Reversion to the Mean - What to Buy, Sell, Hold based on History

Transcription

1 Reversion to the Mean - What to,, Hold based on History MarineMoney London 2015 Adrian Economakis Strategy Director adrianeconomakis@vesselsvalue.com

2 Introduction to VesselsValue

3 Introduction to VesselsValue The Shipping Market Intelligence and Valuation Service Established London 2010 >600 users, >300 clients across >30 countries Clients include; Banks, Owners, Funds, Brokers, Lawyers and Advisors VV$, VVQ

4 Introduction to VesselsValue VV$ VALUES: Instant algorithm driven vessel/company/portfolio valuations MARKET INTEL: Real time transactions, newbuildings, fleet addition/removals DATABASE: Daily updated vessel database including ownership and vessel specification information STATS: Global fleet and ownership statistics TRACKING: AIS vessel, portfolio, fleet tracking FILTERING & VISUALISATION: Interactive tools ANALYTICS: VVQ

5 Introduction to VesselsValue VVQuantitative Services Fleet Performance Analytics: Charter and trade flows Operating performance Utilisation Port/vessel analytics Market Analysis: Ton mile demand, net fleet growth, utilisation, speed Market outlook Long term charter rates and OPEX Financial Analytics: Estimated Loss Probability of Default Loss Given Default Recovery Rates Momentum index Conditional volatility Asset class correlation Alternative Valuations: Option pricing With Charter Valuations Income / DCF valuations

6 Reversion to the Average

7 Now? Values Rates Future? Demand Trends Fleet Growth Speed Risk? Data Volatility Correlation Analysis Values / Rates Vs. Historical Mean / Median Vs. Breakeven s Demand Vs Supply Growth Effects of Speed and Utilisation Riskiness Diversification Disposal Rating Hold

8 Values Current Values for 5yo Vs Mean, Median and Minimum ( ) Capesize Panamax Supramax Handy 20% 10% 0% 12% 10% 6% 0% -10% -20% -30% -23% -26% -26% Vs Mean Vs Median Vs Min -40% -50% -41% -41% -41% -48% -39% -60% Super Cycle removed (May 07- Feb 09 removed) 20% 10% 16% 13% 8% 0% 0% Vs Mean -10% Vs Median -20% -30% -20% -14% -20% -21% -24% -25% Vs Min -40% -35% -33%

9 Values Current Values for 5yo Vs Mean, Median and Minimum ( ) VLCC Suezmax Aframax LR1 MR 40% 30% 28% 30% 39% 35% 20% 10% 0% -10% -20% -30% -13% -8.0% -8% -1% -5% 4% -9% -3% -22% -8% 11% Vs Mean Vs Median Vs Min Super Cycle removed (May 07- Feb 09 removed) 40% 35% 33% 46% 41% 30% 20% 10% 2% 7% 12% 9% 9% 7% 3% 13% Vs Mean Vs Median Vs Min 0% -10% -0.5% -8% -3%

10 Values Values Vs Averages Rates Vs LONG Rates Vs SHORT Demand Vs Supply Avg. Volatility (5 year) Summary Capesize 1 Panamax BC 2 Supramax 2 Values Handy BC 3 VLCC Hold 4 Suezmax Hold 5 Aframax Hold 6 LR1 Hold 7 MR Hold 8

11 Rates Vs Breakeven s DCF Model Breakeven s calculated through VesselsValue.com s DCF model (including current value, WACC, OPEX, survey costs, commissions, fees and effects of vessels specifications).

12 Rates Vs Breakeven s - Bulkers Type (5 y/o) Value OPEX B/E Rate Long Term Rates (120 month median) Short Term Rates (3 month mean) Headroom of B/E over LONG term rate Headroom of B/E over SHORT term rate Capesize $41m $7,800 $23,299 $30,000 $13,000 $6,701 -$10,299 Panamax $23m $6,600 $16,329 $17,000 $8,000 $671 -$8,329 Supramax $21m $6,000 $14,263 $16,500 $9,000 $2,237 -$5,263 Handy $13m $5,200 $13,038 $11,000 $7,000 -$2,038 -$6,038 $28,000 $30,000 $23,000 $23,299 $18,000 $13,000 $8,000 $3,000 $7,800 $13,000 22% $17,000 $16,329 $16,500 $14,263 $9,000 $8,000 $6,600 $6,000 14% 4% $13,038 $11,000 $7,000 $5,200 OPEX Long Term Rates (120 month median) Short Term Rates (3 month mean) B/E Rate Headroom (B/E vs long term rate) -$2,000 Capesize Panamax Supramax Handy -19% Headroom (B/E vs short term rate) -$7, % -58% -86% -$12,000-79%

13 Rates Vs Breakeven s - Tankers Type (5y/o) Value OPEX B/E Rate Long Term Rates (120 month median) Short Term Rates (3 month mean) Headroom of B/E over LONG term rate Headroom of B/E over SHORT term rate VLCC $75m $10,500 $29,600 $16,000 $57,000 -$13,600 $27,400 Suezmax $59m $9,400 $25,937 $18,000 $44,000 -$7,937 $18,063 Aframax $41m $8,500 $20,300 $10,000 $36,000 -$10,300 $15,700 LR1 $38m $9,500 $19,500 $8,100 $36,000 -$11,400 $16,500 MR $25m $7,740 $16,400 $9,700 $17,000 -$6,700 $600 $60,000 $57,000 $50,000 $40,000 $30,000 $20,000 $10,000 $0 $44,000 $36,000 $36,000 $29,600 48% $25,937 41% $20,300 $19,500 $17,000 $18,000 $16,000 44% 46% $16,400 $10,500 $9,400 $10,000 $9,500 $9,700 $8,500 $8,100 $7,740 4% VLCC Suezmax Aframax LR1 MR OPEX Long Term Rates (120 month median) Short Term Rates (3 month mean) B/E Rate Headroom (B/E vs long term rate) Headroom (B/E vs short term rate) -$10,000 -$20,000-85% -44% -103% -141% -69%

14 Rates Vs Breakeven Values Vs Averages Rates Vs LONG Rates Vs SHORT Demand Vs Supply Avg. Volatility (5 year) Summary Capesize 1 Panamax BC 2 Hold Supramax 2 Values Handy BC 3 Hold VLCC Hold 4 Suezmax Hold 5 Aframax Hold 6 LR1 Hold 7 MR Hold 8

15 Rates Vs Breakeven Values Vs Averages Rates Vs LONG Rates Vs SHORT Demand Vs Supply Avg. Volatility (5 year) Summary Capesize 1 Panamax BC 2 Hold Supramax 2 Values Handy BC 3 Hold VLCC Hold 4 Suezmax Hold 5 Aframax Hold 6 LR1 Hold 7 MR Hold 8

16 Ton Mile Demand Ton miles (Distance when laden) X (DWT) X (Utilisation factor) for all trading vessels by type Distance calculation Latitude and Longitude (not 100% reliable) (Speed) X (Time) (to correct for signal errors) Filtration and allowances Piloting, anchorages, anomalous signals / GPS errors Geographical segregation for demand Demand for specific import regions for different vessel types View on the future Based on real time and historical global and regional demand trends

17 Capesize Demand Vs Supply Average annual demand growth: 6% Ton Mile (Billion) Speed (Knots) % Change kts Last 12 months demand growth: 7% Average scrapping age: 21.7 Newbuild Net Scrap 5.7% Average Laden Speed Average Ballast Speed 11.2% 10.0% 12kts

18 Suezmax Demand Vs Supply Average annual demand growth: 2% Ton Mile (Billion) Speed (Knots) kts Last 12 months demand growth: 2% Average scrapping age: Average Laden Speed Average Ballast Speed 11.5kts % Change % 4.6% 7.5% Newbuild Net -10

19 Dry Demand Vs Supply Capesize Panamax Ultra/Supra Handy Capesize Panamax Ultra/ Supramax Handy Last 3 years (Avg.) 6% 7% 11% 1% Last 12m 7% 13% 9% -0.1% Est Fleet Growth Est Fleet Growth Avg Demand Avg Supply 6% 6% 13% 6% 11% 9% 21% 6% -2% 2.5% -7% -5.5%

20 Crude Demand Vs Supply VLCC Suezmax Aframax VLCC Suezmax Aframax Last 3 years (Avg.) 2% 2% 2% Last 12m 1% 1.5% 3.8% Est Fleet Growth 3% -1.5% 2% Est Fleet Growth 9% 4.5% 3% Avg Demand Avg Supply -4.5% 0.25% 0.4%

21 Clean Demand Vs Supply LR1 MR LR1 MR Last 3 years (Avg.) 10% 9% Last 12m 13% 15% Est Fleet Growth 1.3% 11% Est Fleet Growth 8% 14% Avg Demand Avg Supply 7% -0.5%

22 Demand Vs Supply Values Vs Averages Rates Vs LONG Rates Vs SHORT Demand Vs Supply Riskiness Summary Capesize 1 Panamax BC 2 Hold Supramax 2 Values Handy BC 3 Hold VLCC Hold 4 Suezmax Hold 5 Aframax Hold 6 LR1 Hold 7 MR Hold 8 Hold

23 Riskiness / Volatility Volatility = % chance that values with change by more than 1/3 p/a CAPESIZE PANAMAX BC SUPRAMAX BC HANDY BC 5 Year Avg. 16% 16% 14% 17% Current 14% 12% 10% 43% 60% 50% 40% 30% 20% CAPESIZE PANAMAX BC SUPRAMAX BC HANDY BC 10% 0% 05-Jan Jan Jan Jan Jan Jan Jan Jan Jan-15

24 Riskiness / Volatility Volatility = % chance that values with change by more than 1/3 p/a VLCC SUEZMAX AFRAMAX LR1 MR 5 Year Avg. 13% 13% 12% 15% 13% Current 10% 13% 11% 14% 12% 60% 50% 40% 30% 20% 10% VLCC SUEZMAX AFRAMAX TNKR LR1 TNKR MR TNKR 0% 05-Jan Jan Jan Jan Jan Jan Jan Jan Jan-15

25 Riskiness (Vol.) Values Vs Averages Rates Vs LONG Rates Vs SHORT Demand Vs Supply Avg. Volatility (5 year) Capesize 1 16% (#5) Summary Panamax BC 2 Hold 16% (#5) Supramax 2 Hold 14% (#3) Values Handy BC 3 17% (#6) VLCC Hold 4 13% (#2) Suezmax Hold 5 13% (#2) Aframax Hold 6 12% (#1) LR1 Hold 7 15% (#4) MR Hold 8 Hold 13% (#2)

26 Summary? Values Vs Averages Rates Vs LONG Rates Vs SHORT Demand Vs Supply Avg. Volatility (5 year) Capesize 1 16% (#5) Summary Hold Panamax BC 2 Hold 16% (#5) Supramax 2 Hold 14% (#3) Values Handy BC 3 17% (#6) VLCC Hold 4 13% (#2) Suezmax Hold 5 13% (#2) Aframax Hold 6 12% (#1) LR1 Hold 7 15% (#4) MR Hold 8 Hold 13% (#2)

27 Summary? Values Vs Averages Rates Vs LONG Rates Vs SHORT Demand Vs Supply Avg. Volatility (5 year) Capesize 1 16% (#5) Panamax BC 2 Hold 16% (#5) Summary Hold Supramax 2 Hold 14% (#3) Values Handy BC 3 17% (#6) VLCC Hold 4 13% (#2) Suezmax Hold 5 13% (#2) Aframax Hold 6 12% (#1) LR1 Hold 7 15% (#4) MR Hold 8 Hold 13% (#2)

28 Summary? Values Values Vs Averages Rates Vs LONG Rates Vs SHORT Demand Vs Supply Avg. Volatility (5 year) Capesize 1 16% (#5) Panamax BC 2 Hold 16% (#5) Supramax 2 Hold 14% (#3) Handy BC 3 17% (#6) Summary Hold VLCC Hold 4 13% (#2) Suezmax Hold 5 13% (#2) Aframax Hold 6 12% (#1) LR1 Hold 7 15% (#4) MR Hold 8 Hold 13% (#2)

29 Summary? Values Values Vs Averages Rates Vs LONG Rates Vs SHORT Demand Vs Supply Avg. Volatility (5 year) Capesize 1 16% (#5) Panamax BC 2 Hold 16% (#5) Supramax 2 Hold 14% (#3) Handy BC 3 17% (#6) Summary Hold VLCC Hold 4 13% (#2) Suezmax Hold 5 13% (#2) Aframax Hold 6 12% (#1) LR1 Hold 7 15% (#4) MR Hold 8 Hold 13% (#2)

30 Summary? Values Values Vs Averages Rates Vs LONG Rates Vs SHORT Demand Vs Supply Avg. Volatility (5 year) Capesize 1 16% (#5) Panamax BC 2 Hold 16% (#5) Supramax 2 Hold 14% (#3) Handy BC 3 17% (#6) VLCC Hold 4 13% (#2) Summary Hold Suezmax Hold 5 13% (#2) Aframax Hold 6 12% (#1) LR1 Hold 7 15% (#4) MR Hold 8 Hold 13% (#2)

31 Summary? Values Values Vs Averages Rates Vs LONG Rates Vs SHORT Demand Vs Supply Avg. Volatility (5 year) Capesize 1 16% (#5) Panamax BC 2 Hold 16% (#5) Supramax 2 Hold 14% (#3) Handy BC 3 17% (#6) VLCC Hold 4 13% (#2) Suezmax Hold 5 13% (#2) Summary Hold Aframax Hold 6 12% (#1) LR1 Hold 7 15% (#4) MR Hold 8 Hold 13% (#2)

32 Summary? Values Values Vs Averages Rates Vs LONG Rates Vs SHORT Demand Vs Supply Avg. Volatility (5 year) Capesize 1 16% (#5) Panamax BC 2 Hold 16% (#5) Supramax 2 Hold 14% (#3) Handy BC 3 17% (#6) VLCC Hold 4 13% (#2) Suezmax Hold 5 13% (#2) Aframax Hold 6 12% (#1) Summary Hold LR1 Hold 7 15% (#4) MR Hold 8 Hold 13% (#2)

33 Summary? Values Values Vs Averages Rates Vs LONG Rates Vs SHORT Demand Vs Supply Avg. Volatility (5 year) Capesize 1 16% (#5) Panamax BC 2 Hold 16% (#5) Supramax 2 Hold 14% (#3) Handy BC 3 17% (#6) VLCC Hold 4 13% (#2) Suezmax Hold 5 13% (#2) Aframax Hold 6 12% (#1) LR1 Hold 7 15% (#4) Summary Hold MR Hold 8 Hold 13% (#2)

34 Summary? Values Values Vs Averages Rates Vs LONG Rates Vs SHORT Demand Vs Supply Avg. Volatility (5 year) Capesize 1 16% (#5) Panamax BC 2 Hold 16% (#5) Supramax 2 Hold 14% (#3) Handy BC 3 17% (#6) VLCC Hold 4 13% (#2) Suezmax Hold 5 13% (#2) Aframax Hold 6 12% (#1) LR1 Hold 7 15% (#4) MR Hold 8 Hold 13% (#2) Summary Hold Hold

35 What about the Short Term

36 Very Short Term Forecast Excess Supply Ballast Capesize Supply in certain geographies / oceans Froth Fizzle VV Supply Index Vs Rates (Capesize) Effect has to be big enough South Atlantic is most price sensitive region, where oversupply brings rates down most significantly (of which c3 is most price sensitive route). Indian ocean supply provides early warning.

37 VV Just the Tip of the Iceberg VV$ & Competitor Intel Real Time Vessel / Commodity Demand Value / Rate Forecasts VVQ Macro/Micro Trends Changing Demand Patterns Momentum, Volatility, Correlation Performance benchmarking Utilisation / Signals (timing) Arbitrage & Pricing Fleet at Risk $$$ (for those in the know)