The Investment Research Of Multi-strategy Private Funds Of Funds

Overseas mutual FOF has developed rapidly in the past few decades,both in terms of the number of funds and the size of funds.Domestically,44 mutual fund managers applied for 78 public offering FOF products,and finally 6 FOF funds were open in the second half of 2017.Because of the work relationship,the author plans to issue a multi-strategy private FOF in the first half of 2017.I hope to create a low-volatility,lowdrawdown FOF portfolio by investing various assets and fund strategies and aim to make absolute returns every year.Considering that the overseas capital market developed earlier,the FOF investment strategy and asset allocation philosopy are relatively mature,the author has found relevant papers and research materials.This article introduces two of the best examples in the industry,the all-weather approach by the world's largest hedge fund-Bridgewater,and the asset allocation strategy of the Yale Endowment Foundation.I try to learn from their successful methods and apply it to domestic multi-strategy private FOF.The construction of multi-strategy private FOF is mainly based on a combination of qualitative and quantitative methods.Firstly,through the white list,managers and representative funds with better performance of each strategy are selected,and then qualitative judgments can be made through due diligence process.Then,I use simulation results to backtest the investment allocation ratio of each strategy and manager.Finally,I found that fund performed in line with its investment expectations even though the actual market environment of this year has showed downward trend.The multi-strategy private FOF has contributed a positive return.