許多報導指出，投資於連結期貨以及衍生性金融商品的商品指數型基金並不能獲得與現貨一致的報酬，本文主要之研究目的即為探討可能導致上述現象的原因。本研究發現兩檔投資於原油市場以及天然瓦斯市場之商品指數型基金的報酬與其標的現貨之報酬有極大的差距，而實證結果顯示跨月價差即為造成報酬差距的主因。另外，本研究發現在西德州原油期貨以及熱燃油期貨中，商品指數型基金數目的增長與跨月價差的擴大有顯著的正向關係，而指數型投資的轉倉行為亦顯著造成跨月價差進一步擴大，本研究在西德州原油期貨以及天然瓦斯期貨此二大型商品原物料指數型基金投資之市場得到證實。最後，本文嘗試模擬避險基金/套利者之投資策略，設計以跨月價差變化為依據之投資策略進行模擬交易，即若是在跨月價差擴大時減少持有曝險部位，反之，則增加持有曝險部位之交易策略，本文稱之為「逆跨月價差曝險交易」。實證結果發現「逆跨月價差曝險交易」策略可以改善跨月價差對於期貨報酬之影響，使指數型商品之報酬更為貼近現貨市場的報酬。

Generally, investment in commodity ETFs cannot produce similar performance as well as spot goods. Evidence shows that “rolling” futures positions experience “contango and the effects on contango will harm ETFs” value. This study shows that two ETFs, USO and UNG, underperform the spot substantially because of rolling in the crude oil and natural gas market, respectively. In this study we employ four energy sector futures market data from the Thomson Reuters to investigate the impact of rolling positions on the relation between commodity index funds and in contango/backwardation. This paper finds that increasing trading in commodity index fund made futures market more contango in the WTI crude oil, natural gas and heating oil markets. This study termed the strategy as the Backwardation Sensitive Trading (BST) . Moreover, this research designs an investment strategy based on variation of backwardation. That is to examine whether BST can make a successful arbitrage: increase holding when the market is more contango and decrease holding when the market is more backwardation. Our strategy performs better than USO and UNG, and those performances perform lower tracking error on oil and natural gas over 2006 to 2010.

圖 次 V
表 次 VI
第一章 緒論 1
第二章 文獻探討 7
第一節 商品期貨跨月價差之成因 8
第二節 商品期貨價格影響來源 10
第三節 商品指數型基金對於期貨市場的影響 12
第三章 研究資料與研究方法 14
第一節 商品指數型基金 14
第二節 研究樣本 19
第三節 研究方法 21
第四章 商品指數型基金與跨月價差 24
第一節 實證結果 24
第二節 複製USO、UNG 31
第三節 抗跨月價差基金 34
第四節 逆跨月價差曝險交易 37
第五章 結論與建議 40
參考文獻 42

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