Chinese Commodity Markets: Determining The Feasibility Of Commodity Based Funds

There is limited academic research from a Western perspective conducted on the Chinese commodity futures markets.Hence,the aim of this dissertation is to contribute to a better understanding of the topic.As more investors look to use commodities as a means for investment as the Chinese markets will become ever more important with the continued development of the Chinese economy.Another attractive factor of commodity futures as an investment is the plethora of potential uses of the futures markets,such as hedging strategies,and alternative investment options.To better understand the Chinese commodities market this thesis will compare the global commodities markets to the Chinese markets.The primary goal of this thesis is to focus on two aspects about Chinese commodities.1)To develop a framework that describes the similarities and differences between the U.S.and Chinese commodity markets.This approach will apply the method developed for American commodities markets.In this part,academic models from U.S.commodity markets will further explain Chinese commodity markets.2)A risk-adjusted return will compare Chinese commodities to existing investment vehicles in China.The results of comparison will be to determine the viability of creating investment products derived from the Chinese commodities futures market.This dissertation will explore different approaches to calculating the risk-adjusted rate of return for commodity asset classes.The three ratios that will be studied are the Sharpe Ratio,Sortino Ratio,and Treynor Ratio.This approach will be used as a method to compare the returns on different investment vehicles in China.A comparison will be made with the risk-adjusted return of the commodities traded in China with different forms of investments in China,to determine the viability of Chinese commodities as investments.This will lead to the determination of the viability of the composition of commodity-based ETFs and mutual funds...