Determinants of Trader Profits in Commodity Futures Markets
利用能源期货持仓数据，发现对冲者平均利润为负而投机者（尤其对冲基金）为正，持仓方向与对冲者总体相反的利润更高，多头利润与库存负相关、与波动正相关，支持风险溢价、对冲压力和仓储理论，且商品期货动量可能主要源于对冲压力。
Using proprietary energy futures position data, we provide evidence that mean hedger profits are negative whereas speculator (especially hedge fund) profits are positive, that traders (whether speculators or hedgers) who hold net positions opposite in sign to likely hedgers in aggregate have higher profits than traders whose net positions align with likely hedgers, and that profits on long positions vary inversely with inventories and directly with price volatility. These findings are consistent with the risk premium, hedging pressure, and modern theory of storage hypotheses, respectively. Further, our findings suggest that commodity futures momentum may be due largely to hedging pressure.