中国期货市场：基于期货商品建立基金的可行性分析

发布时间：2018-08-24 10:49

【摘要】：对于中国商品期货市场的英文学术研究非常有限,因此本文增加一些这方面的研究。随着中国经济的进一步发展,商品期货市场将变得越来越重要,更多的投资者期待以此作为投资的一种手段。对商品期货市场的应用有许许多多,如对冲和另类投资选择等。为了更好地了解中国大宗商品市场的差异,本文将会把全球商品市场与中国商品市场进行相互比较。本文选定中国作为交易市场,而不是其他地区,潜在的投资交易都将在中国进行。除此之外交易所买卖基金和共同基金的组成也将在本文的范围内探索讨论。本论文的目标将集中在两个主要问题:1)通过应用针对美国期货市场而建立的模型,确定美国和中国的期货市场之间的异同。2)通过比较中国期货市场风险调整后的收益与现有的投资,判断在中国商品期货市场创造财富的可行性。为了得出上述结论,本文将计算几组资产风险调整后的收益,并且进行相互比较。本文将探讨计算不同资产类别风险调整后回报率的不同方法。这三种方法分别是夏普比率,索提诺比率以及特雷诺比率。本文将用上述方法来比较不同投资工具在中国所带来的收益情况。
[Abstract]:With the further development of China's economy, the commodity futures market will become more and more important. More and more investors are looking forward to using it as a means of investment. There are many applications in the commodity futures market, such as In order to better understand the differences between China's commodity markets, this paper compares the global commodity market with China's commodity market. This paper selects China as a trading market, not other regions. Potential investment transactions will take place in China. This paper will focus on two main issues: 1) identifying the similarities and differences between the futures markets of the United States and China by applying the models established for the U.S. futures market; 2) judging the risk-adjusted returns of China's futures market by comparing the risk-adjusted returns with existing investments. In order to draw the above conclusion, this paper will calculate the risk-adjusted returns of several groups of assets and compare them with each other. This paper will explore different methods for calculating the risk-adjusted returns of different asset classes. These three methods are Sharp ratio, Sotino ratio and Trey ratio. This paper compares the benefits of different investment vehicles in China.
【学位授予单位】：华东理工大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F724.5

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