套利是交易成功的关键

By Anuj Gangahar in New York
Traders need to relearn the art of commodities investing.
In spite of the boom prompted by the Federal Reserve's latest measures to unblock credit markets, the days of easy profits from almost indiscriminate investing in commodity markets are over. Instead there should be a return to the days when smart traders earned their returns and reputations by arbitraging price discrepancies among hand-picked raw materials.
This, at least, is what Paul Touradji, one of the most closely watched commodities traders, is advocating for those seeking to navigate the current market. “For people who are good, their returns will be the best since the 1970s.”
Mr Touradji points out, in a rare interview, that over the course of this year his hedge fund has already been both long and short oil and that pattern is likely to continue as market volatility remains high.
“In terms of what is hot right now – the fact is that I have been both long and short practically every commodity under the sun. What I get excited about is mispricing. We have that, and there will continue to be up and down movements across a range of commodities.”
The need to return to arbitrage trading – or relative value – is shared by other commodities hedge fund managers including London-based BlueGold Capital Management. But Mr Touradji, who last year warned that a “buying orgy” from long-only investors was inflating commodities prices, is one of its stronger backers.
Mr Touradji, 37, runs Touradji Capital Management, one of the world's largest commodities-only hedge funds, with about $3bn under management. It has posted returns of 30 per cent plus on an annualised basis since its inception in 2005. Last year, his flagship fund was up 12 per cent net of fees. So far this year, its performance is approximately flat.
He learnt his trade under Julian Robertson, the founder of Tiger Management, one of the most prominent hedge funds of the 1990s that ran $22bn at its height before suffering steep losses when the dotcom bubble burst.
In his early days in the business, he says he would hear older traders talking about the wonderful opportunities in arbitrage – huge opportunities that stayed open for ages. “It was not that people were unsophisticated, it was just that there was a dearth of risk capital and that is exactly what we are seeing now,” he says.
Mr Touradji only appears to deviate from his arbitrage view on gold, where he takes a resoundingly bullish stance. He has been betting on rising gold prices since 2001 and became even more bullish in August 2008 as policies for dealing with the crisis became clearer. “All of the policies appear to involve printing money, which in turn essentially means that the policies are debasing every currency.”
The return to basic trading skills in commodities will prove difficult for some managers and completely beyond others, he believes. “I think the majority of the industry will go away,” he says about the hedge fund community, in a manner that suggests he sees this as no bad thing. That said, the commodities markets of last year proved treacherous to navigate even for the most seasoned investors.
Mr Touradji says that from his point of view, the bull market for commodities started in 2005, helped by the rapid industrialisation of China and other developing countries. In January 2007, when oil was about $60, Mr Touradji said the firm held an aggressive view that oil would go up 50 per cent. “We wound up maintaining this view up to $110 and then got out in the first quarter of 2008.”
Also at the start of 2007, he says, the group made a decisive move to become pure market neutral. “This was an adaptation to how we saw markets changing. Commodities became very volatile and we therefore chose to take less risk. In 2007 we thought some commodities were turning down while others were turning up.”
By the end of the first quarter of 2008, as the credit crunch really started to take hold, Mr Touradji said the company held a strong view that fundamentals and prices were diverging to historic levels. “We were becoming negative on a number of commodities but were wary of going too short too soon.”
Not any longer – the long and the short of it is that arbitrage is the way forward for Mr Touradji.

套利是交易成功的关键
英国《金融时报》阿努伊•甘加哈(Anuj Gangahar)纽约报道
交易员必须重新学习商品投资艺术了。
美联储(Fed)为疏通信贷市场而采取的最新举措推动了市场繁荣，但尽管如此，那些只要随意投资商品市场就能轻松获益的日子已一去不复返了。相反，聪明商人通过精选的原材料之间的价格差异套利，从而获得回报和名声的时代应该会回来。
这至少是保罗•图拉基(Paul Touradji)为在寻求市场方向的人所提倡的，图拉基则是最受市场密切关注的商品交易员之一。“对那些善于交易的人来说，他们的收益将是自上世纪70年代以来最好的。”
在一次难得一见的采访中，图拉基先生指出，他的对冲基金今年在做多石油的同时又做空石油，而且随着市场波动性高，这种模式有可能继续下去。
“根据目前流行的做法——事实上，全球几乎所有商品，我在做多的同时，又会做空。让我兴奋的是它们存在定价偏差。有了它，市面上的一系列商品的价格就会继续保持起伏。”
其他商品对冲基金管理人，包括伦敦的BlueGold Capital Management在内，都认为有必要回归套利交易（又称相对价值交易）模式。但图拉基先生是更推崇这一做法的人之一。去年他警告说，只做多头的投资者引起的一轮“购买狂潮”正在使商品价格膨胀。
37岁的图拉基先生管理着Touradji Capital Management，该基金是全球最大的商品对冲基金之一，目前管理的资产约为30亿美元。自2005年开始运营以来，基金的年收益率达到30%以上。去年，，扣除费用，他的旗舰基金年度收益率上升了12%。今年到目前为止，其表现基本持平。
他曾在朱利安•罗伯逊(Julian Robertson)手下学习。朱利安•罗伯逊是老虎基金(Tiger Management)的创始人，该基金是上世纪90年代最著名的对冲基金之一，网络泡沫破裂时这一基金遭受严重损失，但在此之前，该基金管理的资产最多达到了220亿美元。
在他事业早期，他说，他听那些年长的交易员谈论套利交易中存在的绝佳机遇——很长一段时间内一直存在着巨大商机。“这并不是因为当时人们缺乏经验，而是缺乏风险资金，而这正是我们目前所看到的，”他说。
不过，对于黄金交易，图拉基先生似乎没有按照他的套利观点来操作。他坚决看涨黄金市场。自2001年以来，他始终认为黄金价格会上涨，2008年8月，随着应对危机的政策越发明朗化，他甚至变得更有信心了。“所有政策似乎都要印钞，这实质上就等于这些政策在将每种货币贬值。”
他认为，事实将会证明，对于某些经理来说，重新采取基本商品交易技巧将变得很困难，而其他人则完全做不到。“我认为，该行业的大多数人会离开，”他在说起对冲基金行业时表示，表明他觉得这并不是什么坏事。即便如此，即使是最老道的投资者，去年的商品市场仍然是太过变化莫测了。
图拉基先生表示，在他看来，在中国和其它发展中国家迅速工业化的推动下，2005年商品市场进入牛市。2007年1月油价约为60美元时，图拉基先生说，公司十分看好石油，认为油价将上涨50%。“油价涨到110美元时，我们不再坚持这一观点，并在2008年1季度做空石油。”
同样，在2007年年初，他说，公司采取了一个决定性举措，采取了完全市场中立的立场。“此举是为了适应我们所看到的市场变化。商品市场波动性变得非常大，因此我们选择减少风险。2007年，我们认为，某些商品价格在下跌，而另一些商品价格在上升。”
到2008年第一季度末，信贷紧缩真正开始肆虐，图拉基先生表示，公司坚信基本面和价格出现背离，达到具有历史意义的水平。“我们开始看跌许多商品，但又时刻警惕着不能过早做空。”
而现在不再是这样了——总而言之，套利是图拉基先生未来的投资之道。
译者/红岭
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