如今油价低迷，能源对冲基金如何赚钱？

近几年，随着原油价格下滑，不断有商品对冲基金倒下，只剩下几个规模较大的玩家，其中包括霍尔。但他所经营的Astenbeck Capital Management基金，由于今年的亏损，最终也决定关闭。

今年年初，许多基金押重注油价将会反弹，使多头期货头寸在二月末达到历史最高记录，但在那之后，尽管欧佩克达成了产量削减协议，但全球原油供应却持续增加，导致原油价格陷入了长期低迷。

今年，油价低迷和波动率下降，使押注大幅反复波动的基金损失惨重，许多商品基金处境艰难。据瑞士信贷统计，2017年截至7月底，专门从事期货交易的CTA基金下跌2.8%，而对冲基金研究的大宗商品对冲基金指数同期下跌了0.9%。

随着今年炼油利润的大幅增长，押注其他价差交易的结果要好得多，过去两个月，对馏分油的高需求，使炼油利润增长了超过50%。

2016年大部分时间持续低迷的汽油利润也有所反弹。本月早些时候，美国炼油利润涨至近两年的最高点。

RCMA Asset Management的董事长道格·金表示：“全球炼油利润和需求都非常健康。”他的Merchant Commodity Fund管理着约1.9亿美元的大宗商品。但该基金年比下降了12%。

3月份的原油价格暴跌，令霍尔和包括Andurand Commodities Fund在内的许多基金严重受挫。据知情人士透露，至7月底，Andurand亏损超过15%。

这些基金并未对置评请求做出回复。

能源类对冲基金Kronenberg Capital Advisors的合伙人马修·佩里表示：“今年的基金以创纪录的价格开始。结果这给多数交易员带来了毁灭性的后果。”

交易员们表示，霍尔的谢幕最令人意外，因为他在业内有数十年的经历。但在2016年年末写给投资者的一封信中，霍尔曾表示，欧佩克的产量削减协议意味着，该组织将更活跃地参与价格制定，因此未来很可能迎来看涨行情。

当然，并非所有基金都表现不佳。Eurekahedge跟踪的12只能源对冲基金，今年到目前为止上涨了5.1%。目前尚不确定其他指数是否包含这些基金。

寻找失去的波动性

CBOE原油波动率指数计算的波动率，在2017年持续下降。经过两年价大幅价格波动后，2017年的波动率指数基本上低于30，这表明市场处于区间震荡态势，让希望出现更多上下波动的基金经理感到绝望。

一名要求匿名的对冲基金经理表示：“当原油价格限制在六美元区间内时，你不能投入大量资金。”

一些基金表示，他们在其他领域找到了机会，如跨期价差。跨期价差是指一对交割日期不同的合约之间的价差，其最近的波动更大。

上周四，2017年12月美国原油期货合约的交易价格，比2018年12月的合约价格略高，这种现象被称作现货溢价。

一名不愿透露姓名的对冲基金业内人士表示：“时间价差和炼油利润最近的波动幅度较大。进行动态交易，建立多头和空头头寸的基金，能够取得很好的业绩。”（财富中文网）

译者：刘进龙/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."