Study Of FOF's Asset Allocation Strategy Based On Fund Network Clustering

With the continuous development of China's economy,the traditional single asset investment pattern has been unable to adapt the change of global economic and the demond of investment portfolio diversification,and a large number of financial products on the market,it's necessary to use modern portfolio management method to diversify investment,and use multi asset allocation to achieve stable asset appreciation.As an effective asset allocation product,FOF has attracted the attention of domestic and foreign investors.With the implementation of the relevant provisions about public fund,the development of FOF in China has entered a new era,and the research on asset allocation based on FOF has become a hot topic in the academic and industry research.Based on complex network theory and Modern Portfolio Theory,in order to solve problems about related asset allocation and investment portfolio selection,the paper proposed the Principal Components Risk Parity(PCRP)model based on diversification thought and the portfolio selection model based on fund network clustering,and constructed the FOF dynamic asset allocation strategy based on fund network clustering.An empirical study on the effectiveness of asset allocation model in the largest category of assets and the application of FOF dynamic asset allocation strategy in public funds.In the model building,because of the assumption that the mean variance model based on the modern portfolio theory is too idealistic,the scholars gradually remove the assumption from different perspectives to expand the investment portfolio.In this paper,we analyzed the relevant literatures from perspectives of cognitive change,behavioral interaction and risk preference,and found that current models are poor about high correlation assets.Therefore,Principal Component Analysis(PCA)model is used to linearly transform on the original assets to form principal component bets,Combining the risk parity model,the paper constructed the PCRP model based on diversification thought.In view of the amount of assets,the paper used complex networks and Adaptive Affinity Propagation Clustering(AAP)to select funds,and constructed the portfolio selection model based on fund network clustering.Besides,based on the above two models,the FOF dynamic asset allocation strategy in public funds is constructed.In the effectiveness test of asset allocation model,based on CSI 300 Index,Nasdaq 100 Index,SSE 5-Year China Treasury Note Index and SHFE gold spot as the largest category of assets,the paper tested the effectiveness of the largest category of assets allocation model in different asset allocation models.The result indicates that the PCRP model has annual yield of 5.44%,the maximum retracement of 2.97%,sharp ratio of 0.807,the ratio of Calmar of 1.830,and the PCRP model constructed in this paper is better than the traditional RP model and other asset allocation model.Furthermore,the result has strong robustness.Application Research on FOF dynamic asset allocation strategy,the paper regards funds that can be invested by FOF as investment targets,and constructes fund selection pool with AAP algorithm in fund network,and constructs the FOF asset allocation strategy in different dynamic asset allocation models.The result indicates that when the 20 funds are selected each time,the PCRP model has annual yield of 7.81%,the maximum retracement of 4.15%,sharp ratio of 1.947,the ratio of Calmar of 1.882,and the PCRP model has obvious advantages in the construction of FOF investment strategy.Besides,the sensitivity analysis of model parameters shows that the model has strong robustness.This paper combines theory and practice,optimizes asset allocation model and constructs the corresponding asset allocation strategy,has a certain edge in research ideas,model construction and application strategy,which is conducive to fully reveal the Chinese fund market investment style.It provides a theoretical basis for the regulators to better formulate regulatory policies,and provides a new inspiration for the fund companies to take FOF services,provides guidance for investors to make scientific investment decisions.Of course,there are some limitations in this paper,such as the singleness of the fund evaluation system,the limited precision of the model and the unconstrained weights of different kind of funds,which will be carried out in the following research.