THEORETICAL AND EMPIRICAL INVESTIGATION OF MANAGED FUTURES

管理期货的理论和实证研究

• 批准号: 09630116
• 负责人: SAKAKIBARA Shigeki
• 金额: $ 0.96万
• 依托单位: KOBE UNIVERSITY
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Scientific Research (C)
• 财政年份: 1997
• 资助国家: 日本
• 起止时间: 1997 至 1998
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-09630116/
• 关键词: Commodity Funds; Managed Futures; Commodity Trading Advisor; Public Futures Funds; Private Commodity Pools; Sharpe Ratio; 商品先物; 効率的フロンティアー; シャープ・レシオ

Managed futures refers to professionally managed investments in derivative instruments (futures, forward contracts, and options) in the commodity and financial markets. Investments in managed futures are accomplished through commodity trading advisors, private commodity pools, and public commodity funds.Is this emerging asset class a good investment? In order to solve this question, researchers address the following main issues of investment performance.(1) risk-return characteristics of managed futures(2) performance as a stand-alone investment(3) the effectiveness in portfolio diversification(4) the improvement of Sharpe ratio after and before inclusion of managed futures in traditional asset portfolioThe answer to these questions is mixed. The difference between the studies which found inferior performance and the studies which found favorable performance comes from the methodology used, the time period selected, and the category of managed futures analyzed-commodity trading advisor … More s (CTA), private commodity pools, and public commodity funds.Without exception, all researchers found managed futures products to have higher variability (as measured by variance or standard deviation) than stock, bonds or T-bills. The question then becomes whether returns were high enough to justify this high risk. If Sharpe ratio of managed futures is higher than that of traditional asset class such as stock, bond and T-bills, managed futures as a stand-alone investment is a good investment vehicle.The equally weighted portfolio of sample managed futures outperformed the randomly selected managed futures, but did not outperform stock or bond with a few exceptions.According to Markowitz's theory of portfolio selection, a managed futures investment can enhance portfolio performance if there is no, or small correlation with traditional asset class. In fact, the inclusion of CTAs and Private pools in stock and/or bond portfolio shifts the efficient frontier upward and/or to the left, and improves Sharpe ratio, but public future funds do not. Less

管理期货是指在商品和金融市场上对衍生工具(期货、远期合约和期权)进行专业管理的投资。对管理期货的投资是通过大宗商品交易顾问、私人大宗商品池和公共大宗商品基金完成的。这一新兴资产类别是一种好的投资吗？为了解决这个问题，研究者们研究了以下几个影响投资绩效的主要问题：(1)管理期货的风险收益特征(2)作为独立投资的绩效(3)投资组合多元化的有效性(4)将管理期货纳入传统资产组合前后夏普比率的改善这些问题的答案好坏参半。发现表现不佳的研究和发现表现良好的研究之间的差异来自所使用的方法、选择的时间段和所分析的管理期货的类别--商品交易顾问…S(CTA)、私人商品池和公共商品基金。所有研究人员无一例外地发现，管理期货产品的波动性(以方差或标准差衡量)都高于股票、债券或国债。然后，问题变成了回报是否足够高，足以证明这种高风险是合理的。如果管理期货的夏普比率高于股票、债券和国债等传统资产类别的夏普比率，管理期货作为一种独立的投资工具是一种很好的投资工具，等权重的样本管理期货投资组合的表现优于随机选择的管理期货，但在少数例外情况下并不优于股票或债券。根据马科维茨的投资组合选择理论，如果与传统资产类别没有相关性或相关性较小，管理期货投资可以提高投资组合的绩效。事实上，将CTA和私募基金纳入股票和/或债券投资组合会使有效前沿向上和/或向左移动，并提高夏普比率，但公募未来基金并非如此。较少

项目成果

榊原茂樹: "商品ファンドのリスク-リターン特性(仮題)" 神戸大学経営学部ワーキングペーパー. (未定). (1999)

Shigeki Sakakibara：“商品基金的风险回报特征（暂定名称）”神户大学工商管理学院工作论文（待定）。

榊原茂樹: "商品ファンドのリスク-リターン特性(仮題)" 神戸大学経営学部ワーキングペーパー. (1999)

榊原茂树：《商品基金的风险回报特征（暂定名）》神户大学经营学部工作论文（1999）。