商品期货能够提高传统投资组合的绩效吗?来自中国市场的经验证据

Do Commodity Futures Improve the Performances of Traditional Portfolios?Evidence from the Chinese Market

本文选取2015—2019年中国股市、债市以及商品期货市场数据作为样本,将投资者分为保守型投资者和激进型投资者,使用9种不同的投资组合策略对商品期货的作用进行样本内分析、样本外分析。实证结果表明,样本外绩效表现远远不如样本内绩效表现,且商品的绩效表现取决于投资策略。1/N、战略加权、风险平价、最小方差和Black-Litterman策略中,不同种类的商品期货能够提高传统投资组合的样本外绩效;而风险回报时机、均值—方差、Bayes-Stein收缩和含有高阶矩的常相对风险厌恶效用策略不能。在所有的投资组合策略中,BlackLitterman策略引入了观点矩阵及其可靠性,是最佳的组合策略。此外,还对商品期货在资产配置中的权重进行分析并计算滚动夏普比率。样本期间超配债券现象明显,权重标准差大于5%时,商品期货往往不能提高传统投资组合的绩效。

Many foreign researchers have studied the role of commodity futures in traditional portfolios.Most of them believe that commodity futures can improve the performances of traditional portfolios through increasing returns or reducing risks of portfolios.However,few studies investigate the commodity performances of portfolios in China and the conclusions are controversial.Based on the market of stock,bond,and commodity futures in China from 2015 to 2019,the in-sample and out-of-sample performances resulting from adding commodity futures are analyzed.The data of CSI 300 Index,CSI Aggregate Bond Index,and a series of Wind Commodity Indexes are employed,respectively.9 different portfolio strategies including 1/N,Strategically-Weighted,Risk-parity,Reward-to-Risk Timing,Minvar,Mean-Variance,Bayes-Stein shrinkage,Black-Litterman strategy,and portfolio selection with higher moments are used.And investors are divided into conservative and aggressive investors.The empirical results indicate that the commodity performances of portfolios are depended on the strategy employed.Firstly,out-of-sample performances are worse than in-sample performances.Under the out-of-sample setting,1/N,Strategic Weighted,Risk Parity,Minvar,and Black-Litterman strategy show that commodity futures are beneficial to all kinds of investors.Reward-to-Risk Timing,Mean-Variance,Bayes-Stein shrinkage,and portfolio selection with higher moments show opposite performances.Secondly,considering the“view”return and the reliability matrix,the Black-Litterman strategy is the best of all portfolio strategies.Thirdly,weights of commodity futures and the rolling Sharpe ratio are reported.Commodity futures in weights with volatilities of more than 5%often show poor performances.Besides,bonds overweight was obvious during the sample period.The findings of this paper suggest that commodity futures in China do improve the performances in traditional portfolios when appropriate strategies are chosen.Besides,it is crucial to estimate the parameter in the models.