油價對能源基金的影響

本研究結合油價走勢與結構性檢定，將油價區分為三個不同時期，以八檔能源基金為研究對象。透過風險值（VaR）、標準差、夏普指數等報酬風險係數與β係數來評斷不同油價對能源基金之影響程度，以提供投資者作為投資能源基金的一個指標依據。研究結果顯示，在第一個時期當中油價呈現小幅漲跌的現象，平均報酬率與風險值約為22.64%與3.78%；在第二個時期當中油價出現大幅上漲的趨勢，受惠於原油格的強勁走勢，平均報酬率與VaR分別為31.13%與3.81%，相較於前期，約略增加0.03%；而後隨著全球金融風暴的影響，使得全球經濟嚴重受挫，對於石油的需求大幅下降，能源基金整體報酬率出現嚴重的虧損，年均報酬率從31.13%跌至-95.04%，且各項績效指標都出現嚴重下滑的現象。

關鍵字

能源基金；基金績效；風險值；風險管理；油價

並列摘要

In this article, we investigate the relationship between the energy fund performance and oil price among three different period. And this study took eight funds as the subjects. Such as the BlackRock New Energy Fund A2, BlackRock Glb World Energy-A2-USD, BlackRock Glb World Mining-A2-USD, Schroder International Selection Fund - Global Energy A, Invesco Energy Fd-A, SGAM Eq Global Energy-A, WE Funds Global Energy Equities-AU-EUR, and Global Energy Fund C. The risk index is the VaR, and it focus on the impact of different oil price period on the energy fund performance measured by standard deviation, sharp index and beta coefficient,β. Base on the effect of oil price on performance appraisals, the investors can choice the available subjects to invest.According to the findings that price of oil had small fluctuation in the first period, and the average rewards rate were 22.64%, and risk rate were 3.78%. The second period found out that the price of oil had added about 0.03%, because it had influenced by the price of crude oil. Later, the subprime mortgage had influence the global economic, and the demand of oil had decrease. At this time, the energy fund reward had made serious loss, the average reward had fall from 31.13% to -95.04%, and each achievements index had on the downgrade for this period. Energy fund gain from the price of oil rise, in the other words, the oil price fall would make the reward of energy fund make a loss; however, oil is the most generally use of natural resources. When the global economic has recover from the finance risk, the price of oil will grow up again, and it also offer energy fund the power of rise. Therefore, investors should take an eye on the oil price trend, and bought the energy fund at the right moment.

並列關鍵字

Value at Risk ； Risk Management ； Energy Fund ； Performance Appraisals ； Oil Price

國際替代計量

油價對能源基金的影響

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