해운기업의 선종별 선대 구성에 따른 분산투자효과 연구

Abstract

The shipping industry enjoyed an unprecedented boom before the 2008 global financial crisis. However, it has been suffered since the financial crisis. The shipping market cycle, one of the characteristics of the shipping industry, is hard for anyone to predict. Shipping companies recognize the importance of risk management after going through shipping market cycles repeatedly. Thus, The major global container shipping companies make their business diversified as one of the risk management strategies. They provide not only container transport service but also other transport services by using bulk carrier, tanker and gas carrier etc. In this study, we tried to estimate the effects of reduced volatility of freight rate compared to single type of vessels, composing a fleet of multiple types of vessels. Among the various types of ships, we chose container ship, dirty tanker, clean tanker, and dry cargo ship as fleet composition. CCFI, BDI, BCTI, and BDTI, the representative freight rates for each type of ship, are analyzed by the weekly return of freight rate indexes from 2010 to 2019. The analysis shows there is relatively high correlation between BCTI and BDTI. Except for return of it, there are low other freight indexes. The return of BDI showed correlations of close to zero with other types of vessel. CCFI have negative correlation values for other types of vessel despite not sizable large in size. As a result, it can be seen that the composition using various types of ships reduces the volatility of freight rate. The portfolios which are Minimum variance portfolio, Inverse volatility portfolio, and Most diversified portfolio are constructed every year from 2010 to 2019 to reduce volatility. The analysis showed that CCFI had a high proportion to make small volatility. When the portion of the CCFI averaged 86%, it was possible to minimize the fluctuation of freight rate in Minimum variance portfolio. Inverse volatility portfolio, and Most diversified portfolio showed the similar result, CCFI had the highest weight and the rest of three indexes had equal proportion. The average annual weight of the portfolio of minimum variance is equal to 5 percent and the most diversified portfolio is equal to 10–11% except CCFI. Therefore, the container shipping companies can minimize the volatility of freight rate if the fleet consists of clean tanker, dirty tanker, and dry cargo ships at a similar proportion about 15 to 30 percent of its sales.