中文摘要：

本文基于风险分散与通胀保护视角，通过构建DCC—MVGARCH模型与通胀保护回归模型，对我国铜、铝、豆粕和天然橡胶等四种商品期货的组合投资价值进行了实证检验。结果显示：测度商品期货风险分散功能的条件相关系数具有时变性，除豆粕外，铜、铝、天然橡胶等商品期货与股票的相关性出现了系统性的上升，而四种商品期货与债券则始终保持着低相关性；在通胀保护层面，四种商品期货均能提供通胀保护，但人民币汇率因素干扰了铝、铜和天然橡胶对未预期通胀的反映。研究结果为揭示商品期货的风险特质以及呈现商品期货收益率与宏观经济因素的关系提供了新的研究线索。

英文摘要：

From the perspective of risk diversification and inflation protection, this article uses the methods of DCC-MVGARCH, regression model of inflation protection to empirical study the portfolio investment value of the SHFE copper, SHFE aluminum, DCE soymeal and SHFE rubber. The results show that conditional correlation to measure the risk diversification value of commodity futures has time variation, except for DCE soymeal, 3 of the selected commodity futures display a systematic upward movement on the correlation with stocks. All the commodities are however weakly correlated with bonds all the time. On the other side, all the 4 commodity futures are eligible for hedging expected inflationwhile only DCE soymeal are capable of unexpected inflation protection. The capability of unexpected inflation protection of the rest three commodities are tampered by the RMB exchange rate. The results offer new clues to find different risk features in various assets and present the relationship between return on assets and macroeconomic factors