金融资本与商品期货市场关系分析

18481199819.42312000-2002232003200411990-2001CTA()30252Bodie,1983,BeckerandFinnerty20003419902003GSCIS&P500-0.07LehmanBond0.0430-40VaR25-30VaR15-2015-20%VaR10-15VaR20-30HedgefundCommodityIndexManagedFuturesWTICFTC199110200440CFTC1.CommodityIndexAIGDowJonesAIGCIS&PCIGSCIGSCIColeAssetManagement400-50012701/32.(Hedgeund)1949200485001UtilipointGlobalChangeAssociate2004200199410200430020031998303.ManagedFuturesManagedFuturesIndividualAccounts509050017.3200250012.23BarclayBTOP5017.43200412130020014132003BarclayTradingGroup4.CFTC20057NYMEXWTI53.815912.8CBOT22.511.3NYMEXLME3427121740261.PeterCFusaro,GaryMVasey.EnergyComesIntoFocusforHedgeFundsUtiliPointInternational,Inc.,2004.122.DwightR.Sanders,KeithBoris,MarkManfredo,Hedgers,funds,andsmallspeculatorsintheenergyfuturesmarkets:ananalysisoftheCFTC'sCommitmentsofTradersreports,EnergyEconomics,26(2004)425-4453.RandolfWarsager,TrendFollowingManagedFuturesandtheInstitutionalInvestor,ManagedFundsAssociationReport,2002.4