英语翻译5.4 Modified value-at-risk The last section concludes th

英语翻译
5.4 Modified value-at-risk
The last section concludes that combining different types of futures enhances the resultant portfolio’s risk-return profile relative to a portfolio of SIF and interest rate futures.This section examines the combined effect of all four distributional moments by using a Modified value-at risk measure.
Table 7 provides the basic statistics and Modified VaR values for a $100 investment for the equally-weighted portfolio,the benchmark portfolio of SIF and interest rate futures,the CRB index,the GSCI,and the S&P 500 contract in panel A,and for different equally weighted group portfolios in panel B.In panel A the equally weighted naive portfolio generally has a better return,smaller risk,less negative (or more positive) skewness and a smaller potential loss (via the VaR results) than the benchmark portfolios.What’s more,the naïve portfolio is least volatile among the four alternatives,with a low standard deviation and the smallest range of returns over the six-year period.The naïve portfolio possesses the same sign for the mean return as the GSCI and CRB in all six years,showing the common effect of commodities and energy on all three indexes.While the naïve portfolio return is generally superior to the S&P 500 return in stock bear markets (2001 and 2002),it did worse than the S&P 500 in bull markets (1998 and 1999).The Modified VaRs at two standard deviations show that the equally weighted portfolio of futures suffers from less potential extreme losses than any of the other indexes,especially the S&P 500.In panel B,the interest rate futures portfolio and currency futures portfolio have smaller return,risk and potential loss,while the SIF portfolio and
commodity futures portfolio returns are relatively more volatile.Energy futures portfolio has the highest risk and highest Modified VaR among all the groups.
Table 8 provides the Modified VaRs for each futures instrument and the equally weighted portfolio for each year and the entire sample period of this study.Interest rate futures have the least potential loss,with currency futures having the next lowest potential loss.The equally weighted portfolio has a low potential loss relative to most of the individual contracts.We conclude that a naively constructed portfolio of all highly liquid futures contracts is a good investment,with interest rate and currency futures playing a positive role towards reducing risk in this diversified portfolio.
The results in table 7 and 8 provide a different perspective on diversification,namely the influence of skewness and kurtosis on potential large loss events.These results show that,even after consideration of skewness and kurtosis,the diversification benefit of combining different types of futures is ample relative to a benchmark portfolio of SIF and interest rate futures.

5.4修正值高危
最后一节的结论是,期货相结合的提高所造成的不同类型的投资组合的风险回报状况相对于股指期货和利率期货的投资组合.本节审查通过使用改进的价值,在风险衡量所有四个分配时刻的综合效果.
表7提供了基本的统计为平均加权组合100美元的投资和改进的VaR值,股指期货和利率期货的基准投资组合中,CRB指数,高盛商品指数和标准普尔500指数在面板的合同,并为不同同样在小组加权组组合B.在小组A的平均加权天真组合一般具有较好的回报,更小的风险,减少负（或更积极）偏度和较小的潜在损失风险值结果通过（）比基准投资组合.更重要的是,在天真的组合至少在4个选择波动,低标准偏差及以上的6年期的收益最小的范围.天真的组合具有了作为高盛商品研究局和各6年平均回报相同的标志,显示在所有这三个指标的商品和能源的共同作用.虽然天真组合的回报是普遍优于标准普尔500股票熊市（2001年和2002年）的回报,它确实比标准普尔500指数在牛市差（1998年和1999年）.在两个标准差表明,改性VaR的期货组合的加权平均患有比任何其他指标的潜力极大损失,特别是标准普尔500指数.小组B,利率期货和外汇期货的投资组合投资组合较小的回报,风险和潜在亏损,而应力强度因子组合和
商品期货投资回报相对更不稳定.能源期货的投资组合具有最高的风险在所有的群体和最高改性的风险值.
表8为每个期货工具和投资组合的加权平均每年这项研究的整个样本期间的改性VaR的.利率期货的至少是潜在的损失,与货币具有未来最低潜在损失期货.同样加权组合具有较低的潜在损失相对于个别大部分合约.我们的结论是,所有的高流动性的期货合约,天真地构建一个良好的投资组合是与利率和发挥对在这个多元化的投资组合降低风险的积极作用,货币期货.
结果在表7和第8提供一个多元化的不同观点,即对潜在的大损失事件的偏度和峰度的影响.这些结果表明,即使在偏度和峰度的考虑,结合不同类型的期货多样化的好处是相对充裕的SIF和利率期货的基准投资组合.