據彭博社7月7日報道，由于未能追蹤今年的油價暴跌和大漲，三星資管香港公司旗下規模6.26億美元的原油ETF調整了基準指數。

總部位于香港的三星資產管理公司周一在一份聲明中表示，該公司與道瓊斯指數公司(Dow Jones Indices)合作推出了一個跟蹤多月合約石油期貨的新指數，以降低持有單月合約的風險。

聲明稱，一旦新的美元指數在8月份推出，單月期美元指數的權重最終將為55%，兩月期美元指數為30%，三月期美元指數為15%。

自5月份以來，三星交易所交易基金(Samsung exchange-traded fund)一直落后于其基礎指數，此前投資者紛紛涌入該基金，押注油價在4月份暴跌后反彈。據彭博社收集的數據顯示，截至7月3日，該基金的資金池增長了84倍，達到6.26億美元，成為香港增長最快的基金管理公司。

對于那些在4月份購買了這只基金——三星GSCI原油期貨交易所交易基金(Samsung S&P GSCI Crude Oil ER Futures ETF)的人來說，他們的時機似乎是無可挑剔的。4月20日，紐約原油期貨價格暴跌至- 40美元，原因是疫情和俄羅斯與沙特阿拉伯之間的價格戰導致市場暴跌。自那以來，西德克薩斯中質原油的現貨價格幾乎發生了天翻地復的變化，上漲至每桶40美元左右。

三星無法追蹤經濟復蘇情況，因為其經紀人不允許該基金增加石油期貨風險敞口。該基金沒有透露經紀人名字。因此，三星的管理層賣出了6月份的合約，買入了9月份的合約，后來又增加了10月份和12月份的合約。9月份的合約定價高于6月份的合約，這意味著該基金持有的合約較少，減少了上漲的風險敞口。

在市場恐慌加劇之際，三星在4月21日致股東的一封信中解釋了自己的舉動：2020年6月合約的價格大幅下跌，價格可能跌至零或負值。將采取"防御姿態"，在"特殊情況"下出售合約，以保護投資者。該公司舉出了利弊得失:如果市場價格反彈，不利的一面是投資者可能無法享受持有2020年6月合約帶來的任何好處。

截至7月2日，該基金今年已累計下跌78%，而其追蹤的指數跌幅為66%。該基金在5月份任命了幾名清算經紀人。

今年石油市場空前的波動給ETF和其他旨在讓投資者輕松押注原油價格走勢的產品造成了嚴重破壞。三星交易所交易基金和在紐約交易所的美國石油基金(U.S. Oil Fund)等基金都改變了策略，以降低油價再次跌破零的風險。

王佳晶 摘譯自 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.