三星石油交易所交易基金调整基准指数

据彭博社7月7日报道，由于未能追踪今年的油价暴跌和大涨，三星资管香港公司旗下规模6.26亿美元的原油ETF调整了基准指数。

总部位于香港的三星资产管理公司周一在一份声明中表示，该公司与道琼斯指数公司(Dow Jones Indices)合作推出了一个跟踪多月合约石油期货的新指数，以降低持有单月合约的风险。

声明称，一旦新的美元指数在8月份推出，单月期美元指数的权重最终将为55%，两月期美元指数为30%，三月期美元指数为15%。

自5月份以来，三星交易所交易基金(Samsung exchange-traded fund)一直落后于其基础指数，此前投资者纷纷涌入该基金，押注油价在4月份暴跌后反弹。据彭博社收集的数据显示，截至7月3日，该基金的资金池增长了84倍，达到6.26亿美元，成为香港增长最快的基金管理公司。

对于那些在4月份购买了这只基金——三星GSCI原油期货交易所交易基金(Samsung S&P GSCI Crude Oil ER Futures ETF)的人来说，他们的时机似乎是无可挑剔的。4月20日，纽约原油期货价格暴跌至- 40美元，原因是疫情和俄罗斯与沙特阿拉伯之间的价格战导致市场暴跌。自那以来，西德克萨斯中质原油的现货价格几乎发生了天翻地复的变化，上涨至每桶40美元左右。

三星无法追踪经济复苏情况，因为其经纪人不允许该基金增加石油期货风险敞口。该基金没有透露经纪人名字。因此，三星的管理层卖出了6月份的合约，买入了9月份的合约，后来又增加了10月份和12月份的合约。9月份的合约定价高于6月份的合约，这意味着该基金持有的合约较少，减少了上涨的风险敞口。

在市场恐慌加剧之际，三星在4月21日致股东的一封信中解释了自己的举动：2020年6月合约的价格大幅下跌，价格可能跌至零或负值。将采取"防御姿态"，在"特殊情况"下出售合约，以保护投资者。该公司举出了利弊得失:如果市场价格反弹，不利的一面是投资者可能无法享受持有2020年6月合约带来的任何好处。

截至7月2日，该基金今年已累计下跌78%，而其追踪的指数跌幅为66%。该基金在5月份任命了几名清算经纪人。

今年石油市场空前的波动给ETF和其他旨在让投资者轻松押注原油价格走势的产品造成了严重破坏。三星交易所交易基金和在纽约交易所的美国石油基金(U.S. Oil Fund)等基金都改变了策略，以降低油价再次跌破零的风险。

王佳晶 摘译自 彭博社

原文如下：

Samsung’s $626 Million Oil ETF Changes Index After Missing Rally

Samsung Asset Management Hong Kong Ltd. is changing the underlying benchmark for its oil ETF after it was unable to track the current index following a dramatic sell-off and subsequent rally in crude prices this year.

Samsung Asset said it worked with Dow Jones Indices to come up with a new index that will track multiple contract months for oil futures to mitigate the risk from holding a single-month contract, the Hong Kong-based money manager said in a statement Monday.

Once the new U.S. dollar index is rolled out in August, it will eventually be weighted 55% to the one-month forward index, 30% to the two-month index and 15% to the three-month, according to the statement.

The Samsung exchange-traded fund has trailed its underlying index since May, after investors poured into it to bet on a rebound in oil prices after the April plunge. The ETF’s money pool jumped 84 times to $626 million as of July 3, making it the fastest-growing money manager in Hong Kong, according to data compiled by Bloomberg.

For those who bought the fund -- the Samsung GSCI Crude Oil ER Futures ETF -- in April, their timing looked to be impeccable. Oil futures plunged to -$40 in New York on April 20, as the pandemic and price war between Russia and Saudi Arabia sent the market into freefall. The spot price for West Texas Intermediate has literally turned upside down since then, rallying to about $40 a barrel.

Samsung was unable to track the recovery because its broker didn’t allow the fund to increase its exposure to oil futures. The fund didn’t name the broker. As a result, Samsung’s managers sold out of the active June contract and bought contracts for September, later adding ones for October and December. The September contracts were priced higher than those for June, meaning the fund held fewer of them, reducing their exposure to the ensuing rally.

In a letter to shareholders dated April 21, amid the heightened market panic, Samsung explained its move.

“Over the course of the past day, the price of June 2020 contracts has dropped substantially,” the fund wrote, adding it could drop to zero or negative.

The fund said it was taking a “defensive position” to protect investors by selling the contracts in these “exceptional circumstances.”

It acknowledged the trade-off for the move: “The downside is that investors may not be able to enjoy any upside of holding June 2020 contracts” if the market price rebounds.

That’s exactly what happened. As a result, the fund has posted a decline of 78% this year as of July 2, compared with a 66% drop in the index it tracks. The fund appointed several clearing brokers in May.

Unprecedented oil-market volatility this year has wreaked havoc on ETFs and other products designed to give investors an easy way to bet on the direction of crude prices. The Samsung ETF and the U.S. Oil Fund, which trades in New York, are among those that upended their strategies to reduce the risk of getting wiped out by another plunge below zero.