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# กลยุทธ์การซื้อขายสินค้าเกษตรล่วงหน้า

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### กลยุทธ์การซื้อขายสินค้าเกษตรล่วงหน้า

1. 1. กลยุทธการซื้อขาย สินคาเกษตรลวงหนา ผูชวยศาสตราจารย ดร.สุลักษมณ ภัทรธรรมมาศ ผูอํานวยการโครงการปริญญาโททางการเงิน (MIF) คณะพาณิชยศาสตรและการบัญชี มหาวิทยาลัยธรรมศาสตร 1
2. 2. Topics • Pricing • Basis Risk • Hedging • Spread Trading • Forecasting Techniques 2
3. 3. Pricing: Convenience Yield and Storage Costs • Convenience Yield is the benefit one derives from holding the commodity physically. • Option to consume or use in production. • Storage costs is the costs of storing a commodity. 3
4. 4. The Method of Pricing by Arbitrage • Find a replicating portfolio—having the same future cash flows • Portfolio 1: Long a forward (or futures) contract for T months • Portfolio 2: Buy a physical commodity and hold it for T months 4
5. 5. Present Value of Portfolio 1 • Portfolio 1: Long a forward (or futures) contract for T months • Present value = Fe-rT where F is a futures price r is a risk–free interest rate T is time to maturity 5
6. 6. Present Value of Portfolio 2 • Portfolio 2: Buy a physical commodity and hold it for T months • Present value =Se(u-y)T where S is a spot price u is a storage cost y is a convenience yield T is time to maturity 6
7. 7. Replicating Portfolios • Replicating portfolios must have the same present values. • Fe-rT = Se(u-y)T • F = Se(r+u-y)T • This is Cost-of-Carry Model • (r + u – y) is called cost of carry, i.e. it is the cost of financing a position in the underlying good until maturity of the contract. 7
8. 8. Factors Determining Futures Prices • Current price of the delivered good • High S => high F • Risk-free rate • High r => high F • Storage Cost • High u => high F • Convenience Yield • High y => low F • Time to maturity • High T = > high F 8
9. 9. Limitations of the Model • If selling the commodity short is difficult or expensive, the forward price can be lower. • The arbitrage approach cannot be used, one has to price the futures price so that a position in the contract earns just enough to compensate the long for the risks he is taking. Stulz (2003) suggested the application of capital asset pricing model (CAPM). The expected profit the long position requires increases with beta of the underlying asset. 9
10. 10. Limitations of the Model • If a commodity is perishable, the replicating portfolio approach becomes meaning less. • Stulz (2003) also suggested the application of CAPM. 10
11. 11. Limitations of the Model • Unlike forward, futures contract often allows the party with the short position to choose to deliver at any time during a certain period. • How to calculate T? • If (r + u – y)T is positive (negative), the calculation should based on the assumption that the delivery will take place at the beginning (last day) of the delivery periodใ 11
12. 12. Limitations of the Model • Unlike forward, possible mark-to- market gains and losses could affect the futures price especially if the interest rates are not constant. • The models assume that the market is perfect and there is no transaction cost. • When there are transaction costs, the price could be differ from theoretical price. 12
13. 13. Notes on Calculation in Practice • What risk-free rate to be used? • Use T-Bill rates or from Zero-coupon yield curve. • How to calculate storage costs and convenience yield? • Are they changed through time? • Implied values from market price of futures. 13
14. 14. Basis Risk • In a hedging situation, Basis = Spot price of asset to be hedged – Futures price of contract used bt = St – Ft • Basis risk is the risk to a hedger arising from uncertainty about the basis at the future time. 14
15. 15. Basis Risk • If the asset to be hedged and the asset underlying the futures contract are the same, the basis should be zero at the expiration of the futures contract. • bT = ST - FT = 0 • We may view that hedging is the exchange of one kind of risk, price fluctuation, for another, basis fluctuation. 15
16. 16. Basis Risk: Examples • Assume that a hedge is put in place at time t1 and closed out at time t2. • At time t1, • Basis: b1 = S1 – F1 • At time t2, the effective price that is obtained for the asset with hedging is therefore: • S2 + F1 – F2 = F1 + b2 • The hedging risk is the uncertainty associated with b2 and is known as basis risk. 16
17. 17. Rubber 04/09: Prices in baht/kg 58 56 54 52 50 48 46 1 8 15 22 29 36 43 50 57 Spot Sep Source: “จากหองเรียน สูหองคา กรณีศกษาเรื่องการประยุกตใชสัญญาฟวเจอรสยาง RSS3 เพื่อ ึ 17 การบริหารความเสี่ยง” โดย ศาสตราจารย ดร. อัญญา ขันธวิทย (2548)
18. 18. Situations Leading to Basis Risk • The asset whose price is to be hedged may not be exactly the same as the asset underlying the futures contract. • The hedging instrument has a payoff that is not perfectly correlated with the payoff being hedged. • The hedger may be uncertain as to the exact date when the asset will be bought or sold. • The hedge may require the futures contract to be closed out before its delivery month. 18
19. 19. Using Futures for Hedging • Let P be the portfolio, consisting of 1. H baht in the Risky Asset 2. h units of Futures contract, whose price is F. • The Hedge Portfolio P is • P (=) H (+) h F • The Return of the portfolio is, thus, the Change (P1-P0) in Value of the Portfolio P. 19
20. 20. Hedging Strategy • Hedging involves taking a position in the futures market that is opposite to the position held in the cash or spot market. • If one has to buy a commodity in the future, buy (long) futures • If one has to sell a commodity in the future, sell (short) futures 20
21. 21. Choice of Delivery Month • In general, basis risk increases as the time difference between the hedge expiration and the delivery month increases. • A good rule of thumb is to choose a delivery month that is as close as possible to, but later than, the expiration of the hedge. • However, liquidity tends to be greatest in short-maturity futures contract, the hedger may be inclined to use short-maturity contracts and roll them forward. 21
22. 22. Types of Hedging • Direct Hedging • The asset being hedged exactly matches an asset underlying a futures contract. • Cross Hedging • The asset being hedged is different from an asset underlying a futures contract. • Must determine which of the available futures contract has future prices that are most closely related with the price of the asset being hedged. 22
23. 23. Hedge Ratio • Hedge ratio is the ratio of the size of the position taken in futures contracts to the size of the exposure. • Direct hedging • Normally use a hedge ratio of 1.0. • Cross heging • Choose a value for the hedge ratio that minimizes the variance of the value of the hedged position. 23
24. 24. Minimum Variance Hedge Ratio cov ( rG , rF ) h* = = BETAF var ( rF ) where h* = Minimum Variance Hedge Ratio rF = return or change in futures price rG = return or change in spot price of hedged asset 24
25. 25. Optimal Number of Contracts h * NG NG N* = = BETAF QF QF where N* = Optimal number of futures contracts for hedging NG = Size of position being hedged (units) QF = Size of one futures contract (units) 25
26. 26. How to Estimate Beta? rGt = α + β F rFt + et h 2Var ( rF ) R2 = Var ( rG ) • Use regression analysis • Note • How many observations to be used? • Use R2 to measure the effectiveness of the hedge. • If volatility is not constant, other more sophisticated methods such as GARCH, could be used. 26
27. 27. Factors Affecting Actual Hedging Effectiveness • Low R2 • Find or use several different contracts to hedge. • Use other econometric models to estimate beta. • Beta can be changed through time. • Futures contracts are not perfectly divisible • Underhedge or overhedge the values. 27
28. 28. Examples of Estimated Betas Data: Daily returns data from May 28,2004 to October 11,2004 คาสัมประสิทธิ์ความชัน สินคาโภคภัณฑ rF* rS ยางแผนรมควัน RSS3 ทาเรือกรุงเทพฯ FOB 0.18 1 ยางแผนรมควัน RSS3 ตลาดกลางสงขลา 0.4 0.61 ยางแผนดิบ ตลาดกลางสงขลา 0.4 0.67 น้ํายางสด ทองถิ่น 0.12 0.18 น้ํามันดิบ naphtha สิงคโปร 0.01 1.03 Source: อัญญา ขันธวิทย (2548) 28
29. 29. Actual Hedge Results (Monthly STD) ปองกัน สินคาโภคภัณฑ ไมปองกัน ใช rF ใช rS ยางแผนรมควัน RSS3 ทาเรือกรุงเทพฯ FOB 2.04% 1.90% 2.93% ยางแผนรมควัน RSS3 ตลาดกลางสงขลา 2.51% 1.96% 1.90% ยางแผนดิบ ตลาดกลางสงขลา 2.20% 1.64% 1.70% น้ํายางสด ทองถิ่น 2.06% 2.16% 2.22% น้ํามันดิบ naphtha สิงคโปร 27.75% 28.18% 28.25% Source: อัญญา ขันธวิทย (2548) 29
30. 30. Spread • A spread is simply the simultaneous buying of one contract and selling of another. • To be a true spread, there must be some reason to believe that the conditions that will cause price movement in one contract will also cause price movement in the other. 30
31. 31. Types of Spreads: • Intracommodity Spread: positions are taken in 2 contract months of the same commodity— Calendar Spread. • Intercommodity Spread: a spread between 2 different commodities. • Inter-exchange Spread: positions are taken in 2 contract months of the same commodity but at different exchanges. 31
32. 32. Why Trade Spreads? • Spreads are often reliable from the standpoint of seasonality. • Spread margins are generally very low or even zero. Hence, you can get more leverage with spreads. • Some (but not all) spreads are lower in risk than either long or short positions. 32
33. 33. Seasonal Method • Construct a chart that shows how a spread has acted during the year and how often, in terms of percentage of time, it has moved in a given direction. • Compare the current spread trend with the chart. 33
34. 34. Example of Chart Source: Bernstein (2000) 34
35. 35. Forecasting: Fundamental Analysis • Supply and Demand • Market reports/news • Seasonality (including cycles) • Macroeconomic variables • Currency Fluctuations • Government policies • General business conditions 35
36. 36. Forecasting: Technical Analysis • Trends • Bar Chart • Candlestick Charts • Etc. 36
37. 37. References • ศาสตราจารย ดร. อัญญา ขันธวิทย, 2548, จากหองเรียนสู หองคา กรณีศึกษาเรื่องการประยุกตใชสัญญาฟวเจอรสยาง RSS3 เพื่อการบริหารความเสี่ยง • Hull, J.C., 2006, Options, Futures, and Other Derivatives, 6th Edition. • Stulz, R.M., 2003, Risk Management & Derivatives. • Bernstein, J., 2000, How the Futures Market Work, 2nd Edition. 37
38. 38. Q&A ผูชวยศาสตราจารย ดร.สุลักษมณ ภัทรธรรมมาศ 38