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

托管期货是指有关商品和金融市场的衍生工具（期货，远期合同和期权）的专业管理投资。通过商品交易顾问，私人商品池和公共商品资金来完成对托管期货的投资。这是新兴资产级A类好投资吗？为了解决这个问题，研究人员解决了以下投资绩效的主要问题。（1）托管期货的风险返还特征（2）作为独立投资的绩效（2）投资组合多元化的有效性（4）在传统的资产投资组合回答这些问题的托管期货之后和之前的尖锐比率提高了这些问题。发现表现较低的研究与发现绩效良好的研究之间的差异来自所使用的方法，所选时间段以及托管期货分析的商品交易顾问的类别……更多S（CTA），私人商品池和公共商品基金。毫无例外，所有研究人员都发现，管理的期货产品的可变性（按方差或标准偏差衡量）比股票，债券或t-bills更高。然后，问题变成回报是否足够高以证明这种高风险是合理的。如果托管期货的尖锐比率高于传统资产类别（例如股票，债券和t-bills），那么作为独立投资的托管期货是一款不错的投资工具。样本管理期货的同等权重投资组合超过了随机选择的托管期货的表现，但与少数投资概括或不超过了型号的竞争，以备受竞争。投资组合性能（如果没有，或与传统资产类别有很小的相关性）。实际上，将CTA和私人池纳入库存和/或债券投资组合将有效的边界向上和/或向左转移，并提高了Sharpe的比例，但公共未来的资金却没有。较少的

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）。