Application And Study Of The Commodity Future In The Asset Portfolio

With both rapid globalization of economy and financial and acceleration of international financial capital flows, the financial derivatives get extraordinary development. The financial derivatives as the important means of risk management become noticeable gradually with financial liberalization and innovation. Commodities futures market as a higher form of a market economy, price discovery and hedging function is improving, status as a financial product has been widely recognized.The traditional view, commodity future mainly reflects the merchandise character because of the supply and demand relationship. In recent years, commodities future has closer relationship with macroeconomic and financial market, financial character represents continuously as well and even be regarded as "quasi-financial futures". As more and more financial investors involved in the commodity market, many commodities-based financial derivative products also continued be originated. Financial investors will also added commodities futures to their asset portfolio, not only because it contains the profit opportunities and because it can effectively resist the risk of inflation, and but also because it can effectively dispersed the original portfolio risk profile.According to Markowitz Asset Portfolio theory, adding low related asset into portfolio can reduce the combination risk effectively. According to a large number of foreign researches show that commodity futures and other financial products have such a low correlation. Therefore, commodities futures are not only an excellent tool and can effectively improve the performance of the asset portfolio. Because of this, in recent years, abroad commodity futures investment have sprung up everywhere, with its outstanding performance and unique improve the performance of the traditional role of the investment.But the research and applications of commodities futures added to the asset portfolio are very limited in China. This paper seeks to make up for this deficiency. With the commodity futures market "quasi-financial" rapid development as the background, combined theoretical research and experience from a multinational corporations where I'm working at, paper did a in-depth study about the operation of commodities futures added to the asset portfolio and summarize the results of investment portfolio under the different strategies including commodity futures, and made a number of practical experience and conclusions. Finally this paper made some of the recommendations for the development of China's financial markets and especially put forward a tentative suggestion of developing Commodity Future Investment Fund in China.