Research On The Development And Investment Strategy Of China Commodity Futures Fund

In these years, financial crisis had some point of impact on economy and finance of China, however, futures market had developed fast, in the background of crisis, it also is keeping the fast speed. Nowadays, China has become the largest commodity futures market in the world, while, for understanding either futures market or futures fund, domestic investors still have a long way to go. In abroad, institutional investors dominate in this market, but in China, individual investors account for larger percentage. Development of institutional investors will be the trend of domestic market. Last year along with policy encouragement for asset management, futures fund will bloom in the next following years.The first part of this paper gave a brief introduction of futures fund, including it’s origin, history, difference between futures fund and hedge fund, and construction of futures fund, then introduced the contemporary situation and future of futures fund in China. At the same time, the paper described the organization and operation of futures fund by using the case of Jieang Investment. In the second part of paper, investment strategy was introduced and detailed analysis was given focusing on arbitrage in same market and arbitrage in different market.The purpose of paper is to give a better understanding for reader about the trends of domestic futures market, and how to operate futures fund, as well as the investment strategy-arbitrage in same market and arbitrage in different market. Hoping this paper can help to give an outlook of this whole industry.