商品金融化背景下商品期货的多样化收益研究

Research on the Diversification Benefits of Commodity Futures under the Background of Commodity Financialization

日益丰富的商品期货交易种类为传统投资组合的风险-收益结构提供了可行的改善路径,但同时商品期货的风险对冲功能也受到了商品金融化趋势的现实冲击。本文基于不同分布假设下的均值-方差张成检验方法探究引入商品期货改善传统投资组合的路径和程度,并在此基础上利用投资组合的样本期外滚动数据对商品期货的多样化收益进行多维绩效检验。研究发现:1.无论是否考虑资本市场现实中的交易制度约束,样本期内商品期货的加入都能够显著地改善传统投资组合选择的风险-收益结构;2.商品期货对投资组合有效边界的改善主要体现为风险分散效应,商品期货的加入不能为传统资产配置策略带来超额收益;3.引入商品期货能够有效地降低投资组合样本期外的标准差和尾部风险,高风险厌恶的投资者配置商品期货能够取得更高的等价性收益。本文研究结果表明,尽管大宗商品金融化趋势不可逆转,但将商品期货引入传统投资组合仍是推动中国资产配置策略优化升级的有效途径。

The increasing variety of commodity futures provides a feasible way to improve the risk-return structure of traditional portfolio for Chinese investors.While the trend of commodity financialization indicates that the diversification benefit of commodity futures may be vanishing.Based on mean-variance spanning test under different distribution assumptions about asset returns,this paper investigates the potential benefits of commodity futures in Chinese market.Moreover,the in-sample and out-of-sample portfolio effects are analyzed by adding commodity futures to a stock-bond portfolio for typical asset allocation strategies such as equally-weighted,risk-parity and mean-variance model.The empirical results of this paper indicate that the addition of commodity futures in the sample period can significantly improve the risk-return structure of traditional portfolio selection,no matter whether short selling constraint is set or not.Moreover,the improvement of portfolio efficient frontier by commodity futures is mainly realized by risk reduction,whilethe addition of commodity futures can hardly bring excess returns to traditional stock-bond portfolio.Furthermore,the introduction of commodity futures can effectively reduce the standard deviation and tail risk in out-of-sample rolling test,and the allocation of commodity futures by investors with high risk aversion can achieve higher equivalence returns.The findings of this paper show that although the trend of commodity financialization is irreversible,the introduction of commodities into traditional portfolio is still an effective way to enhance portfolio performance in Chinese market.