商品期货价格期限结构隐含交易策略信息的实证研究

An Empirical Research of Commodity Futures Price Term Structure Implying Trading Strategy Information

本文采用静态和滚动主成分分析的方法对最具代表性的9个品种商品期货价格期限结构进行了分析,得出我国商品期货价格期限结构变动的3个主要特征:曲线的平移、斜率的变化以及曲率的变化。在揭示不同变动方式的信息价值的基础上,本文提出多头、多头或者空头、多空平衡3种交易策略,并通过构建两个商品组合与基准持有策略收益进行了比较分析。结果表明,基于商品期货价格期限结构的隐含信息而构建的交易策略收益显著超过基准持有策略的收益。这对于交易者制定正确的交易策略具有重要的意义。

This paper applies the static and rolling principal component analysis （PCA） to the term structure of the most representative nine underlying commodities futures prices in China, finding that there are three main features about the variability of term structure dynamics： parallel shift of the curve, changes in the slope of the curve and change of the curvature. We formulate three distinctive trading strategies based on the information values of term structure dynamics： long, long or short, balance of long and short. By creating two commodity portfolios according to a principal component ranking we significantly outperform a longonly benchmark. It is of great significance for traders to make correct trading strategies.