The conclusion of the last section is that the improvement of futures portfolio leads to the risk-return situation of different types of portfolio compared with the combination of stock index futures and interest rate futures. This section examines the comprehensive effect of using improved value at all four distribution moments of risk measurement.

Table 7 provides the basic statistics of the average weighted portfolio of $65,438+000 and the improved risk value. In the benchmark portfolio of stock index futures and interest rate futures, the contracts of CRB index, Goldman Sachs commodity index and Standard & Poor's 500 index in the panel are different. The average weighted naive portfolio in Group A generally has better returns, less risk, less negative (or positive) skewness and less potential loss risk. More importantly, the naive portfolio is at least within the fluctuation range of four choices, with low standard deviation and minimum return of more than 6 years. The symbol of naive portfolio is the same as that of Goldman Sachs Commodity Research Bureau and the average return every six years, which shows the common role of commodities and energy in all three indicators. Although the returns of naive portfolio are generally better than those of Standard & Poor's 500 stock bear markets (200 1 and 2002), they are indeed worse than those of the Standard & Poor's 500 index in bull markets (1998 and 1999). The two standard deviations show that the weighted average of the modified VaR futures portfolio has suffered more potential losses than any other index, especially the S&P 500 index. In group B, the combination of interest rate futures and foreign exchange futures has smaller returns, risks and potential losses, while the stress intensity factor and

The investment return of commodity futures is relatively more unstable. The portfolio of energy futures has the highest risk and the highest corrected risk value among all groups.

Table 8 shows the weighted average of the corrected risk values of each futures instrument and portfolio during the whole sample period of this study every year. Interest rate futures are at least potential losses, and the potential losses of money in the future are the lowest. Compared with most individual contracts, the same weighted portfolio has lower potential losses. Our conclusion is that all highly liquid futures contracts naively construct a good interest rate portfolio and play an active role in reducing risks in this diversified portfolio currency futures.

The results in Table 7 and Table 8 provide a diversified view, that is, the influence of potential major loss events on skewness and kurtosis. These results show that, even when skewness and kurtosis are considered, the advantage of combining different types of futures diversification is a relatively rich benchmark combination of SIF and interest rate futures.