A Study On The Application Of Risk Parity Theory In Private FOF Asset Allocation

FOF fund breaks the traditional operation mode of fund products,and pays more attention to reducing the risk factor in risk prevention.For example,the dispersion of portfolio risk,the mode of operation is to establish fund positions in relatively low and large assets,effectively decentralize the concentration of portfolio risk,so the risk of FOF products is relatively small.The vast overseas investors regard this low risk FOF as the investment channel of pension.Under the background of huge pension funds,FOF constitute more than 10%of the total private funds.Foreign researchers have found that the great willingness of FOF product success comes from investment asset allocation.Therefore,how to formulate a complete set of asset allocation is an important part of FOF product design.At present,the domestic private placement FOF is in the primary stage,and the relevant research is also in the hazy exploration.Therefore,the study of its asset allocation method is the key link to ensure the healthy development of the FOF.Based on the current background,this paper studies the application of risk parity theory in private placement FOF asset allocation,in order to provide some policy recommendations for private placement FOF asset allocation risk management.The study found that:Firstly,the study of quantitative asset allocation methods originated from Markowitz's mean-variance model.Since then,the related asset allocation models have been optimized and developed based on the framework of mean-variance theory,such as Goldman Sachs'Black-Litterman model.Markowitz's theory has laid an indelible theoretical position in the theory of Quantitative Asset allocation,and even laid the foundation of modern financial theory,but there are many shortcomings in practical application,such as the expected return on assets can not be accurately estimated,the model requires too much input parameters and so on.Therefore,in the actual asset allocation application,more attention is shifted to the asset allocation model with more robust expected retum,such as minimum variance model,equal weight model and risk parity model.The risk dispersion of the risk parity model is gradually attracted by investors.Its main idea is to make the risk contribution of each asset in the portfolio equal so that the portfolio can get a stable risk premium.Secondly,in the theoretical part,the main idea and mathematical theory of the risk parity model are introduced,and the equivalence weight model,the minimum variance model and the equivalence volatility model are introduced as a comparison to discuss the relationship and differences between different asset allocation models.The traditional risk parity model is based on the equal risk contribution of each asset in the portfolio,which makes the model excessively dependent on the number and type of assets in the portfolio,thus leading to the potential risk clustering problem.Thirdly,through empirical research,this paper compares the historical performance of risk parity portfolio,equal weight portfolio,minimum variance portfolio and equal volatility portfolio based on bonds,equity,gold and other common asset classes,and concludes that the return of risk parity portfolio is not very high,but has higher Sharp than other portfolios.Ratio.The study shows that risk parity is a low risk combination that can gain more robust returns.Compared with the original risk-parity portfolio,the risk-parity portfolio based on risk factors has higher returns and more balanced risk exposure relative to different macro-risk factors.