The emergence of energy commodity exchange-traded fund (ETFs) has provided an alternative vehicle for both energy commodity users (long hedgers) and producers (short hedgers) to hedge their respective exposures to unfavorable commodity energy price movements without opening a relatively expensive futures account. This paper examines the usefulness of ETFs in dealing with tail risk in crude oil, gasoline, heating oil, and natural gas markets by analyzing the out-of-sample hedging effectiveness of ETFs and comparing their performance with those of the futures counterparts. The empirical distribution method and kernel copula method are applied to estimate the minimum-Value at Risk (VaR) and minimum-Expected Shortfall (ES) hedge ratios for both long and short hedgers. Our results indicate that the futures contract is a better hedging instrument for hedging tail risk in the crude oil and heating oil markets whereas the ETF provides better downside risk protection in the gasoline and natural gas markets.

能源商品交易所交易基金（ETF）的出现为能源商品用户（多头套期保值者）和生产者（空头套期保值者）提供了一种替代工具，以对冲他们各自面对不利的商品能源价格变动的风险，而无需开设相对昂贵的期货账户。本文通过分析ETF的样本外套期保值有效性并将其表现与期货交易对手的表现进行比较，研究ETF在处理原油，汽油，取暖油和天然气市场的尾部风险中的有用性。应用经验分布法和核函数关联法来估计多头和空头套期保值者的最低风险值（VaR）和最小预期亏空（ES）套期保值比率。