Research On The Strategy Of FOF Asset Allocation

In the volatile domestic financial market and the complex international situation,the fund performance is generally not strong sustainability,and the volatility is large,the diversification of risk to obtain stable returns has gradually become the mainstream demand of investors.In this context,the public offering FOF came into being.The difference between FOF and traditional fund products is that FOF pays more attention to the diversification of portfolio risk.It can avoid the risk exposure to a large class of assets by flexibly allocating low correlation assets.At present,the domestic public offering FOF is still in its infancy stage,and the research on its asset allocation is an important part to realize the sound development of FOF.The performance of asset allocation strategy based on risk parity is more stable than that of traditional asset allocation strategy when economic cycle fluctuations or major risk events such as "black swan" occur,which is of great practical significance for the research of public FOF asset allocation in China.This paper mainly introduces the mainstream asset allocation models such as equal weight model,minimum variance model and equal volatility model,and analyzes their advantages and disadvantages.However,these asset allocation strategies cannot fully meet the needs of investors for risk diversification,and the risk parity strategy,which realizes the optimization of portfolio risk structure,is widely concerned because of its stable performance.The core of the traditional risk parity model is to balance the risk contribution of all kinds of assets in the portfolio,but this will make it over dependent on the type and quantity of assets in the portfolio,resulting in the risk exposure to one or several types of assets.Therefore,this paper also introduces a risk parity model based on risk factors.At the same time,this paper also elaborates the related concepts and characteristics of FOF,and compares the development process of FOF in the United States,and puts forward optimization suggestions for the future development of FOF in China.This paper takes the risk parity model as the research object,and makes an empirical analysis on the asset allocation of the global asset classes,and compares its performance with the portfolio constructed by the current mainstream asset allocation model.It is found that the risk parity strategy is a relatively stable asset allocation strategy with a higher portfolio Sharpe ratio.In addition,this paper also constructs a risk parity portfolio based on risk factors through principal component analysis.The Sharpe ratio of the portfolio has a certain degree of improvement compared with the original risk parity portfolio,showing a better risk dispersion effect.In view of the above models,neither the risk characteristics of different assets nor the future income performance of assets are considered,this paper improves the risk parity model by introducing the methods of expected risk estimation and trend tracking,and then constructs the risk parity portfolio with expected risk and the risk parity portfolio with trend tracking.The improved risk parity portfolio has more risk income performance Balanced,sharp ratio and Calmar ratio have been improved,which can better cope with changes in the macroeconomic environment.