Research On Asset Allocation Strategy Of Securities Investment Funds

Asset allocation is a very complex process and systematic project for securities investment funds. In the face of volatile financial markets and many varieties of financial assets, the ability to allocate assets is very critical to achieve excellent performance. From two levels of strategy and tactics, this paper conducted a theoretical and empirical research on the major categories of asset allocation, stock-industry allocation, stock-style configuration and fixed income securities configuration. All these studies based on the latest international and domestic asset allocation research and this paper chose Chinese stock and bond market as the main assets of the Fund's investment targets.This paper studies the strategic asset allocation in the framework of the business cycle. Macroeconomic analysis is the first step in asset allocation, and it is basic to judge the value of the stock market. Investors should allocate assets on the background of the business cycle, and then they can gain strategic benefits on the long run. Based on sorting out the previous literature, this paper presented a new way of asset allocation from the perspective of the business cycle. The way is to divide the business cycle into sub-types. From the non-classic business cycle point of view, this paper attempts to do a re-arrangement to amend and enlarge the classical cycle stages. This process is to remove stagflation from the fourth stage of business cycle, and then to establish a new non-classic model to include it. In this way, this paper expands its range of applications, making it perfect and applicable.This paper studies the tactical asset allocation from the ways of sector allocation, style allocation and fixed income securities strategy.Style investing is an important branch of modern portfolio theory. This paper put forward a clear style management framework, which had a clear logic and can quantify to operate. According to investors'active degree, this paper divides style strategies into three kinds: passive, static and dynamic. Static style strategy is a relatively stable strategy and its benefits and risks are relatively low. This paper first chose value and growth stocks to compare, then chose large and small cap stocks. From the empirical point of view, this compare found no significant difference between the value and growth stocks, but there is a clear yield gap in large and small cap stocks. In recent years, there is a yield gap in the size of China's stock market, Further, this paper designs a super index SI from the static and dynamic point of view, and by calculating the value and distribution of SI, and investors can set the different strategies to manage styles. When SI=0, we do not have to carry out style of management. When the SI is the same sign, negative or positive, we should excute the static style of management, namely, style fixed strategy. When the SI is the different sign, the frequency of positive and negative values are very close, less expectations, larger variance and stronger continuity, we should implement the dynamic strategies.Sectors allocation is an important part of asset allocation and industry effect is greater than style effect according to some researchs. There are many ways to analyze industries, including fundamental and market analysis, but this study chose a portfolio perspective to measures the SW22industries rate of return, risk and inter-industry correlatioa Sector rotation strategy is a positive strategy and is a hot spot for domestic and international research in recent years. This paper analyzed the reasons of sector rotation and studied the laws of sector rotation from the two perspectives of business and monetary cycles. Investors should overweight energy, chemical sectors in the period of expansion, but should overweight food and beverage, medical sectors in the period of decession. This paper concludes that the phenomenon of sector rotation is only the law of a particular period, and the industry's substitution is inevitable in the end. Many domestic institutions and scholars draw some conclusions about sector rotation. These conclusions are only empirical and dependent on their different ways to divide the stages of economic cycle. According to different standards, it is possible to divide different stages of business cycle. Therefore, the law of sector rotation is only the law of a particular historical period and investors should observe whether the relevant conditions change.Fixed-income securities have irreplaceable advantages and are an important optional category in assets allocation. It is very significant to have some percentage of fixed income securities for improving a portfolio's the safety, liquidity and profitability. This paper divided asset allocation strategy of fixed-income securities into three types:passive, semi-active and active. Passive-type strategy believe stock price already reflects all information, so any positive activities do not help improve investment performance. Such a strategy mainly includs buy and holding strategy, the index strategy and cash flow matching strategies. Positive-type strategy use accurate analysis and judgments to manage assets, mainly including interest rate expectations, the yield curve, credit analysis, valuation analysis and bond swap strategies. Semi-active type is a strategy between the positive and negative and in such one investors want to get certain income under the premise of effective risk aversion. Contingent immunization is an integrated strategy.At present, the international fund industry is in a boom period, and many institutions and researchers continues to explore in this field. With the increasingly sophistication of China's capital markets and continuous innovation of financial instruments, more and more high-level asset allocation theory and techniques will appear in the future,.