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Korean J Financ Stud > Volume 50(2); 2021 > Article
Korean Journal of Financial Studies 2021;50(2):247-277.
DOI: https://doi.org/10.26845/KJFS.2021.04.50.2.247    Published online April 29, 2021.
Investment Performance of ETPs Related to Crude Oil
Jae-Seung Baek1, Sungkyu Kim2, Myeonghoon Yoem3
1Professor, Hankuk University of Foreign Studies
2Manager, Mirae Asset Securities Co., Ltd.
3Director, Kiwoom Securities Co., Ltd.
원유관련 ETP의 투자성과에 관한 연구
백재승1, 김성규2, 염명훈3
1한국외국어대학교 교수
2미래에셋증권(주) 매니저
3키움증권(주) 이사
Correspondence:  Myeonghoon Yoem, Tel: +82-2-3787-5284, Fax: +82-2-3787-0323, 
Email: starbroker@kiwoom.com
Received: 30 October 2020   • Revised: 16 February 2021   • Accepted: 23 February 2021
Abstract
The unprecedented COVID-19 pandemic at the beginning of 2020 jeopardized the entire world. Meanwhile, the Russia–Saudi Arabia oil war led a crude oil market going out of the frying pan into the fire. This research has two main purposes. First, we investigate structures of the crude oil related exchange-traded products (ETPs) in terms of operation and cost. Second, we analyze the correlation and investment performance of the crude oil related ETPs and West Texas Intermediate spot market. The major findings are as follows: (1) there is a positive correlation between the crude oil spot and the crude oil producing firm, (2) the investment performance of the crude oil related ETPs is inferior to that of the crude oil spot due to the rollover cost, (3) the investment performance of the crude oil related leverage ETNs (Exchange-Traded Notes) or inverse ETPs has deteriorated because their managing structure tracks the daily return which leads to the compounding effects. These empirical results show the characteristics of the gain and loss of the crude oil-related ETPs, which enhance conceptual understanding and offer implications to policymakers and authorities for the efficiency of the alternative investment strategy.
Key Words: Crude Oil, ETN, ETP, Rollover, Sharpe Index


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