The Research On The Strategy Of Asset Allocation Based On The Transmission Between Fundamentals And Transactions

It is the first step for institutional investors to research asset allocation,which is of decisive significance for investment.This paper expects to research a set of methodologies of asset allocation in large categories,and to get corresponding strategies according to the changes of daily data.This paper not only inherits the classical strategies,but also develops new ones.Its significance lies in providing strategic guidance for the current capital market transactions,in order to better match market demand and optimize risk returns.According to the idea of "theoretical research-Analysis-formulation-Detection and execution",this paper makes an in-depth study on the strategy of asset allocation.Firstly,this paper describes the best practices of economic cycle theory and asset allocation theory.Secondly,this paper elaborates the transmission logic of the fundamentals and transactions facing large types of assets,choosing crude oil,coal,dollar index and 10-year Treasury bond yield as the transmission factors,and setting the factor as the daily index to make the index and data frequency faster,more diverse and more flexible.Thirdly,in the formulation of the plan,this paper combines the fundamentals with the transactions to get 16 situations,and through the test,statistics the return rate of each kind of assets in 16 situations.Further,this paper creatively constructs a three-dimensional investment graph based on the three dimensions of fundamentals,transactions and markets,named the "investment earth model",and carries out market selection and the best asset selection within the market on the basis of the model,and then sets the investment proportion.Finally,through the data survey from February 24,2009 to January 3,2019,we calculated the risk-return index of the strategy and the assets in the Chinese and American markets.The annual return rate of the asset allocation scheme designed in this paper is 50.21%,which is much higher than that of the assets in the Chinese and American markets.The strategy in this paper has better control on withdrawal,and the maximum withdrawal rate is 10.10%;the strategy volatility of this paper is higher,reaching 57.59%,which mainly comes from the high frequency of cycle replacement,and the increase of warehousing frequency will increase the volatility of return;the Sharp ratio of this strategy is 2.84,which is better than other assets;the Calmar ratio is 4.97,and the risk-return is much better than other assets.