Statistical Analysis Of Market Risk Measures And Influencing Factors Of FOF Funds

In recent years,as China’s economic growth has slowed,high yields on financial assets have been difficult to achieve.A broad asset class allocation approach is gradually replacing the high-risk active investment approach represented by equity investments as the focus and preference of investors.In addition,as China’s population ages,the General Office of the State Council announced on 21 April 2022 the Opinions on Promoting the Development of Personal Pensions in order to protect the nation’s old age,which guides the development of personal pension accounts that can be used to purchase mature financial products such as public funds to pursue the preservation and appreciation of pension funds.The future market trend for FOF funds,which have secondary risk diversification capabilities and a high degree of flexibility,is further favourable.However,in recent years,the market for FOF funds has been sluggish and its low market performance is not in line with the low-risk characteristics of FOF funds.Moreover,current research on FOF funds has mainly focused on the direction of asset allocation strategies,neglecting the study of FOF fund market risk and its influencing factors.Therefore,it is important to use scientific and reasonable models to effectively measure the risk of FOF funds and to analyze the influencing factors based on these models for the healthy development of the whole market.This thesis firstly identifies the types of risk measurement models for FOF funds based on relevant literature and theories at home and abroad,and through the analysis of the current situation at home and abroad and the overview of research on the influencing factors,initially identifies two major categories of influencing factors: asset allocation micro factors and macroeconomic factors.Secondly,the BLGARCH model is used to fit the logarithmic return of FOF funds based on the spike and thick tail characteristics of the logarithmic return of FOF funds and combine it with the CVa R risk measurement model to effectively measure the risk of FOF funds.Finally,using this CVa R value as the explanatory variable,a panel data model was established to make an analysis of the impact of micro factors on the risk of FOF funds from four perspectives: asset allocation,fund manager qualification,fund size change and fund holder structure;and to explore the impact of macro factors on the risk of FOF funds from four perspectives: macroeconomic market,equity market,fund market and bond market.It is found that the BLGARCH-CVa R model is a good measure of the risk of FOF funds.After using the fitting results for the subsequent analysis of risk influencing factors,it is found that:(1)among the micro factors,the greater the change in the proportion of heavy holdings and fund size,the greater the risk of FOF funds;the higher the proportion of heavy holdings and the proportion of heavy fund holdings,and the longer the fund manager’s years of experience,the risk of FOF funds The higher the proportion of long positions in debt and long positions in fund holdings,and the longer the fund manager has been in the business,the lower the risk of FOF funds.(2)Among the macro factors,the higher the fund index,bond index,industrial value added and total retail sales of consumer goods,the lower the risk of FOF funds;too high the SSE index,fixed asset investment completion and consumer confidence index will crowd out the investment enthusiasm of FOF funds,leading to an increase in their risk.Based on the above research results,this thesis makes the following recommendations:(1)Fund investors should rationally understand the risks of FOF funds based on their asset allocation with science and adjust their investment strategies in a timely manner.(2)Fund managers should adjust their position strategies in a timely manner according to the macroeconomic situation and actively manage FOF funds so as to stabilize investor confidence and promote the development of the FOF fund industry.