Fund Allocation Strategy Empirical Research

In the year 2001 and 2007,the stock market of China has experienced the bear and bull market. The institution the author works for adopts the"sell high and buy low"strategy . The achievement obtained in the bear market has overcome the market, but falls behind the market in the bull market. Contrary to the Institutional investors, some individual investors who take the"pursue rises and kill falls"strategy suffere heavy losses in the bear market and make satisfactory investment performance in the bull market. Still other some investors who adopt the"buy and hold"strategy obtain the investment achievement which is also enviable.The author embarks from the above phenomenon and has found the theory basis through reading massive material. These theories were discussed and studied. Finally in light of Chinese capital market, fund allocation strategy is applied to the stock market and bond market, obtained the following conclusion:Constant mixed strategy is suitable for adjustment market with no mega-trend and worst for bear market. Portfolio insurance strategy is fit to the market with mega-trend. Buy and hold is a center strategy.The Stock market of our country in January 23 rd, 2002 to August 24, 2004 is adjustment market with no mega-trend. Constant mixed strategy is the best. In the period of April 7th, 2004 and June 6, 2005 is a bear market. The most superior investment strategy is Portfolio insurance strategy. Empirical results are consistent with the expected theoretical, which is powerful proof for theoretical analysis. Between the time June 6, 2005 and October 16, 2007,the stock market is a bull market, although portfolio insurance strategy can yield the greatest net and the net growth, the risk undertaken is oversized. The risk preference investor can take it in the rising market. Looking from the Sharp index, in certain disposition scope, constant mixed strategy is most superior. The risk loathing investor can take it,which gives evidence found for the the institution the author works for. There is a proportion of the allocation of assets for any implementation of a strategy, but the proportion of different asset allocation made by the investment performance will take different risks, investors can combine their assets and the risk tolerance to choose investment strategy.