Capital Preservation Fund Asset Allocation Study

The change of market philosophy has altered the profit mode of Chinese securities market thoroughly since the deep falling in 2001. With the entrance into WTO and financial system reform, investment fund has faced multiple competition and international challenge. Under this condition, principal protected fund emerges as the times require. Compared with the matured securities market, Chinese securities market is lack of financial derivatives that are used to protect principal, so principal protected fund has limited investment variety. Under such kind of condition, the problems of how the principal protected fund operate and whether its original principle and system are suitable for Chinese securities market are worth further studying.This dissertation introduces the general situation of principal protected fund and the related theory of asset allocation firstly. The asset allocation of Southern Principal Protected Fund is analyzed particularly, including its comprehensive performance and composition performance. Meanwhile its different allocation capability is also evaluated. Then the asset allocation that is accorded with investment target is designed by studying the current market condition.Southern Principal Protected Fund is successful, whose gains exceed its estimated amount, which derives from its positive asset allocation strategy. From the study of stock allocation, the result shows that investment gains are not always matching with its risk and the suitable stock allocation can bring extra return, so it is meaningful to select stock actively. When analyzing the market opportunity, another result also shows that the positive forecast can bring more gains than the average level as long as its successful forecasting rate is above zero obviously. The principal protected fund whose investment is limited into the bonds and the stocks that are listed in two stock exchanges has its own living space and is certain to develop with the maturation of Chinese securities market. In view of the investment variety similar to principal protected fund designed, this dissertation supplies the practical feasibility for private investor. It is of applicable value.