CBOT農產品期貨投資策略研究

本文探討芝加哥期貨交易所(Chicago Board of Trade，CBOT)之農產品期貨，以黃豆(Soybean)、小麥(Wheat)、玉米(Corn)三種商品為研究標的，採用Bloomberg資料庫，選取2009年1月1日至2015年12月31日的收盤價，在99%信賴水準下，分別以歷史模擬法、變異數-共變異數法、蒙地卡羅法等風險值估計方法，計算風險值。研究結果發現，黃豆的平均風險值最小，小麥的平均風險值最大。黃豆生長期需4~5個月，冬麥需10個月，春麥需3~4個月，玉米需5~6個月，黃豆的生長週期最短，小麥最長，生長週期越短風險值越小，生長週期越長風險值越大。依據農產品生長週期的特性，本文建議投資策略分別為，9月買進黃豆期貨，隔年4月賣出；依冬麥及春麥週期性的特性，首先在6月買進小麥期貨8月賣出，接著9月買進12月賣出；9月買進玉米期貨，隔年4月賣出；未持有期貨時，將資金購買一年期美國國庫?。假設2009年原始投入金額為1元，投資黃豆期貨，2015年資產可累積至1.903元；投資小麥期貨，資產可累積至1.960元；投資玉米期貨，資產可，累積至2.016元。研究發現，此投資策略可提高報酬率，並降低持有時的風險。

關鍵字

農產品期貨；風險值；投資策略；黃豆；小麥；玉米

並列摘要

This study discusses agricultural futures on Chicago Board of Trade (CBOT), Select Soybean Wheat and Corn closing prices, during January 1, 2009 to December 31, 2015, basis of Bloomberg database. In 99% confidence interval, apply Historical Simulation Method, Variance-Covariance Method, Monte Carlo Method approach to estimate their VaR. The study discovered soybean mean of VaR is the lowest, wheat mean of VaR is the highest. Soybean need 4-5 months to grow up,winter wheat need 10 months, spring wheat need 3-4 months and corn need 5-6 months. Therefore, soybean has the shortest growth cycle, wheat has the longest. That soybean VaR is the lowest, wheat VaR is the highest. That the crops has short growth cycle, the Var is smaller then long growth cycle. Depending on agricultural growth cycle, this study recommends investment strategies, That is buy soybean in September, sell in April next year; wheat has winter wheat and spring wheat. So buy wheat in June , then sell in August,and buy wheat in September, sell in December. Buy corn in September, sell in April next year. when not holding futures, funds to purchase a one-year US treasury securities. If investment $1 in 2009, investment soybean until 2015, the assets can be accumulated to $1.903; investment wheat, the assets can be accumulated to $1.960; investment corn, the assets can be accumulated to $2.016.This investment strategies can improve the rate of return and reduce the RaV.