The Empirical Research Of The Selection Of Fund Of Funds And Their Combinatorial Optimization

The guide of FOF has brought new opportunities to the development of public fund industry.More and more securities firms and fund companies begin to design their own FOF products.The formation of a FOF product is divided into five steps: FOF product design,large class asset allocation,finer asset allocation,strategic design and fund selection.The essence of FOF is the combination of funds.Therefore,this paper researches on the selection strategies of different varieties which are stock funds and bond funds in the financial market.First,this paper determined the product positioning of FOF and asset allocation plan,and then studied related theory of fund selection strategy of the public FOF products which have been traded on the market in our country and determined the selection model of funds.The model included the position analysis selection model for bond funds and earnings select analysis model for stock funds.Then,in the position analysis,this article used spectrum Q type cluster and dynamic clustering method to realize the fast judgment and choice of various fund.In the benefit analysis,this paper selected the equity week data and selected open-ended funds with stable investment style based on sharp investment style model.The correlation test,average rank difference test and dynamic Hurst value were used to inspect the long-term and short-term sustainable performance of the funds,in order to select the funds with the rankings forward of sustainable performance.At last,this paper constructed a portfolio income optimization model based on the fund manager's performance ability,and empirically studies the simplified income optimization model of target risk type FOF.The results showed that the simplified FOF model has a good profitability,and the cumulative profit exceeds the market index in the short term.