Optimization Of FOF Fund Asset Allocation Strategy Based On The Perspective Of Risk Parity

With the approval of the first public offering FOF on September 8,2017,the pension target fund has gradually entered the public's vision.FOF funds differ from traditional funds in that they do not invest in stocks or bonds,but in funds.Through the operation of funds in the fund,through the selection and allocation of a basket of funds,the structural risk is further reduced and the overall risk is more dispersed.In the asset allocation strategy,the risk parity strategy calculates the weight of each asset by equating the risk contribution of all assets,which can effectively control risks.It is widely welcomed in overseas markets and has achieved good performance in the FOF fund and pension fund markets.It has been proved by some scholars that the rate of return of different assets is affected by some common risk factors,which makes it possible to study asset allocation strategy or risk management from the perspective of risk factors.Different from the traditional risk parity strategy,which makes the risk contribution of each asset equal for asset allocation,the main idea of this paper is to evenly allocate risks by extracting the main public risk factors in the return on assets and making the risk contribution of risk factors equal to the whole portfolio.This article from the stocks,bonds,commodities,currencies in each of these four categories of assets has chosen two kinds of representative index as an investment target,then by approximate factor theory and ER rules to extract the main risk factor in the return on assets,and based on risk factors for constructing the parity strategy to balance risk,after each warehouse during the period of dynamic tuning warehouse,eventually make portfolio risk compared to the original parity strategy for better performance.In addition,the paper also adds stop-loss strategy to the expected declining assets,so that the portfolio can better respond to changes in the economic environment.Asset allocation from the viewpoint of risk factors,there have been some foreign scholars have known factor F-F three factor,such as macroeconomic factors and risk parity,risk assets such as budget allocation strategy combining tried,in this paper,the method is also after the common factor in the case of unknown factors extracted from the asset allocation method provides a train of thought.