利用期货投资基金规避证券组合风险的实证研究

Lowering the Risk of Portfolios by Introducing Managed Futures Fund:An Empirical Study

本文对股票、债券、股指期货、商品期货四类资产,采用华夏大盘精选、南方50、沪深300股指期货、和CRB商品期货指数,逐步构建投资组合来研究期货投资基金对证券组合风险的影响。期货投资基金同股票及债券投资的弱相关性,使之成为大资金规避投资风险的良好投资工具,我们通过均值-方差边界、最大Sharpe比率、以及Ω比率确定了适合我国特点的投资组合(股票、债券、股指期货、商品期货),权重分别为(0.36,0.24,0.38,0.02),该组合规避了传统证券投资组合89.81%方差风险,并在采用Ω比率指标验证该组合具有最优的预期收益比。

This paper constructs portfolios with stocks,bonds,stock index futures and commodity futures to analyze the influence of managed futures on the risks arising from the traditional investments.The weak correlation between managed futures and traditional asset allocation makes the former an optimal instrument to avoid the investment exposure.We derive a proper weight among the Chinese market based portfolio（as stocks 36%,bonds 24%,stock index 38%,commodity futures 2%）,which lowers the overall risk of stocks and bonds investment combination by 89.81%.Meanwhile,by utilizing Ω ratio,we confirm that adding managed futures instrument can achieve the optimal expected investment returns.