GM35: The Drivers of the Commodity Markets ft. Nicky Ferguson
发布时间 2023-03-01 13:00:00 来源
Options will become kind of the weapon of choice for a lot of the industry and we saw that very clearly last year where we had absolutely enormous positions in the options market, especially in crude, but a lack of people trading futures. And obviously you need the futures market to move, to put those options positions in the money. And we just had a disconnect, so everyone was sitting waiting on their options, but no one was buying the futures to actually make that happen to them. I think we're going to get a few more contradictions like that and staying on top of where these flows and positions are sitting, whether it's in futures or options, will be really key kind of going forward to understand where those constraints are.
选项将成为很多行业的首选武器，去年我们在期权市场上有绝对巨大的头寸，特别是在原油，但缺乏交易期货的人。显然，你需要期货市场来推动市场，让选项头寸变得有价值。我们遇到了不协调的情况，每个人都在等待他们的选项，但没有人购买期货来实际让他们变成有价值的头寸。我认为我们还会遇到几个这样的矛盾，在掌握这些流动和头寸的地方，无论是在期货还是期权，将是非常关键的，以了解这些限制在哪里。
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想象一下和世界上最杰出的交易员共度一小时。想象了解他们的经验、成功经历和失败教训。不用再想象了。欢迎来到“顶尖交易员非正式访谈”，这里是您可以向全球最好的对冲基金经理学习，让您的经理、尽职调查或投资职业更上一层楼。在开始今天的对话之前，请记住两件事。我们将讨论有关投资表现的所有内容都是关于过去，过去的表现并不能保证或暗示未来的表现。因此，请了解所有投资策略都存在重大的财务风险，并且在做出投资决策之前，您需要向投资经理请求并了解其产品的具体风险。
Here's your host, veteran hedge fund manager, Neal's Kostrop Larson. Welcome and welcome back to another conversation in our series of episodes that focuses on markets and investing from a global macro perspective. This is a series that I not only find incredibly interesting as well as intellectually challenging but also very important given where we are in the global economy and geopolitical cycle. We want to dig deep into the minds of some of the most prominent experts to help us better understand what this new global macro driven world may look like and we want to explore their perspectives on a host of game-changing issues and hopefully dig out nuances in their work through meaningful conversations. So please enjoy today's episode hosted by Harry Krissmann.
你好，欢迎收听今天的节目。我们的主持人是资深对冲基金经理Neal's Kostrop Larson。这是我们的一系列节目中关注全球宏观视角市场和投资的话题。我不仅非常喜欢这个系列节目，也觉得这个话题非常重要，因为我们正处在全球经济和地缘政治周期的关键时刻。我们想深入了解一些专家的想法，帮助我们更好地理解这个新的全球宏观驱动的世界，并探索他们在一系列具有重要意义的议题上的观点，希望通过富有意义的对话挖掘出他们工作中的微妙差别。所以，请欣赏今天由Harry Krissmann主持的节目。
Thanks very much for the introduction, Neal's. My guest today is Nikki Ferguson, founder of the Research firm It's Not a Science. I am in Basel, Switzerland. It's a pleasure to have you on, sir.
Pleasure to be here, Harry. Thanks very much. Now I don't usually go too far into people's backgrounds unless they wish to but I noticed that you worked at some major energy companies over the years. Maybe you can go into that a little bit and tell us how you came out on the other side running a research firm.
Oh, yeah, sure. So you know, after my kind of PhD, kind of looking for a job and I got kind of a headhunter to do what I wanted to do. So I started off on the systematic desk working with a great portfolio manager and we looked at everything in energy and it was how to put together kind of more of a systematic portfolio but using not just price based resources but also fundamentals and really trying to determine how do traders look at markets, what is more important for each individual market and can we take a data driven approach to determine the optimal way that that should be looked at systematically, you know, is that relationship persistent enough to trade off systematic signals and we kind of built a portfolio across everything nearly in energy and that was very successful for a couple of years.
感谢你的介绍，Neal。我今天的嘉宾是It's Not a Science研究公司的创始人Nikki Ferguson。我现在在瑞士巴塞尔，非常高兴能有你的到来，先生。
非常高兴在这里，Harry。非常感谢。通常我不会深入了解他人的背景，除非他们希望如此，但我注意到你在过去曾在一些大型能源公司工作。也许你可以谈一下这方面的经历，告诉我们你是如何转而经营研究公司的。
哦，是的，当然。你知道，在我拿到博士学位后，我开始找工作，我让猎头为我找到了我想做的工作。我从系统交易部门开始，在一个很棒的证券组合经理的指导下工作，我们涉猎了能源领域的一切，旨在构建更加系统化的投资组合，不仅使用基于价格的资源，还使用基本面因素，并真正努力确定交易员看待市场的方式，对于每个单独的市场来说什么更为重要，我们是否可以采用数据驱动方法来确定最优的系统化方法，这样做是否能够交易出系统信号背后那种持久性关系，我们几乎横跨能源领域构建了一个投资组合，这在接下来的几年里非常成功。
And then I got poached within to move to Geneva to the proxies there and you know, I would describe that approach as maybe a wear discretionary trading using a lot of very model driven to determine lots of signals and classifications and how we think about markets and really thinking about the mechanism and trying to determine all the little individual kind of bits in markets, you know, in terms of participant actions, in terms of flows, how can we use more quantitative tools to classify them so that we're aware of them and we can embed them into our discretionary decision making process and maybe we determine how the weights and how to weigh their information about using experience and in some more discretionary trading decisions.
然后我被挖走去日内瓦做那里的代理，你知道，我会把这种方法描述为使用很多模型驱动来确定大量信号和分类的离散交易，并思考市场机制，试图确定市场中所有的个体细节，例如参与者行动和流动性，我们如何使用更多的定量工具来分类，以便我们意识到它们，并将它们嵌入我们的离散决策过程中，也许我们可以决定如何权衡他们的信息，并在进行更多离散交易决策时利用经验。
Okay. When you were running the systematic piece or when you were involved in that, what sorts of fundamental inputs did you find valuable? I think it varies across assets and across time and I think that's still very true today.
好的。在你参与制定那个系统的时候，你发现哪些基本输入是有价值的？我认为这取决于不同的资产和时间，今天仍然是非常真实的。
You know, markets kind of like natural gas tend to be a lot more fundamentally driven than financially driven. But when you're talking about oil, you know, oil is a risk asset so you need to approach it slightly differently and I think, you know, the consternation of many traders out there, you know, oil futures market does not always reflect the oil fundamentals. So your approach has to vary.
你知道，像天然气这样的市场往往更多地受基本面因素的影响，而不是金融因素的影响。但是当你谈论石油时，你知道，石油是一种风险资产，所以你需要稍微不同的方法来对待它。我认为，许多交易员感到困惑，因为石油期货市场并不总是反映石油的基本面。所以你的方法必须有所变化。
In natural gas, you know, it's a very data driven, very quick to price fundamental market and understanding the small changes of that interaction in the system matter a lot more than the oil where a lot of the fundamental data is slow moving and also lagged when it comes to market. Although that is changing today.
在天然气市场中，你知道的，这是一个非常数据驱动、非常快速地定价的基本市场，了解系统中相互作用的微小变化比石油更加重要，因为很多基础数据在市场上是缓慢移动的，并且落后于市场。虽然今天这种情况正在发生变化。
Yes, it really varies, I think. Well, let me not hijack your biography so maybe you can continue on there.
是的，我认为情况确实是各不相同的。嗯，让我不要插手你的传记了，也许你可以继续写下去。
Sure. Then, you know, I moved to BKW which is a great firm. It probably flies under the radar a little bit based out of burn in Switzerland. They have a kind of great team there and I spent basically that period, you know, trading through the pandemic, you know, trading flat-priced oil and, you know, and especially during that period, market flows were so much more prominent, you know, participant constraints around those flows. You know, and I just sat during that period thinking of all the things I wanted to kind of build when I finally had time to do some research if you like. And a lot of the ideas I got for my company were, you know, during that time.
当然。那么，你知道，我后来加入了BKW这家非常棒的公司。它可能在瑞士伯尔尼总部的情况下并不太引人注目，但那里有一个很棒的团队。在那段期间，我基本上通过疫情期间的交易，交易平价石油，特别是在那段时间，市场流动性更为显著，参与者对这些流动性的限制也更多。我一直坐在那里，想到了自己最终有时间进行一些研究时想要建立的所有事情。我的公司很多想法都是在那段时间里得到的。
What years were you at BKW? 2000 and, I want to say, 18 to 21.
你在BKW上学哪几年？我记得是2000年，然后可能是18到21岁的时候。
And so you went through March 2020, obviously, BKW.
所以，显然，BKW，你经历了2020年3月。
Yeah, absolutely. That was a very interesting time. And I think that, you know, the stresses of managing a flat-priced dominant portfolio during those years. It was interesting. It really had to be on your toes. And I think, especially during those times, the market drivers were changing so quickly from week to week.
是的，完全正确。那是非常有趣的时期。我认为，在那些年份里管理一个价格稳定的主导投资组合是一种压力。这真的需要保持警觉。我认为，特别是在那些时期，市场驱动因素从一周到另一周改变得如此之快。
And we had huge moves between the different relevant participants in markets because of the volatility conditions were also structurally driving changes across markets. And then obviously with large changes in fundamentals, the commercial side of the business was also changing a lot.
因为市场的波动情况也在结构上驱动着市场的变化，所以不同相关参与者之间有很大的变动。显然，由于基本面的大幅变化，商业的一面也在很大程度上发生了改变。
So, you know, you almost got a decade of trading in two years with all these structural changes. I think a lot of people age quite quickly over those years, especially on a commodity desk. Yeah.
那么，你知道，所有这些结构性变化让你在两年内获得了近十年的交易经验。我认为在商品交易桌上，很多人会在这些年里迅速衰老。是的。
Very good. And then, Starcraft, is that the last one?
非常好。那么，星际争霸是最后一个游戏了吗？
Yeah, that was a really great place to be. And I think when I joined Starcraft, I left a great team at BKW and I almost realized that's the time to start my own company. So, it was a bit unfair once that craft have such a short stint there. But it was the pull to actually get back into research and trying to deliver a lot of these kind of things I'd learned and thought about over the years, two more clients was just too strong to resist in the end.
是的，那真是一个很棒的地方。我觉得当我加入星际争霸时，离开了一个很棒的BKW团队，我几乎认识到是时候开始自己的公司了。所以，在那里呆的时间很短，有点不公平。但是，最终我还是被回归研究并尝试分享这些多年来学到的和思考的东西给更多客户的想法所吸引，这个想法太强烈了，实在是难以抗拒。
It's not that common for people to start off as a PM or in trading and then to move on to research. Or is it? Am I mistaken here?
人们不太会从项目经理或交易员起步，然后转向研究工作。或者是我的认识有误？
I wouldn't say it's uncommon. I think I did get a few questions when I started the firm of why you're not doing this inside a trade shop. And I think when you and I have thought about that as well, but you don't have that complete freedom to do original research always. You're at the mercy of your paymasters in the end about what's relevant any given time.
我不会说这很少见，当我开始公司的时候，确实有人问为什么不在贸易店内做这个。我认为我们自己也曾考虑过这个问题，但你不总是有完全自由做原创研究。最终你还是要取决于你的雇主，他们认为什么是当前有关的。
And while I do try to make my research very relevant to what is actually pricing and important for traders, having kind of complete freedom over what you work on, what's interesting, how you do it, and also you're not constrained by a use case. Because as a researcher generally in a trading firm or hedge fund, you're working for a PM who has their own idea and needs and they don't always align with what you want to do.
虽然我确实尝试让我的研究与交易者实际关心的事情密切相关，但在工作方面，我有完全的自由，可以选择研究什么、什么有趣、如何进行研究，并且不受使用场景的限制。因为作为一个研究人员，通常在交易公司或对冲基金中工作，你为一个有着自己想法和需求的PM工作，他们的想法并不总是与你想要做的事情一致。
Perfect. Okay. Well, with that, there are a few major categories I want to go into and I read a few of the research papers that you've written and I highly recommend them if members of the audience can contact you or access them.
好的。那么，有几个主要类别我想要探讨一下，我读了你写的几篇研究论文，如果听众成员能够联系你或者获取到它们，我强烈推荐。
The first thing I wanted to talk about was positioning risk, which I think is an important theme in your work that's something that I've been interested in in other markets. And I guess the first question is who are the major players in the energy markets and how do they impact market and how do they impact prices?
我想谈论的第一件事是风险定位。我认为这是您工作中一个重要的主题，我也对其他市场的这个问题有兴趣。我猜第一个问题是能源市场的主要参与者是谁，他们如何影响市场和价格？
I mean, so the major players are split between commercial entities, so the producers, trading houses or refineries, anyone that's transforming the raw commodity. And then you have the non-commercial elements which are, you could classify split between systematic and more discretionary participants.
我是说，主要的参与者被分为商业实体，也就是生产商、交易公司、精炼厂，以及任何能将原材料转化的人。同时，你还有非商业元素，它们可以归为系统性参与者和更多是自由裁量性质的参与者。
So CTAs are a major component, risk parity funds are a large component and your general kind of hedge funds that are active, some commodity specific, some macro, but commodities are traded in a lot of places now.
因此，CTA是一个重要的组成部分，风险平价基金是一个大组成部分，还有一些一般的对冲基金，它们是积极的，一些专注于商品，一些宏观的，但现在商品在许多地方交易。
On the commercial side, I get a bit confused though because don't these entities trade as well? Do they have trading desks? Absolutely. Where there's proper activity going on? Absolutely. And I think a lot of that prop activity is also leveraged around their physical commercial activity as well.
在商业领域，我有些困惑，因为这些实体不也在进行交易吗？他们有交易桌吗？当然有。有活动进行时也会有。我认为很多的交易活动也是基于他们的实际商业活动进行杠杆操作的。
And I think if you look at, say, the new Miffed reports that have come out in the last few years, you can see that their generally is a fairly big correlation between the, let's say, the non-headge book and the hedge book. You could call it a speculative book, but it's not always the same thing.
我认为如果你看看最近几年发布的新的Miffed报告，你会发现它们通常在非对冲账单和对冲账单之间有相当大的相关性。你可以称其为投机账本，但它并不总是指同一件事情。
I mean, a lot of the times they do go in the same direction and I think that's probably right. I mean, if you have a strong physical view and you see your physical traders taking large positions as a derivatives trade around those positions, you have a much clearer insight into how the real fundamental markets are actually operating, which it's a very good edge.
我是说，很多时候他们确实朝着同一个方向前进，我认为这可能是正确的。我的意思是，如果你有强烈的物理观点，并且你看到你的实物交易员在衍生品交易中持有大量头寸，那么你对真正的基本市场运作有更清晰的洞见，这是一个非常好的优势。
Well, that's a fascinating comment. It is a big edge, but I'm thinking now as just a finance guy. Wouldn't that be highly undiversifying to be doing the same stuff on your prop book as you are in the course of your commercial hedging activities?
嗯，这是一个很有趣的评论。这确实有一定的优势，但我现在只是考虑财务方面。在您的自营交易账户和商业对冲活动中做同样的事情，难道这不会高度缺乏多样性吗？
That's an interesting question from the finance perspective, because in general, finance and trade, everyone's talking about diversification and getting rid of risks. But when you think about how people trade commodities, most people are almost traders, are asset specific specialists. So essentially, commodity traders are trading something with a volatility of a single stock and zero diversification or very little.
从金融角度看，这是一个有趣的问题，因为一般来说，金融和贸易都在谈论多样化和降低风险。但是当你考虑人们如何交易商品时，大多数人几乎是交易员，是特定资产的专家。因此，实质上，商品交易员交易的是一种与单一股票波动率相似的东西，没有或者只有非常少的多样化。
Got it, but they might dampen the risk by trading spreads, calendars, spreads or is that the other? Occasional arbitrage and cracks and things like that. Yeah. That's kind of the corrective side of trading and then you have a more directional side of trading.
明白了，不过他们可能会通过交易价差、日历价差或者其他方法来减轻风险。偶尔进行套利和利用缝隙等等。是的，这是交易中的纠正性质。而直接性质的交易则更加明显。
Got it. So then jumping again, if we look at some of the stuff that you have looked at, I'm sure far more than I have, such as commitment of traders, rewards and so on, you don't need to be too worried about what the commercial users are doing in various parts of their business because they tend to overlap.
明白了。那么，如果我们再来看看你所关注的一些事情，比我看得多得多，比如交易者的承诺、奖励等等，你不需要太担心商业用户在他们业务的各个部分正在做什么，因为它们往往会重叠。
Is that kind of what you're suggesting that makes the analysis a bit easier? I wouldn't say completely, but I would say, you know, when you look at the outright positioning, the commercials are clearly the largest positions across all markets. But when you look at actually at the standard deviation of the position changes, speculative positions tend to be just as large.
你是说这种方法能使分析变得更容易一些吗？我不能说完全是这样，但当你看到明显的头寸时，广告头寸在所有市场中显然是最大的。但当你实际上看到头寸变化的标准偏差时，投机头寸通常也同样大。
So when you're thinking about actually what matters for pricing or price impacts of positional changes and flows, you know, the speculative side of the business is almost just as important as the commercial side of the business. I mean, this is not the same in every asset, but for things like crude and the energy space, the speculative side of the business is just as important.
当你思考定价或价位变动的影响因素时，了解商业方面和投机方面几乎同等重要。当然，这并不适用于所有资产，但对于原油和能源行业，投机方面同样重要。
And the commercial side of the business, the positions are predominantly moving with fundamentals and inventory management, things that you can see live and compared to the size of their positions, it's a slow moving process. I mean, it hasn't been during the COVID years when we've seen big swings in supply and demand and inventories where these positions had to change a lot, but many of them are linked to inventory management. So once you've kind of understood that from the inventory side, a lot of the focus can actually be more on the speculative side.
商业方面的业务，职位主要是根据基本面和库存管理进行变动的，这些是可以实时看到和比较的，相对于它们的规模而言，这是一个缓慢的过程。我的意思是，在COVID疫情期间，我们看到供需和库存有很大的波动，这些职位必须进行大量变动，但其中许多与库存管理有关。一旦你从库存方面理解了这一点，许多的注意力实际上可以更多地放在投机方面。
Got it. So in the absence of fundamental shocks, if you're in a regime where there are no fundamental shocks, let's say, I know that's backward looking, then you can focus a lot more on flows or repositioning of specs. Yeah.
明白了。因此，在没有基本冲击的情况下，如果你处于没有基本冲击的制度中，那么你可以更加关注资金流动或交易者的重新定位。是的。
Think about it this way, commodity fundamentals are generally fairly slow moving. Financial markets are very fast moving. So you can use long-term commodity fundamentals of views as, let's say, a forward anchor point, but the price path that you take to get there is more determined by financial flows than it is by anything else.
这么想吧，商品的基本面通常变化缓慢，而金融市场则非常迅速。因此，您可以将长期商品基本面的观点作为一种前瞻锚点，但您达到该点的价格路径更多地受金融流动影响而不是其他任何因素。
And I think that that's what leads to a lot of difficulty for traders in markets, because most traders, not all, but most tend to be very fundamentally focused. And that takes a lot of time and energy to get a correct fundamental view. And they kind of tend to miss the more financial driven elements of commodity markets. And which at times can be very big and significantly bigger than the fundamental or physical side of the business.
我认为这就是导致很多交易者在市场上遇到困难的原因，因为大多数交易者，虽然并非全部，但大部分都倾向于非常注重基本面。这需要花费大量时间和精力来获得正确的基本面观点。同时，他们倾向于忽略商品市场中更多的财务驱动元素，这在某些时候可能是非常重要的，甚至比实体业务的基础部分还要重要。
Can you do fairly well with no knowledge of the fundamentals? Do you have a perception on that, view on that? I think you can. I've never done a fundamental balance in my career. As involved in commodity trading for seven or eight years and not once have I ever done a fundamental balance. I am aware, though, of when fundamentals are pricing and when they're not in a general sense of where the fundamentals should be.
你对没有基础知识还能做得相当不错怎么看？你有什么想法或看法吗？我认为可以。我在商品交易领域工作了七八年，从未做过基础平衡。但我知道基础知识在哪些方面定价，以及哪些方面不是。
So it's not as if you sit with a bag over your head or in a box trading without any knowledge of what's actually pricing in markets. And often you can see by the pricing actually what fundamentals are doing. So without seeing what stocks are in China or what the flows are between two different locations, kind of benchmarks, you can infer a lot of it from physical market pricing.
因此，并不是说你戴着一袋子或者在一个盒子里做交易，完全不知道市场上实际的定价。而且通常你可以通过价格实际上看到基本面的情况。因此，即使不知道中国股市的股票或者两个不同地点之间的交易流向，也可以从实际的市场定价中推断出很多信息。
If you have, let's say in oil, if you have a strengthening of structure in the Dubai kind of benchmark, you can infer that fundamentals are getting tighter in that market. Now, it's not perfect. Obviously, and the pricing tends to lag. But there are things that you can infer fundamentally from certain structures when you look at pricing in markets. So the more granular regional flat price movements, if you assume those are more fundamentally driven, which they probably are.
假设你持有石油，比如在迪拜这种基准市场中，如果你看到结构在变得更强健，你就可以推断这个市场的基本面正在变得更加紧张。当然，这不是完美的，而且定价往往滞后。但当你观察市场中的定价时，可以从某些结构上推断出其基本面。所以，如果你假设区域性的现货价格波动更多地受到基本面驱动，那么这个假设可能是正确的。
And if you also assume, which I'm sure is true, that the futures markets operate with the lag, the standardized contracts operate with the lag, then the degree to which they're moving together is some kind of basis. Some kind of basis is a measure of the degree to which fundamentals are driving the market. I guess you could infer it like that.
如果你也认为期货市场和标准化合约运作有延迟，我相信这是真实的，那么它们同时移动的程度就是某种基础。某种基础是衡量基本面驱动市场的程度的一种方式。我想你可以这样推断。
I see. So if the futures are in the short term detached from the physical prices, you can say that that's a flow driven market, whereas if they're moving in tandem. I think another way you could look at it is, if you think about, let's say, a more fundamentally driven trader, you're probably utilizing more time spreads, let's say, or a location or arms or transformational spreads, such as, you know, cracks, trade margins and such. So the majority of the trading should be driven by those, let's say, commodity transformation spreads. So that's a time location or product.
我明白了。如果期货市场短期内与实际价格脱离开来，你可以说这是一个由流程驱动的市场。如果它们前后同步移动，那么就可以认为市场是以正常的方式运作。如果你考虑一个更基本面驱动的交易者，你可能会使用更多的时间差价、地点或转换性价差，例如石化产品的裂解差价、贸易利润率等。所以大部分交易应该由那些商品转换价差来驱动。这就是一个时间、地点或产品的价差。
When financials tend to be more important, it should be more flat price driven market. What you can actually do is, you know, when you look at the relative volumes traded between these two instruments, you can kind of infer that way. And that is actually very clear. When CTA is a dominating market, you have a lot more flat price, only driven trading. And when fundamentals tend to become more important, or let's say, changes in fundamentals are becoming more important to the market, you'll find that spread different trading picks up. And you can isolate these volumes quite easily.
当财务数据更加重要时，市场应该更倾向于以平价为导向。您可以通过比较这两种工具交易的相对成交量来推断市场方向。这是非常清楚的。当CTA市场占主导地位时，你会发现更多的是以平价为导向的交易。当基本面开始变得更加重要，或者说基本面变化开始对市场变得更加重要，你会发现价差交易变得更加活跃。您可以很容易地分离这些成交量。
I think Charlie McGallicott, I may have butchered his name, Nomura, talks about CTA positioning a lot. And so, and I'm sure you know him. He may well have a CTA model on his desk. Is that the sort of thing you look at, too, where you'll think, if I were to play building a box standard trend following system, let's say, and it traded all the major energy markets, I can tell when these players are fully loaded on the longer short side, and maybe that heralds a potential reversal or something like that. Is that the sort of thing you'll look at?
我认为Charlie McGallicott会经常谈到CTA的定位。我可能把他的名字搞错了，不过你肯定认识他。他很可能在自己的桌子上有一个CTA模型。你有没有这样的东西？比如说，如果我想要建立一个标准趋势跟踪系统，它可以交易所有主要的能源市场，我可以看出这些交易者是在多头还是空头，这可能预示着潜在的趋势反转或类似的事情。你会考虑这种情况吗？
Yeah, absolutely. And it's also very regime dependent. Yeah, we do build essentially a full CTA operationally and turnally to back out the weights or portfolio weights and hence positioning in each of your assets. And it's very dynamic because when you're doing kind of a standard role parity kind of optimization with leverage, you'll get out these varying weights.
是的，完全正确。这也非常依赖于政策。是的，从操作和轮换的角度看，我们基本上构建了完整的CTA，以便回溯权重或资产组合权重，以及每个资产的定位。而且它非常动态，因为当您使用标准的双向杠杆优化时，会得到不同的权重。
And the kind of, when you're looking really precisely at the flow and kind of what we do is try to predict forward flow in lots for each asset, which is it's another challenge altogether. And then you have to think about, okay, the liquidity of each asset changes, understanding the participation ratios of each asset. You cannot use, let's say, the same leverage in heating oil contracts as you do in Brent Crude.
当我们非常精确地看待资产流动情况时，我们试图预测每种资产流动的情况，这是一个完全不同的挑战。然后你必须考虑每种资产的流动性变化，理解每种资产的参与比率。你不能像用布伦特原油合约那样使用相同的杠杆来进行供暖油合约的交易。
So you have to understand how that affects, how big that position can be, and sometimes then how long it takes CTAs to flip positions because Brent is a lot more liquid than let's say copper. So it's going to take you a lot longer to flip the position of similar size. You know, you're not just going to go and do it all in one go, it gets slides through several days.
所以你必须了解它会如何影响，这个头寸有多大，有时候CTA需要多长时间来翻转头寸，因为布伦特比铜流动性更高。因此，要翻转相似规模的头寸需要更长的时间。你知道的，你不会一口气完成这件事，需要在几天内逐步完成。
So the pricing impact becomes persistent because the flows are spread out depending on liquidity and participation ratios. So getting down into the nitty gritty, you can kind of then forecast how much flow you expect to see each day. And there are ways to slowly kind of validate that.
因此，定价影响会变得持久，因为流量会根据流动性和参与比例进行分散。因此，深入了解细节后，您可以大致预测每天预期看到多少流量。而且有方法可以逐渐验证这一点。
You can't get perfect estimators. I mean, you get some funds trading Asian hours, some trade predominantly on the US open or US equity open when all futures contracts are going live. So you see the impacts kind of all at once across markets. You get some little trade. You notice spikes in volume, you know, every 15 minutes on the 15 minutes and spikes at the close as well where these all the different, you know, CTA is a program to trade. So it's, it's never like perfect where you actually clearly see it, but you can use classifiers to understand and verify, let's say, that these models are actually pushing excess volume in the direction you expect at certain price levels.
你不可能得到完美的估计器。我的意思是，你在交易亚洲时段赚到一些资金，有些人则主要在美国开市或美国股票开盘时交易，当所有期货合同都开始交易时，你可以同时看到市场的影响。你进行一些小量的交易，你会注意到交易量的峰值，你知道每15分钟一次，并且在收盘时也会有峰值，这些都是不同的CTA交易程序。因此，它永远不会是完美的，你可以使用分类器来理解和验证，比如说，这些模型实际上会在特定价格水平上推动超额交易量，使其按照你的预期方向变化。
Perfect. Is it fair to say that risk parity operates more slowly or do lag to trend following? Absolutely. I think risk parity is one of those, it's kind of like your silent whale in the markets where most of the time you don't notice that they're there because they're using a lot longer volatility kind of optimization. You know, so CTAs are a lot more short term volatility and you have to, you know, if you think about how strategies have changed over the last, let's say, 10, 15 years in CTA kind of strategies, you know, going back pre financial crisis, probably, you know, maybe some of the optimal lookbacks for CTA strategies, maybe going out to 12 months. And these days, it's a really a lot, a lot shorter.
“可以说风险平价运转比趋势追踪更缓慢吗？”是的。我认为风险平价是市场上那些无声的鲸鱼之一，因为它通常使用更长的波动率优化，所以你不会经常注意到它的存在。相比之下，CTA更加关注短期波动率。您知道，如果您考虑CTA策略在过去10年或15年中如何改变，也许您会发现它们在金融危机之前的最优周期可能是12个月，而现在则大大缩短了。
If you think the optimal probably look back, even just on the sharp ratio of basis in Brent Crude over the last decade is around one month. So it's, it's really changed a lot. So, you know, CTAs are really short term vol optimizers to get into those positions because the moves are happening quicker and risk parity, you know, you're talking somewhere between a 200 day and a one year kind of look back on trading day basis for volatility. So you can almost predict when, if you knew what the look back window was for the volatility measurement for a risk parity fund or for the aggregation of the funds, you might be able to say when they would be forced to rebalance and use that as a guide.
如果你认为最优的可能性是回望，即使仅仅基于布伦特原油价格在过去十年中的尖峰比率，也大约是一个月。所以，它真的变化很大。所以，你知道，CTAs是真正的短期波动率优化器，因为这些行动发生得更快，而风险平价，你正在谈论的是一个200天到一年的交易日基准的波动率回顾。因此，如果你知道对于风险平价基金或基金聚合的波动率测量的回顾窗口，几乎可以预测何时他们将被迫进行再平衡并将其用作指南。
Absolutely. And marginal, marginal flows. And if you take the situation that we have today, you know, last year, we had the impact of the Ukraine war coming through the market. We also had a big distillate shortage last summer, which also pushed a lot volatility through the crude market in July. And then also the bond kind of market crisis, particularly with guilt coming into the end of the year. And so all that kind of volatility is then just slowly rolling out of these risk parity portfolios. We've already lost probably most of the February and March impact of the Ukraine war from last year. And risk parity is certainly starting to relever, particularly into crude.
当然。而且是极为微小的波动。如果说我们今天的状况，可以看到去年的乌克兰战争影响了市场。去年夏季，也有大量馏分短缺，导致七月份原油市场的波动相当大。还有，特别是英国国债在年底时，债券市场也出现了危机。所以所有这些波动都是慢慢地从这些风险平衡组合中逐渐消失。我们已经失去了去年二月和三月乌克兰战争带来的大部分影响。而风险平衡组合显然正在重新授信，尤其是在原油方面。
And you know, in another six to eight weeks, a lot of that volatility that we saw last July is also going to start to roll out of that calculation. So the Brent weight or the weight in, let's say, more energy products in these portfolios will start to go up. And also when you look at risk parity, the portfolio correlations have started to come down quite significantly in the last two months. And that means that the in follow through impact on portfolio volatility as a whole is starting to come down. So if you think, you know, as a benchmark that risk parity is kind of levered to a portfolio volatility target of 10%, and for most of the last decade we've been bumbling along somewhere around 4%, 5%. You know, you employing, let's say, 100% leverage on top.
你知道，在接下来的六到八周里，我们在去年七月份所看到的许多波动性也将开始从计算中滚出。所以，在这些投资组合中，布伦特重量或能源品类的重量会开始增加。同时，当你看到风险平价的时候，投资组合之间的相关性在过去两个月里已经显著下降。这意味着对整个投资组合波动率的跟随影响也开始降低。所以，如果你认为风险平价是以10%的投资组合波动率目标为基准的，则在过去的十年中，我们一直在4%至5%之间浮动。你知道，你需要在上面使用100%的杠杆。
And now you've essentially last year delivered all of these funds. And now you're starting to re-level. So you're going to have this double impact of energy market optimally gaining from volatility rolling out of that portfolio in the next two months. And portfolios generally re-leveling as correlations come down and volatility comes down. Jumping around slightly, Nat Gas has been the poster child of Hyval. I don't know, peaked over $9 in mid 2022. It's down to about $230, $240. Now, at least Henry Hubb, to what extent was that flow driven?
现在你基本上已经去年提供了所有这些资金。现在你开始重新平衡。所以你会有这种双重影响，即能源市场从波动性中获得最佳收益，接下来的两个月中，这种影响会从投资组合中滚出。随着相关性和波动性降低，投资组合通常会重新平衡。稍微跳跃一下，天然气一直是Hyval的代表。我不知道，2022年年中达到了9美元的峰值，现在已经回落至230美元到240美元左右。现在至少亨利・哈伯（Henry Hubb）受到了多少资金流入的影响？
And to what extent could one formulated bullish view based on the notion that Vol cannot sustain itself at these levels indefinitely? Yeah. I mean, in that gas vol is coming down. I think a lot of the move that we have seen, let's say the beginning of the move to come down was fundamentally driven. You know, Nat Gas is a fundamentally driven market. And whether you're taking the signals from European gas now as markets become a lot more globally integrated, and the reason we had a spiking gas prices was coming out of Europe. But let's say I think the move this year in US natural gas has been a lot more flow driven.
一个人是否可以基于这样一个想法，即波动率在这个水平上无法无限期地维持下去，来制定看涨的观点？是的，我的意思是，天然气的波动率正在下降。我认为我们看到的许多走势，比如开始下降的走势，是基本面驱动的。你知道，天然气是一个基本面驱动的市场。随着市场变得更加全球化，无论你是从欧洲天然气还是其他方面获取信号，我们之前遇到的高企的天然气价格是来自欧洲的。但是，让我们假设，我认为今年美国天然气的走势更多地受到流动性的驱动。
We haven't seen major position changes from any other major participants other than, let's say speculative money. And we've seen a drop basically from $4 to let's say nearly $2. We reached earlier this week that's predominantly, let's say, CTA driven. I mean, these positions are getting bigger, it's mechanical selling into the market. We have seen more discretionary traders, they're still short, so they are profiting from this. But on the other side of this trade, we've seen ETF spying the biggest ever natural gas position in outright lots. I think, at least over the last decade, if not longer. And if you go on Twitter these days, you see people are getting quite excited about trying to buy the dip in natural gas and using the big US listed ETFs to do so. Over 100,000 lots, it's significantly large position for that particular market. And given where natural gas, a US natural gas particular liquidity is, we're at multi-multi-year low in terms of trading liquidity in that market. So any kind of mechanical selling is just having an outside influence there.
我们没有看到其他主要参与者除了投机资金外有重大的持仓变化。我们看到价格从4美元下跌到接近2美元。本周早些时候，这主要是由CTA驱动的。这些头寸正在变得越来越大，是机械性的卖出市场。我们看到更多的自由交易者，他们仍然是观望状态，所以他们从中获利。但在这项交易的另一面，我们看到ETF在量方面达到了有史以来最大的天然气头寸。至少在过去十年，如果不是更长的时间里都没有这样的事情发生。如果你现在在Twitter上看看，你会发现人们都在尝试买入天然气的下跌行情，并使用美国上市的ETF进行投资。超过100,000单位的头寸是这个市场来说相当大的。考虑到天然气的美国特定流动性，我们处于该市场交易流动性的多年低点。因此任何形式的机械性卖出都会对市场产生非常大的影响。
You said something that's, I think, probably quite deep in there, and I just like to unravel it a bit. Are you assuming that if a certain order goes through the market, that the number of lots traded is an important factor in price impact, as well as the no-cial amount traded, and if so, why do you believe that? So in other words, if gas, if I'm trading 100 bucks of something, and the price has gone down by 50%, so I'm trading twice as many contracts, are you claiming that the price impact of that will be bigger than if the price were higher and I only traded a standard number of contracts?
你说了一些我认为可能很深奥的话，我想稍微解开一下。你是假设如果某个订单在市场上执行了，那么交易手数对价格影响同样很重要，以及交易数量本身也是重要因素。如果是这样，你为什么这么认为呢？换句话说，如果我正在交易的东西价值100美元，价格下跌了50%，那么我会交易两倍数量的合同，你在说如果我交易的数目是标准的话，价格影响会比价格高并且我只交易标准数量的合同的影响更小吗？
That's interesting to put it like that, because I think most commodities traders don't think in terms of notionals, so we're really thinking about the volume that you're trading and the liquidity that's in the market, and you might think about in terms of risk, but certainly I don't know that many people are thinking pure, notional terms, and it's more liquidity dependent. If there's someone on the other side of your trade, you can have huge amounts of volume go through with very little price impact, but if general market participants are still constrained and there's no risk absorber, you're going to have a much larger price impact. I think that's one of the most important things about studying flows, financial flows in commodity markets. The impact is very situation dependent and usually dependent on whether there is a risk absorber for that flow, and the biggest moves that you usually see in commodity markets when the normal kind of risk absorber tends to become very risk constrained and either has to stop out or calm or is var constrained and they can't add any more positions.
这样表述很有趣，因为我认为大多数商品交易员并不以名义值的方式来思考，而是在考虑你所交易的交易量和市场的流动性，你可能会考虑风险，但我确实不知道有多少人考虑纯粹的名义值，这更依赖于流动性。如果你的交易对手有人，你可以通过大量的交易量来减少价格的影响，但如果一般市场参与者仍然受到限制，并且没有风险吸收者，你将会有更大的价格影响。我认为这是研究商品市场金融流动性最重要的一个方面。影响是非常情况相关的，通常取决于是否有一个风险吸收者，而通常在正常的风险吸收者变得非常风险受限并且必须被停止出局或冷静下来，或者受到VAR约束并且不能再添加任何头寸时，你通常会看到商品市场最大的波动。
I think those are the times and situations that are usually extremely difficult for more fundamentally led traders because they're having to usually stop out of positions without fundamentals actually changing. We found the same thing in other markets that lots of size is significant. It isn't just the notional amount traded, but I was wondering whether that's simply because for risky assets like stocks or stock indices, when they go down, fall tends to go up which maybe indicates less liquidity in the market. Whereas for commodities, I'm not sure what the relationship is.
我认为通常对于更基本面驱动的交易者而言，这些时机和情况通常极其困难，因为他们通常需要在基本面实际没有改变的情况下平仓。我们在其他市场也发现了同样的情况，大量的规模是非常显著的。这不仅仅是交易的名义金额，但我想知道这是否只是因为像股票或股指这样的风险资产下跌时，看跌期权往往会上涨，这可能表明市场上的流动性较低。而对于商品来说，我不确定其关系是什么。
I'm guessing there's a put scoop for an act gas, but maybe oil has a persistent cool scoop because surprises tend to be to the upside. I'm just curious on your view. Yeah, I mean, it varies by market. I think you're right with natural gas. I mean, we've had extremely heavy fundamentals for decades and not a lot of discipline from producers, but in oil you have probably a lot more upside risk that's quicker with geopolitical risk kind of being built into the market. It varies also because producers use a lot of options in crude. How that bounces around depends on the amount of demand for producers on the hedging basis.
我猜想，用于天然气的投机桶或许存在，但或许石油有一个不断变冷的投机桶，因为惊喜往往是向上的。我只是好奇你的看法。是的，这个因市场而异。我认为你在天然气方面是正确的。我是说，几十年来我们一直有非常严重的基本面问题，生产商也没有很多纪律，但在石油领域，你可能面临更多更快的上升风险，因为地缘政治风险已经被纳入了市场。这也因为生产商在原油方面使用了很多期权。这个是环绕着生产商对保值的需求量而变动的。
Understood. I understand that these markets have fatter right tails, especially crude. Once there is a spike, does the risk become more symmetric? In other words, if crude spikes from 60 to 100, that's a huge upside spike. Let's say vol was pretty low coming in. Once the spike occurs and vol picks up, does the risk become more symmetric to the upside and downside? Is that something that you consider in your or considered in your trading or you consider now in the way you think about risk?
我明白这些市场的右尾比较肥，尤其是原油。一旦出现价格急涨，风险是否会变得更对称呢？换句话说，如果原油价格从60涨到100，那将是一个巨大的上涨。假设波动率之前相当低。一旦出现价格急涨且波动率上升，风险是否会变得更对称，同时考虑上行和下行？这是否是你在交易中或现在在考虑风险时需要考虑的？
Not necessarily. I kind of think about it in terms of passive least resistance rather than symmetric risks. Because I think it's, you know, usually after such events, you do tend to get negative skewness in these returns. Because ultimately in commodity markets, you have corrective mechanisms kicking in at some point. Now, you know, you can say in a wide range of kind of prices demand could be relatively inelastic, but there is always a constraint eventually. Now, whether that's in gas, people running out of money to pay for it, you know, US gasoline, demand gets a bit twitchy above $5. There are constraints there. It's just where you find them. So the corrective mechanisms eventually do kick in, but they could take a bit longer. I mean, if you don't get a production response, I mean supply responses tend to take longer than demand responses. So understanding where your constraint is, whether it's where your corrective is, whether it's on supply or demand and at what price levels, that's also kind of important to understand where that skew in terms of probability lies.
不一定。我倒是更倾向于考虑被动的最小阻力而非对称风险。因为我认为，通常在这种事件之后，这些投资回报往往会呈现出负偏斜性。因为在商品市场中，最终会有校正机制发挥作用。你知道，在价格的宽泛范围内，需求可能相对缺乏弹性，但最终总会有限制。可能是天然气，人们无法支付其费用，美国汽油价格在5美元以上就有些棘手了。这里存在限制。它们就在哪里，我们要找到它们。所以最终会有校正机制发挥作用，但可能需要更长的时间。如果没有生产反应，我指的是，供应响应往往需要比需求响应更长的时间。因此，了解您的限制所在，无论是在供应还是需求方面以及价格水平上，也是了解概率偏斜所在的重要因素。
Which brings us to a research paper that you sent me, kindly sent me, where you try to relate fundamentals to price action and you used oil ex, which is kind of an oil nowcast as I understand it. I've seen nowcasts for GDP and inflation. I haven't really seen one for oil. I believe oil ex was bought by some larger research firm recently. I can't remember the name, but energy aspects. Energy aspects, that's the one. And maybe you can tell me how you use the index and what you found in terms of the interaction between fundamentals, flat prices, term structure and so on.
这让我们想到了你给我发的一篇研究论文，非常感谢。该论文尝试将基本面与价格行为联系起来，并使用了所谓的“油现状”，据我所知，这是一种油价预测。我曾见过关于国内生产总值和通货膨胀率的预测，但很少见到有关石油的预测。我相信，能源方面最近被一些更大的研究公司收购了。我记不得名字了，但是能源方面是其中之一。也许你可以告诉我你如何使用指数，以及你在基本面、平价、期货结构等方面发现了什么。
Sure. It was a really interesting project and collaboration with oil ex. They have really interesting data series and using really innovative ways to put those together in a more high frequency basis than we're traditionally used to in oil markets. So they use, combine this satellite data and measurement of oil, all the oil that is moving around the world with the machine learning models that they have to match it to historical, let's say, recorded fundamental levels. To then come up with a daily measurement, if you like, of how that supply and demand balance is moving. They also record oil stock, daily. And how that balance gets revised over the following months. How do they know how much oil is in storage? Do they use a radar or something?
当然。这是一个非常有趣的项目和与Oil Ex的合作计划。他们拥有非常有趣的数据系列，并使用非常创新的方式将其结合在一起，比我们传统上在石油市场上所用的更高频率。因此，他们利用卫星数据和石油测量来结合全球石油运输的机器学习模型，与历史上记录的基本水平相匹配。然后，每日测量石油产量与需求平衡的变化情况。他们还每日记录油库存，并记录该平衡在随后几个月内进行的修订。他们如何知道有多少石油存储？他们使用雷达还是其他什么技术？
Yeah. So they measure essentially the shadows on the tanks because in oil markets you have floating roofs, depending on how much crude is in there. So the satellite can measure how full each storage tank is. But there's no privacy constraints in doing this. You know, their corporations moving oil around. It's all perfectly fine.
嗯。所以他们基本上测量的是储罐上的阴影，因为在石油市场上，你有漂浮屋顶，取决于有多少原油在里面。因此，卫星可以测量每个储罐的填充程度。但在这样做时没有隐私限制。你知道，这些公司在搬运石油。这一切都很完美。
How would imagine so? I mean, they're in the open. I mean, I guess unless you're not going over military space, I think it's perfectly fine.
你认为呢？我的意思是，他们在公开场合。我猜，除非你不越过军事领域，否则这是完全可以的。
Okay. So that gives a good indication of supply, perhaps. How about demand? That seems harder to measure.
好的。这或许给出了供给的良好指示。那需求呢？那似乎更难测量。
It is harder to measure. And I think across most commodity markets, traditional kind of analysts all focus on the supply side, demand is much harder. But you can make kind of inferences based on how that data fits up with more higher frequency and emissions of demand. So I mean, you know the number of flights that take off every day. Mobility data is getting a lot better these days. So whether it comes from TomTom or Google, depending on the market, you can track kind of movement a lot more. But then you're still going to have those changes that you missed in the parts of the market that you can't see from demand. But if you also know how much refineries are running every day, you can kind of get that real-time measure. So the pipeline flows into refineries. You know, in some markets, you can get that data. So you can get some good measurements of demand. And then you're trying to understand the sensitivity of your demand indicator. And then you can get it against, you know, realized demand data. And then you can build the model out of that.
我认为，在大多数商品市场中，传统的分析师们都更关注供应方，而需求方就更难以测量了。但是，我们可以基于数据如何与需求的更高频率和排放量相匹配，进行某种程度上的推断。比如，你可以知道每天有多少航班起飞，移动数据的质量现在也在不断提高。所以，不管是来自TomTom还是Google，你都可以更好地追踪市场的动向。但是，你仍然会错过需求方中不可见的那些变化。但是，如果你知道每天精炼厂运行的量，你就可以得到实时的衡量数据。比如，管道流入精炼厂的流量。在一些市场上，你可以获得这些数据，因此你可以获得一些好的需求衡量指标。然后你就可以尝试理解你的需求指标的敏感性，再与实际需求数据相比较，从而建立模型。
So basically you're saying you, if you know what the, you only need to know the changes into demand, you don't need to know demand itself. And if you have some good measures and you assume everything else's noise, then at least you've got some estimate of the change in demand over time. Is that kind of the.
所以基本上你意思是说，如果你知道的话，你只需要知道需求的变化，而不需要知道需求本身。如果你有一些好的措施，假设其他一切都是噪声，那么至少你有一些关于需求随时间变化的估计。这种情况是吗？
That's the kind of direction, yeah. I mean, I've not put those data together myself or relied on on our next on it. So I'm not the expert in collecting this type of data.
这是那种方向，嗯。我的意思是，这些数据我自己没有整理过，也没有依靠我们下一个人来搜集。所以我不是这种数据收集方面的专家。
And so what do you, what do you find in this? I know you have an interesting section on oil on water, but maybe you can summarize what you found using oil ex.
那么，你在这方面发现了什么呢？我知道你有一个有趣的关于油在水中的部分，但也许你可以总结一下你用油的实验所发现的。
I looked at a bunch of the different data sets. And I'll just comment on the stocks first, because that was a really difficult one, because we've essentially gone through a period in markets where inventories in oil have not necessarily been pricing, because you've had essentially a global government intervention in storage with the release from the SPR.
我看了很多不同的数据集合。我会先评论一下股票，因为那真的很难，因为我们实际上经历了一段市场期间，在这段期间石油库存并未定价，因为你实际上已经看到了全球政府对贮藏的干预，来自SPR的释放。
So it makes it very difficult to then ascertain how commercial entities are really reacting to this. So in a, let's say more manipulated variable there. So I've predominantly focused on looking at the daily changes in the supply and demand balance, according to their kind of nowcast.
这就使得我们很难真正确定商业实体对此的反应。因此在这种“被操纵的变量”中，我主要注重于根据它们现在的预测情况来观察供需平衡的日常变化。
And my first kind of main question to ask is, do we see participant flows on the back of this? So before I even look at, you know, whether it has a price impact, I want to know if there is some trading or activity around that.
我首先想问的主要问题是，我们能看到这方面的参与者流动吗？因此，甚至在我查看是否有价格影响之前，我想知道是否存在某些交易或活动。
And you know, predominantly for the supply and demand balance changes, we were seeing more, let's say physical market trading, which you would expect, than let's say more speculative trading.
你知道的，主要是因为供需平衡的变化，我们看到了更多的实体市场交易，这是可预期的，而不是更多的投机交易。
The speculative trading, for more, say, manage money, kind of type of entities, was more focused on the revisions to the balance that came later. And this is more new data is released.
那些进行投机交易、管理资金等实体更加注重稍晚发布的资产平衡表修订。而且当有新的数据发布时，他们对这些数据更加关注。
So there is a lag, you know, when bigger agencies start to report, there's more prominence around some of these releases. And as that balance kind of gets updated, you know, that's when you start to see it move further down the curve and more discretionary traders that potentially have poorer information.
你知道的，当大机构开始报告时，就会出现滞后现象，某些发布物的知名度会更高。当这个平衡被更新时，你就会看到它开始向下移动，更多的自主交易者可能拥有较差的信息。
Historically, and the physical commercial entities, they were traded a bit later. So within these type of mechanisms, it creates a persistence because you have different actors making the decisions at different stages through that cycle, if you like. And it just shows how difficult I think oil market fundamentals are and the importance of lags and getting good information.
历来，实体商业存在后才进行交易。在这种机制中，不同的参与者在不同的阶段做出决策，因此创造了持久性。这说明了石油市场基本面如何困难以及滞后和获取良好信息的重要性。
And you know, we are moving to a world where getting real time data and information is a lot easier and becoming much more important. And then second, when you think about the prize impact, it also follows a similar type of structure.
你知道，我们正在向一个获得实时数据和信息变得更加容易和变得更加重要的世界迈进。其次，当你考虑到奖金影响时，它也遵循着相似的结构。
So the prize impact of let's say the SMD changes is more quickly observed, let's say, in the more physical aspects of the crude market, you know, such as data Brent, rather than in the futures contracts immediately.
所以，让我们以SMD的变化为例，奖励的影响更快地在原油市场的更具体方面，比如数据Brent中被观察到，而不是立即在期货合同中被观察到。
You know, the prompt elements of the futures curve in crude are very noisy. You have a lot of roles going on. You have a lot of positional changes as well as more discretionary and commercial trading around their physical books, more financial books as well.
你知道，原油期货曲线的提示要素非常嘈杂。有很多角色在运转。还有很多头寸变化，以及更多基于物理书籍和金融书籍进行的自主和商业交易。
So it takes a little bit of time for that information to move, let's say, down the futures curve. And then because discretionary or let's say more speculative discretionary traders are trading again with a lag, you get that persistent effect coming actually through later.
那些信息需要一点时间才能向下期货曲线传递。然后，因为自主或更多的投机性自主交易者与滞后交易，你会得到后来的持续效应。
But for an entity such as a CTA or discretionary macro that trades in futures curve, trades in forward curve, they also have to worry about things like seasonality, whereas in the smart markets it's just instantaneous demand for the commodity. So doesn't that create an added wrinkle? Yeah, but if they're very strongly by commodity, I think.
对于像CTA或离散型宏观基金这样交易期货曲线和远期曲线的实体，他们还必须担心季节性等因素，而在智能市场中，只是对商品的瞬时需求。那么这不会造成额外的麻烦吗？是的，但如果他们非常依赖商品，我想。
Okay. The other thing that I wanted to ask you about was this oil on water input that seemed to be quite related to whatever's been going on in Ukraine. And there was as far as I could see from your paper, there was a strong uptrend in oil on water supply and a strong downtrend in land supply. Can you explain what your interpretation of that is?
好的。我想问你的另一件事是这个水上的石油输入，似乎与乌克兰的事情有很大关系。从你的论文中我发现，水上的石油供应有很强的上升趋势，而陆地供应则有很强的下降趋势。你能解释一下你对此的解释吗？
Sure, I think it's more the, let's say, the redirection of flows has been very inefficient for the market. As more restrictions on the movement of Russian barrels came into place, ships have had to take longer journeys and use more ships to move that oil.
当然，我认为更多的是，可以说，流量的重新定向对市场来说非常低效。随着俄罗斯桶装原油流动限制的加强，船只不得不采取更长的航程并使用更多的船只来输送石油。
So it's just led to kind of a structural increase in the amount of oil that we now see on tankers moving around the world. Because ships are having to take longer journeys and also then transform the crude in different places to move it back to unsanctioned places. It gets a lot more complicated.
所以，这导致了世界各地运输油轮上储油数量的结构性增加。因为船只必须进行更长的航程，并在不同的地方对原油进行转换，以将其运回未受制裁的地区。这变得更加复杂。
So that should put upward pressure on prices. Is that the kind of rough conclusion? I wouldn't say that. I think it's putting upward pressure on freight prices. So probably the shipping markets absorb a lot of the price increases.
那么这应该会令价格上涨。这是什么样的初步结论吗？我不会这么说。我想这会令货运价格上涨。因此，航运市场可能会吸收很多价格上涨的影响。
The demand for tankers goes up. But the demand for oil has not necessarily changed, such as the system and the cost involved have become a bit more. So maybe there's a bit more involved in that.
油轮的需求增加了，但石油的需求并不一定有变化，因为涉及的系统和成本已经有了一些变化。所以可能有更多的因素在里面。
But whether that really follows through into the futures market or whether it gets absorbed through some of the arbitrage and the freight elements remains to be seen, I think. Perfect.
但是，这是否真正反映到期货市场上，或者是否被一些仲裁和运费要素所吸收，我认为还有待观察。完美。
The final major topic I wanted to discuss was the Almighty US dollar, I guess. Maybe that's the wrong phrase. But obviously major commodities are priced in USD. They continue to be, at least for the foreseeable future.
我想要讨论的最后一个重要话题是万能美元，我猜。也许这个词不太准确。但显然，主要的商品是以美元定价的。至少在可预见的未来，这种情况还将继续下去。
Where is the DXY, which I think is produced by the Fed, flawed in terms of looking at changes in a nation-weighted dollar versus changes in commodity prices? Can you explain what you've done there and why you think it's significant?
在国家权重的美元汇率与商品价格变化方面，我认为由美联储生产的DXY存在缺陷，您知道它在哪里吗？您能解释一下您做了什么，以及为什么您认为这很重要吗？
I wouldn't say it's completely flawed, but for the relevance for commodity traders, it's just not very high. The DXY is 50 or 53% euro. Then you have Yen and Swiss franc is in there and some of the Scandinavian currencies. It's a very old index and it doesn't really reflect the importance of commodity in foreign countries at all.
我不会说它完全有缺陷，但对于商品交易者的相关性而言，它并不是非常高。DXY指数有50%或53%的欧元在里面。然后有日元和瑞士法郎，还有一些斯堪的纳维亚货币。这是一个非常古老的指数，它并不真正反映出外国商品的重要性。
The biggest commodity in port is actually missing mostly from that list, X-Trapan. What's the big import of Korea? Japan, Korea, India, China. A lot of the incremental commodity demand is coming from Asia. This index doesn't really capture any of that whatsoever.
港口最大的商品并未列在那份清单上，实际上是X-Trapan。韩国最重要的进口商品是什么？日本、韩国、印度和中国。亚洲的很多新增需求都来自这些国家。这个指数并没有真正捕捉到任何这方面的信息。
What I wanted to do is create an index that was reflective of the major commodity importers. As we spoke about the elasticity of the effects demand earlier, it also varies by nation. Monsignations that import more commodities in dollarized terms than they export. Those countries in my index have a much higher weight than say big commodity export as such as Australia.
我想要做的是创建一个反映主要大宗商品进口国的指数。正如我们之前谈到的需求的弹性，它也因国家而异。那些以美元计算进口大宗商品多于出口的国家，在我的指数中的权重要比大宗商品出口国（如澳大利亚）高得多。
You need to have all those countries in there to understand the actual impacts of the dollar changes on the currencies of those countries that are importing the most commodities and not transforming them again and then exporting them. There's a dual effect there of really understanding where the sensitivity should be and how it should be weighted and counted for. I think that's where you get the demand response. Some countries are a lot more sensitive to pricing.
你需要把所有那些国家都考虑进去，才能真正理解美元变动对那些进口大量大宗商品而不再进行加工后再出口的国家货币产生的实际影响。这里存在着一种双重效应，真正理解哪些方面最敏感，如何进行权衡和计算。我认为这就是引起需求反应的原因所在。一些国家对定价更加敏感。
I think what I found when I was looking at the dollar is it's really more about the speed of change because when you're seeing quick moves in the dollar against these countries, you see more of a pause and even if you're looking at commercial data on this, in strong dollar upswings, you'll let's say that your commercial long element of your commodity markets tends to slow down.
我认为当我看美元时发现的是，它实际上更多地涉及到变化的速度，因为当你看到美元快速对这些国家产生影响时，你会发现产生了更多的暂停，即使你查看商业数据，强劲的美元上涨期间，你的商品市场的商业长线部分也倾向于放缓。
The buying slows when it's moving quickly. Once the volatility comes down and you reach a level, the level is less important because people adjust, it happens slowly but adjusts to a new normal and a new level and that's kind of basis of business. When things move quickly, especially on the upside, so things are getting more expensive, there is a demand response where buying slows down and it's a wait and see and wait to see if it comes back down or wait to see what the new normal is.
当购买快速移动时，购买速度会减慢。一旦波动性降低并且达到一定水平，那么该水平就不是那么重要，因为人们会逐渐适应，这虽然是缓慢发生的，但会适应到新的正常水平，这是商业基础。当物事快速移动时，特别是处于上行阶段时，物品变得更加昂贵，那么就会有一个需求响应，购买速度放缓，需要等待看看是否会回落或等待看看新的正常水平会是什么。
This is embedded in the bigger discussion that goes on all the time about how the volatility even flation broadly is more dangerous to the global economy than just the level, even if the level were 8% and 10% if it just stuck there. Exactly. I think we, especially when we're talking about macrotha variables, there always is an adjustment but it's more of volatility in short term moves that tend to put the breaks on things because people can't make good forward assessments.
这件事嵌入了一场全球范围内关于通货膨胀的更广泛讨论中，即使水平为8％和10％，如果它停留在那里，波动性对全球经济的危害仍然比水平本身更大。确切地说，我认为，尤其是在讨论宏观经济变量时，总是有一种调整，但短期波动性往往会让人们难以做出良好的前瞻性评估，从而阻碍事情的发展。
The Fed apparently uses oil price expectations or actually oil prices and inflation expectations as inputs to its least informal inputs to its policy decision making is that something that you have looked at that you find relevant in your own work as well, looking at expectations rather than just price action or.
美联储显然使用油价预期，实际油价和通胀预期作为其政策决策中最不正式输入的输入。这是您在自己的工作中也发现相关性的，而不仅仅是价格走势吗？需要查看预期吗？
It depends how you want to measure expectations because if you're using commodity futures curves to do that, that's a very silly way to do things because commodities are spot assets that price on the spot. So if you've got a very backwardated future market and I have seen this mistake made over and over again saying because the futures, the price in the future is lowered, that's not the expectation of the price, it's not a bond curve where the forward bond futures represent forward pricing expectations. Commodities are not like that at all. It's the spot that really matters. It's a durable commodity.
这得看你想用什么方式来衡量预期，如果你用商品期货曲线来做，那就是一种非常愚蠢的方式，因为商品是按即期价格定价的现货资产。所以，如果你有一个非常倒挂的未来市场（价格较低），我曾经见过这种错误一遍又一遍地发生，因为未来的价格较低，所以这不是价格的预期。这不像债券曲线，债券期货代表着未来的定价预期。商品完全不是这样的，它是持久的商品，最重要的是即期价格。
Exactly. Think about it in those kind of senses, it doesn't really make sense. Commodities are a risk asset where inflation is hedged on. When you look at the best inflation hedges that you can get, I mean, CTAs are a part of that, but also energy and industrial metals are very strong inflation hedges as well. So you see the impacts when inflation expectations are rising, positions build on forward inflation expectations increase in the market and it gets a lot more, let's say, price sensitive to moves.
就是这样想，从这些角度上看，其实并不合理。商品是一种风险资产，能够对冲通货膨胀。当你寻找最好的通胀防护时，我指的是，CTA是其中一部分，但能源和工业金属也是非常强的通胀防护。所以当通胀预期上升时，市场上的远期通胀预期仓位会增加，市场对价格的敏感度也会增加。
I mean, they are intertwined, obviously, because higher oil prices does increase forward expectations of inflation, but again, it's the rate of change demands for that, not the other way around.
我的意思是，很明显它们是相互交织的，因为油价上涨确实会增加人们对通胀的预期，但重要的是要看需求的变化率，而不是反过来。
So this mythical academic quantity called convenience yield contains more information about hedging activity than it does about real expectations for price action. I think you could argue that, yeah. And again, I think you would just have to understand the dynamics of each individual market, model futures curves are equal.
这个神秘的学术概念叫做便利收益，它包含了关于套期保值活动的更多信息，而非关于价格走势的实际预期。我认为你可以这样说。另外，我觉得你只需要理解每个市场的动态，建模期货曲线就可以相等。
I think we've covered the three major things. I was hoping that you could maybe spend a minute or two telling us about your current business, what sort of clients you have and what your outlook is or your prospects, your strategic vision might be just a string together, a bunch of business words for the future for the business.
我觉得我们已经讨论了三件重要的事情。我希望您能花一两分钟告诉我们您目前的业务情况，您的客户类型以及您的前景和战略愿景，这可能只是将未来的一系列商业词汇串在一起，用来描述您的业务。
Sure, I mean, we've predominantly focused on a lot of the things I've discussed today and it's solving that puzzle between what is actually pricing any given time and who the marginal buyer and seller need to be in any given moment to assess actually what the forward price drivers are and who, as in a group of participants, it will be by understanding, let's say, the incentives and constraints of each of the major participants.
当然，我的意思是，我们主要关注了今天我所讨论的很多事情，并且正在解决在任何给定时刻定价并评估实际的前瞻性价格驱动因素的边际买家和卖家是谁的难题，以及在参与者小组中，理解每个主要参与者的激励和限制是谁。
We try to formulate the path of these resistance on a short-term basis. So our research, our weekly research tends to be highlighting where the market sits today and over the next one to two, three weeks, given those participant constraints where we expect it to go. And it's trying to make sense of a lot of that noise.
我们试图在短期内制定这些阻力的路径。因此，我们的研究，每周的研究往往强调市场现在的情况，并在接下来的一到三周内，考虑参与者的限制的情况下，我们期望市场会走向何方。这是试图让很多噪音变得有意义的过程。
Most of our clients are fundamental traders sitting in major trading houses or hedge funds where this is a bit of a blind spot for them because they're mostly focused on actually understanding the fundamental side of their markets. And then we also produce, as you've seen, some more long-form, deep-dive research. That dollar piece I wrote last summer when for all of Q3, for crude, fundamentals were not pricing.
我们的大部分客户是坐在主要交易机构或对冲基金中的基本交易者，对于他们来说，这是一个盲点，因为他们主要关注实际理解市场的基本面。然后，正如你所看到的，我们还会进行更长形式深度研究。去年夏天，我写的那篇关于美元的文章，在整个第三季度，原油的基本面并没有起到定价作用。
And we had a very macro-driven environment in Q3 last year and the dollar was the key element of that because it was the fastest-moving and most prominent piece of that puzzle. So helping traders explain and understand and then measure the impacts of that on commodities when you have major themes popping up is something that we try to stay on top of and contribute too.
去年Q3我们处于一个非常宏观的市场环境中，其中美元是其中最快、最突出的关键因素。在出现重大主题时，帮助交易员解释、理解并衡量这对大宗商品的影响，是我们尝试始终掌握并做出贡献的事情。
Perfect. Do you provide advice on the options markets as well for the various assets you trade with you?
你们也会在各种交易资产的选择市场上提供咨询吗？
Absolutely. And I think the options market is probably going to become much bigger market going forward. Especially, we've seen a trend over the last several years of a lot more commodity traders now sitting in hedge funds and pod funds where they have a lot stricter, let's say, risk controls than they might have been used to in the trading houses because trading houses understand commodity volatility very well and understand that you have to warehouse risk to make money in this market.
当然。我认为期权市场可能会在未来变得更大。特别是，在过去几年中，我们看到越来越多的商品交易员现在坐在对冲基金和证券基金中，他们有比以前在交易所使用更加严格的风险控制。因为交易所了解商品的波动性非常好，他们知道你必须仓储风险才能在这个市场上赚钱。
Whereas in the traditional hedge fund world having very tight drawdowns and limits and stops putting on positions, it means that options will become kind of the weapon of choice for a lot of the industry.
在传统对冲基金领域，非常严格的回撤和头寸限制和止损意味着期权将会成为许多行业的首选武器。
And we saw that very clearly last year where we had absolutely enormous positions in the options market, especially in crude, but a lack of people trading futures. And obviously you need the futures market to move to put those options positions in the money. And we just had a disconnect. So everyone was sitting waiting on their options, but no one was buying the futures to actually make that happen for them.
去年，我们在期权市场中持有极大的头寸，特别是在原油市场中，但缺乏交易期货的人。显然，你需要期货市场的运转才能使期权头寸变得有利可图。但我们出现了脱节。所以，所有人都在等待他们的期权，但是没有人购买期货来实际提高它们的价值。
I think we're going to get a few more contradictions like that and staying on top of where these flows and positions are sitting, whether it's in futures or options, will be really key kind of going forward to understand where those constraints are.
我觉得我们会遇到类似的矛盾，并持续关注这些资金流向和仓位的所在地，无论是期货还是期权，这将非常关键，以便在前进时了解这些限制所在的位置。
Do you have speaking of options, do you have sort of a vibe on what the natural skew should be for the various markets that you talk about? So you mentioned oil should have a goal skew because there's a greater risk of some external shock driving prices upward rapidly. Do you have a view on other markets like Nat Gas or things like that? Is that stuff that you look at or you include?
你是否考虑过，谈论各种市场时应该具有某种自然的偏差？比如，你提到石油市场应该有一个目标偏差，因为存在着某些外部冲击迅速推高价格的风险。对于天然气等其他市场，你有什么看法吗？你是否考虑过这些东西或将其包含在内？
Yeah, because I'm not really, I don't look at the world as from an options trader. I look at how does the options market influence the futures market, which is where the price gets determined. So I think skew is less important than positioning and flows for kind of looking more for futures market impact.
哦，因为我并不是一个期权交易员，我看待世界的角度有所不同。我关注的是期权市场对期货市场的影响，这也是决定价格的地方。因此，我认为偏斜度并不像头寸和流动性那样重要，而是更注重期货市场的影响。
I think skew is more important, you know, potentially coming from potentially your background with a volatility view. I see, but I understood, but if people are using options more and more based on their constrained risk profiles, clearly there will be distortions that are formed based on what people have to do to stay below the limits.
我觉得偏斜更重要，你知道，可能跟你的背景和波动率观点有关。我明白，但如果人们基于受限制的风险档案越来越多地使用期权，显然会形成失真，这是基于人们必须做的事情以保持在限制范围内。
I think that's absolutely right. But if you think about who some of the major participants are in options markets, commodities, directional traders probably don't care as much about volatility. They're more price takers here, right? Producers, again, don't care about the volatility measurement. They get a price and whether it's acceptable or not, they're going to execute it.
我认为那绝对正确。但是如果你考虑一下期权市场、商品市场和定向交易的主要参与者，那么我们可能会发现他们并不太关心波动风险。在这里，他们更多的是接受价格，对吧？生产商也同样不在乎波动性的测量。他们只关心的是价格，无论价格是不是可以接受，他们都会执行。
So for volatility traders probably in commodity, there's going to be rich hunting grounds as more, let's say, price insensitive flows moved towards that market.
那么，对于商品市场的波动性交易者来说，随着越来越多不太在乎价格的资金流向该市场，这里将会成为丰富的狩猎场。
Got it. Okay, great. I am tapped out if you'd like to say anything in conclusion, be my guest.
我明白了。好的，太好了。如果你想在结论中说点什么，随便说吧，我的话已经说完了。
It's great to have someone like you on. Yeah. Well, thank you very much. And if any of your listeners wants to know more about our company, they can visit our website at it's not a science.com and find out more there.
很高兴有像你这样的人加入我们。是的。嗯，非常感谢。如果您的听众想了解更多关于我们公司的信息，可以访问我们的网站it's not a science.com，在那里了解更多信息。
You're perhaps a scientific person who has the disclaimer, INAS, stuck on your logo. So congratulations for that. I respect that. Thank you very much. And with that, I handed back to Niels.
你可能是一个有着INAS标志的科学家，所以恭喜你。我很尊重你的选择。非常感谢。现在我把话题交给尼尔斯。
Thank you so much, Harry and Niki, for a very insightful conversation into what really drives commodity markets from a macro and capital flows perspective. There were a lot of information to digest, but of course, it was fascinating to learn what the real market drivers of the energy markets are and in particular during periods like COVID.
非常感谢Harry和Niki，他们对商品市场的宏观和资本流动视角进行了非常深刻的交流。虽然有很多信息需要消化，但当然，了解能源市场的真正驱动因素是很吸引人的，特别是在COVID这样的时期。
Of course, the influence of commercial participants and speculators like CTAs is very useful to understand, especially during which period one group is more dominant compared to the other. And also because of Niki's view that many commodity market participants missed the impact of financial flows within commodity markets.
当然，理解商业参与者和CTAs等投机者的影响非常有用，尤其是在其中一个群体相对较强大的时期。此外，由于尼基认为许多商品市场参与者忽视了商品市场内部的金融流动对市场的影响，因此这也很重要。
Also the recent activity by ETFs in the net gas market was quite interesting to learn about as well as the difference between how CTAs and risk parity funds react in these markets was super useful to understand. And finally, the section about the challenges within the DXY construction as it lacks exposure to the biggest commodity importers was quite unique in my view.
ETF在净天然气市场上的最近活动也很有趣，了解CTA和风险平衡基金在这些市场上的反应差异也非常有用。最后，有关DXY构建中面临的挑战的章节在我看来相当独特，因为它缺乏与最大的大宗商品进口国的接触面。
As I'm sure you can tell, we think energy and commodity markets in general are super important and critical to understand. And we will do our best to continue to bring you more great content in this area of finance. Make sure you go and follow Niki's and Harry's work because as you can tell from today's conversation, there are many exciting facets to learn from these people who have been in the trenches for many years and we really look forward to exploring many more of them as our series continue.
我相信你们都能够感受到，能源和商品市场对我们来说非常重要，理解这些市场至关重要。我们将尽最大努力继续为您带来更多财务领域的精彩内容。请确保关注Niki和Harry的工作，因为正如你从今天的对话中可以发现的那样，这些人已经在这个行业中呕心沥血多年，有很多令人兴奋的方面可以从他们身上学习，而我们期待在未来的系列中探索更多。
From Harry and me, thanks so much for listening and we look forward to being back with you on the next episode. And in the meantime, take care of yourself and take care of each other.
我和哈利非常感谢你们的倾听，并期待在下一期节目中再次与大家相聚。同时，一定要好好照顾自己，也要照顾好彼此。
Thanks for listening to Top Traders Unplugged. If you feel you learnt something of value from today's episode, the best way to stay updated is to go on over to iTunes and subscribe to the show so that you'll be sure to get all the new episodes as they're released. We have some amazing guests lined up for you and to ensure our show continues to grow, please leave us an honest rating and review on iTunes. It only takes a minute and it's the best way to show us you love the podcast. We'll see you next time on Top Traders Unplugged.
谢谢您收听 Top Traders Unplugged。如果您从今天的节目中学到了有价值的东西，最好的方法就是前往 iTunes 订阅节目，这样您就可以确保在它们发布时收到所有新的剧集。我们为您安排了一些了不起的客人，为了确保我们的节目持续增长，请在 iTunes 上给我们一个诚实的评价和评论。只需一分钟，这是向我们表达您对这个播客的喜爱的最佳方式。我们下期再见 Top Traders Unplugged。