| In the year of 2015,the stock and bond market of China experienced substantial fluctuations.The agency the author works for obtain a higher income as a result of active management timely and accurately.But in the market fluctuations of the early 2016,the accounts to manage initiatively could not do the trading operation more exactly,but the accounts having passive position got good earnings.These two management methods,active and passive management,caused me to think deeply: what kind of management is more likely to have lower risk and have more performance,and which kind of market the two management methods are suitable for? Some professional practitioners believe that people should not be rigidly adhere to the active or passive management in practice,but should pay attention to the allocation of large categories of assets,which has played a decisive role in the level of portfolio income.In conclusion,the author has read a large number of portfolio related papers and research reports about portfolio,to try to find a better portfolio strategy in various situations.There are two strategies in FOF fund asset allocation practice(the Yale fund management model based on mean variance model,based on the Bridgewater fund all-weather strategy model based on risk parity)have more excellent performance.They have the stable income because of passing the market test of several decades in overseas.However,the author found that the research of the two strategies is a separate study,and no comparison between them,so that the investors cannot be more intuitive perspective to analyze the application of these two strategies.At the same time,compared with the overseas market,the Chinese market has a great differences in style.Can the two strategies achieve better returns in China? Based on the above questions,the author makes a comparative analysis on the application of two FOF portfolio strategies in Chinese market.In this paper,reviewing and analyzing the domestic and foreign documents on portfolio theory,the author does the comparative analysis about the application of Yale fund management and the Bridgewater fund all-weather strategy in China market in the perspective of the portfolio strategy of the FOF fund.The characteristic of this paper is to compare directly the performance of the Yale fund model and the all-weather strategy mode in our country.The comparison can help the investors with different investment objectives choose the more suitable investment strategy.In order to optimize the allocation of fund assets and improve the risk return rate of the fund,this paper focuses on the research and application from the following aspects.First of all,the author selects a large class of assets the FOF fund can cover,after getting the historical data supported and referring to the features of the various assets,and has the subjective judgments about the risk and return of the kinds of assets.Secondly,the author uses the same data into the Yale fund management model and the Bridgewater all-weather strategy,does the cross-sectional study about the investment results,draws the conclusion and puts forward suggestions for investment. |
