FOF Fund Portfolio Strategy Design

As a rookie of public fundraising funds,domestic public fundraising FOF products were officially launched at the end of 2017.The first six public fundraising FOF funds were formally issued and completed in a short period of time,which means that domestic public fundraising has entered a new era of FOF investment and the emergence of FOF products.It not only enriches the types of domestic fund products,but also brings investors a completely different investment experience.When traditional fund investors choose fund products,they generally go through the three steps of comparing product performance rankings,selecting star fund managers,and selecting reputable fund companies,which will inevitably lead to selection difficulties.Moreover,historical performance does not guarantee the return after the purchase,and it will inevitably produce a "halo effect" when selecting fund managers.Ordinary investors are mostly at the level of "blind impressions" of fund companies.Therefore,this article aims to optimize the traditional "trilogy" of buying bases,establish a comprehensive evaluation system,screen out sub-fund pools that meet investors 'needs,and design a reasonable FOF fund investment portfolio to eliminate investors' difficulty in choosing the base.problem.This article first determines the product positioning of the FOF,that is,to obtain the maximum benefit under the premise of bearing certain risks.Then,it studies the base selection strategy of the FOF products in our market,and determines that the base selection model of the FOF is based on multi-factor selection.The stock model builds a comprehensive scoring system from three dimensions: fund company,fund product,and fund manager.The factors are selected from three dimensions: fund company,fund manager,and fund product.The candidate factors include: fund management company non-monetary fund management scale,Fund management company team stability,fund manager tenure,fund manager timing,product retracement and volatility levels,historical product yield,fund product stability and other factors.Furthermore,the fund pool of this FOF product is obtained by screening from funds that can be traded in the market.Finally,after screening the sub-fund pool,the risk parity model,minimum variance model,equal weight model,and risk budget model in the asset allocation theory were used to configure the fund portfolio,and the annualized return of the product under different models was calculated.Rate,maximum retracement rate,Sharpe ratio,volatility,and information ratio.