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市场营销英语翻译
5.2 Correlation analysis
Most of the studies on using commodities to enhance diversification focus on the benefits stemming from the lower correlations between commodity indexes and equity portfolios. We not only consider the commodity-equity-bond index portfolio correlations, but also the pairwise correlations between individual futures contracts. We also examine the correlations for different categories of futures for each year of the study.
5.2 (A) Correlations across categories of futures and across time
Many equity diversification studies in the last decade have reported an increase in the correlations among different international equity markets, resulting in a diminished diversification benefit. Earlier studies found that the correlation between equity markets to be about 0.20 in the 1970s (e.g. Bertoneche, 1979). Recent studies (Solnik, Boucrelle and Le Fur, 1996, and Shawky, Kuenzel, and Mikhail, 1997) report that the correlations increased to approximately 0.50. For our data Table 3 shows that the average correlations between different futures contracts are much lower than for equity markets and are relatively stable from one year to the next. In fact, many of these annual average correlations are near zero, supporting the inclusion of non-equity futures contracts into a diversified portfolio of assets.
5.2 (B) Correlations across different futures and with the equally-weighted portfolio
Table 4 provides the average correlation of each futures contract with all other futures, plus their correlations with the equally-weighted portfolio, the GSCI, and the CRB index. The table also specifies which futures contract has the lowest correlation with each contract being examined. Previous studies have not adequately investigated the correlation characteristics between different futures contracts and among groups, as shown here and below. Table 4 shows that 22 of the 41 futures contracts have their
lowest correlation with currency futures, 17 of which are U.S. dollar futures. Ten correlate the least with interest rate futures, five with stock index futures, and three with commodity futures. Moreover, all interest rate futures are negatively correlated with the equally weighted portfolio. In addition, seven of the commodity futures contracts have their lowest correlation with interest rate futures. Overall, currency and interest rate futures, as well as commodity futures, can reduce portfolio risk due to their low correlations with other futures contracts.
5.2 (C) Correlation between and within groups
Table 5 provides the correlations between and within groups, with the average intra-group (within group) correlations given along the diagonal and the inter-group (between group) correlations off the diagonal. Table 5 shows that the average correlations within the groups are high for SIF, interest rates, energy, and the commodity indexes.
5.2 Correlation analysis
Most of the studies on using commodities to enhance diversification focus on the benefits stemming from the lower correlations between commodity indexes and equity portfolios. We not only consider the commodity-equity-bond index portfolio correlations, but also the pairwise correlations between individual futures contracts. We also examine the correlations for different categories of futures for each year of the study.
5.2 (A) Correlations across categories of futures and across time
Many equity diversification studies in the last decade have reported an increase in the correlations among different international equity markets, resulting in a diminished diversification benefit. Earlier studies found that the correlation between equity markets to be about 0.20 in the 1970s (e.g. Bertoneche, 1979). Recent studies (Solnik, Boucrelle and Le Fur, 1996, and Shawky, Kuenzel, and Mikhail, 1997) report that the correlations increased to approximately 0.50. For our data Table 3 shows that the average correlations between different futures contracts are much lower than for equity markets and are relatively stable from one year to the next. In fact, many of these annual average correlations are near zero, supporting the inclusion of non-equity futures contracts into a diversified portfolio of assets.
5.2 (B) Correlations across different futures and with the equally-weighted portfolio
Table 4 provides the average correlation of each futures contract with all other futures, plus their correlations with the equally-weighted portfolio, the GSCI, and the CRB index. The table also specifies which futures contract has the lowest correlation with each contract being examined. Previous studies have not adequately investigated the correlation characteristics between different futures contracts and among groups, as shown here and below. Table 4 shows that 22 of the 41 futures contracts have their
lowest correlation with currency futures, 17 of which are U.S. dollar futures. Ten correlate the least with interest rate futures, five with stock index futures, and three with commodity futures. Moreover, all interest rate futures are negatively correlated with the equally weighted portfolio. In addition, seven of the commodity futures contracts have their lowest correlation with interest rate futures. Overall, currency and interest rate futures, as well as commodity futures, can reduce portfolio risk due to their low correlations with other futures contracts.
5.2 (C) Correlation between and within groups
Table 5 provides the correlations between and within groups, with the average intra-group (within group) correlations given along the diagonal and the inter-group (between group) correlations off the diagonal. Table 5 shows that the average correlations within the groups are high for SIF, interest rates, energy, and the commodity indexes.
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