The results of the previous chapter show that the relationship between different futures contracts and futures represents diverse welfare groups. Here, we check whether cooperation with different types of futures can improve the effective return/risk set of the benchmark portfolio (compared with stock index and interest rate futures). The null hypothesis generated by the test is the only benchmark asset that effectively crosses the test asset and the benchmark asset.

Table 6 During the reporting period, the annual research spans the probability values of full sample futures with different combinations. The first set of tests examines whether the stress intensity factors of the mean-variance efficient boundary, commodity futures and interest rate futures cross the efficient boundary of interest rate futures. In the whole example, every test of p value is zero. When the stress intensity factors of benchmark portfolio and interest rate futures commodity futures increase null, the mean-variance effective boundary is not improved. Therefore, the effective mean variance set of stock/interest rate portfolio is not equal to the commodity lineup. Sub-samples have only been tested in Hong Kong for three years, and only one of them is more than 5%. Similar results exist when the efficient boundaries of all futures are checked to cross the efficient boundaries of the benchmark portfolio. These results strongly support the conclusion that commodity futures can not replicate the risk-return basis only by using pressure intensity factor and interest rate futures. This conclusion is that the consistent time interval exceeds our sample period, which corresponds to our research results on the correlation of different types of futures in the last section.