people who will do well trade dynamically and take long and short positions."