Research Of Optimization Of Agricultural Product Index Tracking Strategy Based On Commodity ETF

ETF is the Exchange-Traded Fund,meaning exchange-traded Fund,the Fund took the form of passivly tracking the index investment funds.According to efficiency market hypothesis,along with the market grow from the weak efficient market to the efficient market transition,fundamental analysis and quantitative analysis of past in geting excess returns failure will gradually be replaced by tracking index of passive investment.Commodity futures index funds is one of the most rapidly growing fund variety in the United States in the 21 st century.At the same time the Chinese market is growing from half strong efficient market to strong efficient market transition stage,the domestic investment market of passive index requirements gradually increase,so the market requires a lot of funds can be used for tracking the investment index.But most of the current domestic market investment research has focused on the stock index,for the development of commodity futures index number is few.In addition,by the end of 2016,domestic stock index ETF investment volume has reached about 489 billion,therefore the existing investment commodity futures index for the optimization of the investment has certain innovative and practical significance.Since the 21st century,commodity funds is one of the most rapidly growing fund variety in foreign countries.The ETF is the exchange-traded funds,each index ETF fund unit is corresponding to the package of portfolio,and the combination of asset classes is as same as the index of a particular component.Commodity ETF is an innovation in commodity futures contracts which build a portfolio to obtain commodity risk premium as the target.As an investment to track the underlying commodity index,foreign commodity index development is at the mature stage now.Contrast with the vigorous development of the commodity index abroad,the current domestic commodity index is still in its initial development stage.On the one hand,only several futures research center have authorization to prepare full market commodity index and release,but these institutions focused more on the benchmark index than on the investment of the commodity index;On the other hand,due to the stock exchange index can be authorized as investment targets,exchange index is more focused on the investment.Most current domestic investment commodity index is simple market value weighted index.For the purpose to raise the commodity index investment,Smart Beta optimization is necessary.In this paper,applying Smart Beta strategies can optimize the current domestic investment commodity index.First of all,on the basis of the particularity of the commodity index,domestic and international commodity index were analyzed and pointed out,we select the C AFI index for the optimization of Smart Beta;Secondly,based on the study of Smart Beta theory analysis,innovated "Smart Beta optimization index of agricultural products" is established and the innovated risk convenience yield ratio factor is established;Finally,based on commodity ETF tracking index investment way,this article analyzed the "Smart Beta optimization index of agricultural products" investment,and applicated the futures fund CTA evaluation system to optimize ETF operation,and concluded that the "Smart Beta optimization index of agricultural products" can reduce the risk and increase the yield of Etfs.Analysis results show that the commodity Index optimization strategy based on Smart Beta can significantly reduce the risk of the commodity Index value,reduce the maximum retracement,and reduce the maximum loss of potential.In terms of increased of the revenue,commodity Index optimization strategy based on Smart Beta can significantly increase the commodity Index of unit net asset value and net growth rate,but the commodity Index optimization strategy based on Smart Beta of commodity Index Sharpe thewire and Sortino Index to optimize the effect is not significant,this may be due to the commodity Index,Sharpe thewire and Sortino Index more affected by Index contains ingredients in varieties,commodity Index optimization strategy based on Smart Beta,therefore,cannot the have the large effect.In conclusion.The Smart Beta commodity index optimization strategy to reduce risks and improve benefits both have certain effect,because this article selected the monitoring center of agricultural products futures index has certain representativeness and universality,this article studied the optimization strategy can be applied to other commodity index investment promotion,it is a more effective way of commodity index optimization.