선박투자에 있어 선박종류에 따른 분산투자효과에 관한 연구

Abstract

본 연구는 선박투자에 있어 선박종류에 따른 분산투자 효과를 검증하는 것을 목적으로 한다. 이를 위해 최근 15년간(2000년부터 2014년까지) 벌크선, 탱커선, 컨테이너선의 단일 선종에 투자하는 경우와 두 가지 선종이상에 분산투자하는 경우의 선박 투자수익률과 투자위험을 비교하였다. 뿐만 아니라 벌크선, 탱커선, 컨테이너선 외에 특수선과의 분산투자 효과에 대한 검증도 동일하게 실시하였다. 나아가 벌크선, 탱커선, 컨테이너선 및 특수선으로 구성된 포트폴리오중에서 가장 효율적인 투자선(Efficient Frontier)도 결정하였다. 분석결과에 따르면 개별 선종에 대한 투자수익률은 일반적인 해운 및 선박투자에 대한 저수익 고위험이라고 인식해 온 바와 달리 수익률이 높으면서 위험도 높은 것으로 나타났다. 두 가지 선종이상에 투자하는 포트폴리오의 경우 벌크선과 특수선으로 구성된 포트폴리오의 분산투자 효과가 가장 좋았으나 그 외의 투자 포트폴리오 조합들과 비교하여 분산투자효과는 크지 않은 것으로 나타났다.

The main purpose of this study is to analyze investment performance for each different type of ships, including major commercial vessels(bulk carrier, tanker and containership) and off-shore vessels(AHTS: Anchor Handling Tug and Supply and PSV: Platform Supply Vessel). This study also attempted to validate the diversification effect of investing in commercial ships and special ships together for the period from 2000 to 2014, using average returns and variances of investments in each type of ships, correlations and covariance of each portfolio. All investments carry some level of risk and an investment in ships is commonly known as high risk-low return investment, which is quite contradictory to the generally known concept in investment, high-risk and high-return or low-risk and low-return. Considering the super boom before the 2008 global financial crisis, followed by long depression in shipping continuing up to now, the risk profile of an investment in ships is naturally expected to be high. The result of this analysis demonstrated that investments in three major types of commercial vessels showed high returns and high risk profiles. The internal rates of returns of investing in bulk carrier, tanker and containership were 35.5%, 34.7% and 24.9%, respectively. The volatility of the returns, measured in terms of variance and known as investment risk, was 16.3%, 5.8% and 6.9%, respectively. These are relatively high when compared with most businesses. Diversification in various ship types rather than investing in a single type of ship can reduce the volatility or risk, which is well known as the “diversification effect.” However, as it is evident that the correlations among various types of ship did not show negative or even low relation, not much should be expected from diversification even though some possibilities of diversification can be accomplished. The background behind these high correlation is obvious in that most of ships regardless of types are related to world economic activities in one away or the other. As such, sources of negative or lower correlations among ships are less evident. The lowest correlation is 12.4% for a portfolio with bulk carrier and off-shore vessel whereas the highest of 83.4% for one with tanker and containership. In relation to the diversification effect of portfolio investments in different types of ships, the portfolio consisting of bulk carrier and off-shore vessel turned out to be the most efficient one with the best performance among others while the differences among investment portfolios being minimal. The areas for further analysis in the future include 1) to check whether there is different pattern in investment return and diversification effect for pre-2008 financial crisis and for post-2008, financial crisis, 2) to measure risk-adjusted performance such as Sharpe ratio and 3) for diversification exercise, to add financial assets such as domestic or foreign stocks and fixed income securities.