| In the portfolio strategy,the mean variance strategy has always dominated,but its assumptions are relatively strict,resulting in poor performance in practical applications.Especially in the 2007 financial crisis,the mean variance strategy had poorer performance than other strategies.And during this period,the use of risk-based parity strategy can still maintain a high return,which makes risk parity strategy fame.As the name implies,The risk-parity strategy is that the risk of each asset type in the portfolio is equal.In this paper,the stock index,bond index and commodity futures of Chinese market are used to represent the three types of assets:stocks,bonds and commodities.The data from January 2008 to July 2017 are used as the sample,and the risk parity strategy is compared with the traditional mean variance strategy,the equal weighting strategy and the minimum variance strategy.The innovation of this paper is the use of the sample analysis method.By setting the stock portfolio of the benchmark,we will add precious metals,nonferrous metals,agricultural products and chemical products,gold,copper,soybean meal and rubber respectively to the benchmark portfolio of stock bonds.This paper examines whether the addition of commodity futures increases the value of the benchmark portfolio and further analyzes the effect of the risk parity strategy on the addition of commodity futures under different economic cycles.And this paper divides the different economic cycles and examines the impact of the addition of commodity futures to stock&bond benchmark portfolio in each cycle.Through research,this paper draws the following conclusions:(1)From the perspective of revenue,we use the cumulative yield as an indicator,whether it is the benchmark portfolio of stock bonds or the portfolio of commodity futures,the risk of the cumulative rate of risk strategy is highly consistent,while the CSI 300 index cumulative rate of return fluctuates greatly.In the whole study of the sample period,the overall cumulative rate of return is basically the same;(2)From the overall performance perspective,the average annualized Sharp ratio of the risk assessment strategy is the highest in the benchmark portfolio,and the maximum retrace rate is only 4.19%,which is only 3.82%of the minimum variance strategy;for the benchmark portfolio of commodity futures,we find that besides variance strategy,risk parity strategy,the weight and the minimum variance with commodity futures in general does not improve the sharpe ratio;(3)Furthermore,through the use of the CPI and the industrial added value of the economic cycle,analyzes the risk parity strategy in different economic cycle to join the performance of commodity futures,found about joining the combination of gold,copper and rubber can increase the value of the benchmark portfolio has close relationship with the economic cycle.The results of this paper have some references to the portfolio investment in China's securities market,which gives us a new investment idea and a lot of inspirations for our portfolio investment.Firstly,risk-parity strategies diversify risk as the primary goal of a portfolio through the risk of sharing in the various asset classes,secondly if we don't have enough confidence in the predicted results,it's better to ignore it.Otherwise it might not be good to predict because the accuracy is too low,such as the traditional mean variance strategy.The construction of the optimal portfolio is determined by the three parameters of the asset:the expected return,the volatility,and the correlation between the asset classes.If we can accurately calculate these values,then the optimal strategy is very easy to make.But we don't know the real value in reality,we can only estimate.The accuracy of the investment depends on the estimated accuracy.the accuracy of parameter estimation is not high,the management of this uncertainty is the advantage of the risk-parity strategy.When we cannot estimate a parameter accurately,the best method is not to estimate. |
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