Research On The Influence And Strategy Of Macro Factors In Fund Investment Advisory Business

On October 24,2019,China ’s fund investment advisory business pilot officially opened.Unlike the traditional fund sales business,the business requires the operation of the public fund portfolio,and more importantly,the financial institution ’s multi-asset investment ability is tested.The purpose is to reduce portfolio risk and improve customer returns.In the past,financial institutions were good at quantitative strategies.They used computer-specific big data processing technology to identify micro-factor events such as various financial indicators,operating factors,and hot events,and developed high-frequency quantitative trading strategies accordingly.However,on the one hand,it is limited by the natural defect of the lag of some factor data,which leads to the lag of the quantitative strategy,so that the strategy can not adapt to the rapid transformation of market style.On the other hand,the current investment bid of fund investment advisory business is limited to public fund products,and the high cost of redemption fees also limits the quantitative strategy based on high-frequency trading.Therefore,financial institutions to do a good job in fund investment business,the urgent need for new investment strategies to break the situation.At present,the portfolio based on BL,TAA or risk parity theory is the most popular.By mining the risk characteristics behind various assets in the portfolio,the asset allocation is transformed into risk allocation,and the position change of assets in the portfolio is controlled by identifying risk expectations,so as to achieve the purpose of improving portfolio returns.In addition,the major categories of assets will be affected by macro factors.The reason is that the fluctuations of major categories of assets such as stocks,bonds,commodities,and currencies are highly correlated with the real economy,and the real economy will be affected by macro factors such as economic growth,inflation,and interest rate levels.Therefore,based on the idea of risk allocation,this paper starts from the macro level,finds out the macro factors that affect the returns of various types of assets in the portfolio,and then constructs the macro factor strategy model,and controls the changes of various asset positions in the portfolio through the strategy model,so that the portfolio can obtain the excess return of the market.Based on the characteristics of non-normal distribution of financial time series,which is affected by its own heteroscedasticity and conditional variance,the GDE-EGARCH(1,1)-M model with error disturbance term obeying generalized error distribution is adopted.The overall performance of the constructed macro factor strategy model is significant,and the model is robust,indicating that the macro factor has a significant impact on the return of large categories of assets in the fund investment consulting business.Further,the macro factor strategy model is applied to the portfolio of fund investment and consulting business.Through the historical data back test from January 2008 to December 2020,it is found that compared with the performance benchmark(equal weight asset allocation portfolio)and the BL strategy model,the maximum withdrawal of the macro factor strategy portfolio is improved,and the cumulative return rate,annual return rate and Sharpe ratio of the portfolio are significantly improved,and the excess return of the market is obtained as a whole.