油品期貨投資組合單位風險報酬之研究

Abstract

摘 要 原油（crude oil）為具有策略性用途之商品，且為全球40％能源的源頭。國內對於油品的消費呈不斷成長之趨勢，並且大多依賴進口。在面臨市場開放後之強大競爭壓力，相關廠商如何減少成本、降低風險、增加收益，為一重大課題。業者若將原來作為避險用途的油品期貨，視為一期貨投資組合，並隨著市場價格變化改變投資組合中各期貨之持有比例，則該投資組合除具有規避購油成本及裂解毛利潤波動等風險之功能外，還可以從中獲取投資利得，進而增加其收益。 本研究透過文獻的深入探討及整理，將風險報酬的觀念，運用在投資組合的操作上。利用價差交易理論，本研究組成四類期貨投資組合，並在考量油品本身特性之後，尋找出各期貨投資組合之最適持有比例。透過比較本研究所架構之風險報酬隨機模型、傳統模型、OLS靜態模型等三種交易策略之投資結果，期能對業者從事油品期貨交易時，提供學理上以及實證上的參考。 本研究以紐約商品交易所（NYMEX）所交易的西德州原油、無鉛汽油、和燃油，以及英國國際石油交易所（IPE）所交易的布蘭特原油、和Gas Oil，以1991年至2000年間共計十年的期貨成交價進行實證研究。結果發現，價差具有平均-反轉行程的特性。然而市場內價差投資組合之價差可能比較容易受市場趨勢的影響，產生追漲或趕跌的情況，因此其價差的平均-反轉特性較不顯著。此外，由於風險報酬隨機模型與OLS靜態模型在決定持有比例時的動機不盡相同，且前者為動態模型而後者為靜態模型，故兩模型各自的持有比例間並非呈同向變動。因為針對所提出之投資組合，風險報酬隨機模型較傳統模型與OLS靜態模型具有較高的單位風險下之報酬率，本研究所建構之模型在風險以及報酬之間的取捨間可得到一個最佳的平衡點。

Abstract Crude oil is a commodity with the most strategic use. Globally, it constitutes forty percent of the energy resources. Taiwan highly depends on the importation of crude oil and has an increasing expense tendency. How an oil related company reduces the cost, decreases the risk, and increases the return are important issues under the strong competitive stress after the opening of Taiwan market. Companies can use oil futures contracts for hedging risk. The futures contracts employed form futures portfolios. Managers can change the holding ratio of the portfolio according to the market price changing. The formed portfolio not only can hedge the risk of the fluctuation of oil purchasing cost and gross profits of cracking, but may also gain some earnings. It is one of the ways to increase profits for oil companies. Related papers are collected and analyzed in this work. A model is developed to construct the portfolio by using the prospect of risk and return. The theory of spread treading is applied to generate four kinds of futures portfolios. After consider the characteristics of oil futures contracts, the most suitable holding ratio are proposed. By comparing the results of three different treading strategies, risk-return dynamic model, traditional model, and OLS model, practical and theoretical references for domestic oil companies are provided. The data between 1991 and 2000 period for three futures contracts, namely Crude Oil, Unleaded Gasoline, and Heating Oil, traded in NYMEX and two futures contract, Brent Crude Oil and Gas Oil, traded in IPE are employed to construct futures portfolios. Our empirical research shows that spread between prices of two futures contracts should efficiently follow the mean-reverting process in the real market. The fluctuation of intramarket spread is effected by market trend much easier. Its mean-reverting property is less efficient. Besides, because of different targets and different constructing methods of the model, the holding ratio of the portfolio constructed by risk-return dynamic model doesn’t have the same changing direction as the portfolio constructed by OLS model. Risk-return dynamic model gets higher unit expected return than OLS model and traditional model. Therefore, the risk-return dynamic model developed in this study gains the optimal balance between risk and return.