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

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
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.

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
5.2相关分析和投资组合的大部分股权将研究使用商品指数的商品之间的相关性加强的重点从较低的多样化所带来的好处.我们考虑的不仅是商品,股票债券指数组合的相关性,而且个人之间的合约期货的两两相关性.我们还研究了不同类别的相关性研究为期货每年.
5.2（A）在期货类别的相关性和跨时间的多样化,很多股票过去10年的研究报告中有一个公平的市场,加强国际间的相关性不同,造成了减少分散的效益.早先的研究发现,股市之间的相关性大约在20世纪70年代如Bertoneche,1979年（0.20）.（最近的研究索尔尼克,Boucrelle和乐毛皮,1996年,Shawky,库策尔,和米哈伊尔,1997年）报告,相关增加到约0.50.对于我们的数据表3显示,不同期货合约之间的平均相关性要比较低的股票市场,并从一年到下相对稳定.事实上,许多相关的这些年平均接近零,支持期货合约成为一个多元化的资产组合纳入资产非.
5.2（B）的相关性在不同的期货与同样加权组合表4提供的平均相关每一个与所有其他期货期货合约,以及与他们相关的同样加权组合,高盛和CRB指数.该表还规定了该期货合约的最低合同与每个相关研究正在进行.以前的研究没有进行充分调查不同群体之间的期货合约及相关特征,如以下所示.表4显示,合同22 41期货,其最低17度与货币期货,其中的美元期货.与10个相关的利率期货,至少有5个股票指数期货,商品期货和3.此外,所有利率期货的负相关,同样的加权组合.此外,商品期货合约7人及其与最低的利率期货的相关性.总体而言,货币和利率期货,以及商品期货,可以降低投资风险,由于其他期货合约的相关性低.
5.2（C）相关群体之间和内部表5提供了组内和之间的相关性,平均集团内（组内）沿对角线和跨组间组（给予相关）的相关性关闭对角线.表5显示,各组内的平均相关性为应力强度因子,利率,能源和商品指数高.