Empirical Research And Some Improvements Of The Main Quantitative Models Of Asset Allocation

With the continuous increase of Chinese residents' income and the continuous increase in the size of domestic funds,fund products that focus on stable returns and low risks have also increasingly become the focus of the market.In the domestic investment field,the demand for large-scale asset allocations has become more and more prosperous and increasingly dependent on the use of quantitative tools.In this context,this paper organizes the main quantification methods for the allocation of major assets,and empirically analyzes some important models,and then makes corresponding improvements based on the characteristics of each model.This paper mainly focuses on the fixed ratio investment model,the Markowitz model,the B-L model,the risk parity model,and the Faber tactical investment strategy.It also introduces their development and theoretical ideas,and briefly describes the advantages and disadvantages of each model.Fixed ratio model,Markowitz model and B-L model are all classical asset allocation models,but they have their disadvantages in investment practice.Both the risk parity model and the Faber strategy are excellent models that are relatively novel and suitable for market characteristics.They have received extensive attention from investors since the financial crisis.In empirical terms,this paper selected five indexes:Shanghai-Shenzhen 300,China Securities 500,Nasdaq Index,South China Commodity Index,and Shanghai Securities Debt for the backtesting of Equivalent weight model,risk parity model,and Faber strategy.In the process of backtesting,it also made corresponding improvements to the risk parity model and Faber strategy,adjusting the weight of assets in the risk parity model,improving the model as risk budget model,changing the timing indicator of trend tracking in Faber strategy to daily average index.The empirical results show that these three models have their merits.The risk-parity-enhanced strategy:risk budget model has the best overall performance.While having a steady return,the volatility and maximum drawback are also reasonable.If you need to configure major assets,the risk budget model will be a good choice.The performance of Faber tactical investment strategy in the domestic market is not as good as in overseas markets.After the improvement,the performance of the strategy is still common,it can be said that the basic idea of Faber strategy itself lacks an effective reflection of the asset market shocks.After the improvement,the feedback from the Faber strategy to the market turbulence situation is still too slow.Therefore,the localization of Faber's strategy needs more attempts.