Research On Quantitative Investment Strategy Of FOF Funds Based On Time Lag Information Of Commodity Futures

With the development of China's futures market,commodity futures provide a wealth of market information for traders to adjust investment strategies and avoid investment risks.And,the accelerated development of China's FOF funds has made the design of FOF fund products and the construction of investment strategies increasingly attract the attention of investors and fund companies.Futures market and fund market play an important role in China's financial market.Both are generally considered to have a certain degree of linkage.However,there is less research on related theories and practices about the use of information on the commodity futures market as a basis for constructing FOF fund investment strategies.Therefore,based on the time lag information of commodity futures market,this paper designs a quantitative investment strategy for FOF funds,which has important theoretical and practical significance for the innovative application of futures market information and the construction of FOF fund investment strategies,and also provides a reference for fund investors.Based on the review of the literature,this paper validates the significant correlation between the time-lag return rate of the four groups of commodity futures indices and the next-trading-day daily return rate of the corresponding industry fund.And the four sets of commodity futures indices include the Thread Index,the Shanghai Gold Index,the Coal Composite Index,and the Nonferrous Metals Composite Index.Then,the futures index's time-lag return rate is taken as the signal source indicator of the futures market,so as to build a signal combination and formulate corresponding FOF fund position management measures,and then determine the parameters of the quantitative investment strategy model.Finally,the effectiveness of the FOF fund's quantitative investment strategy was tested through different historical intervals.we can find that the FOF investment strategy constructed in this paper has stable income acquisition and risk control capabilities,which equipped with the scientific nature of design and feasibility of practical operation from the analysis of net value curve,annualized rate of return,Sharpe ratio,Max drawdown,position management effectiveness and the operating-winning rate of the FOF investment strategy.