第一章 绪论 ...................................................................................................................................................1 1.1 研究背景和意义 ................................................................................................................................1 1.2 国内外研究综述 ................................................................................................................................1 1.2.1国外研究综述...........................................................................................................................1 1.2.2国内研究综述...........................................................................................................................2 第二章 FOF发展历程 .......................................................................................................................................3 2.1 国外FOF情况 .....................................................................................................................................3 2.2 国内FOF情况 .....................................................................................................................................3 第三章 FOF大类资产配置逻辑和策略 .......................................................................................................5 3.1 FOF配置逻辑 .......................................................................................................................................5 3.2 桥水全天候方法 ................................................................................................................................5 3.3 耶鲁基金会资产配置 .......................................................................................................................8 3.3.1耶鲁基金会的资产配置 ......................................................................................................8 3.3.2耶鲁基金会的各类资产说明 .............................................................................................9 3.3.3耶鲁基金会的配置思路能否用到国内 ....................................................................... 12 3.4 国内主要策略 .................................................................................................................................. 13 3.5 FOF配置方法 ................................................................................................................................... 16 3.5.1 制定投资策略 .................................................................................................................... 17 3.5.2 定量筛选 ............................................................................................................................. 17 3.5.3 定性筛选 ............................................................................................................................. 18 3.5.4 模拟投资组合 ...................................................................................................................... 19 3.5.5 投后跟踪 ................................................................................................................................ 19 第四章 资产配置策略在私募FOF应用投资研究 ................................................................................. 21 4.1 确定投资策略 ................................................................................................................................... 21 4.1.1 策略选择 ................................................................................................................................ 22 4.1.2 配置比例 ................................................................................................................................ 25 4.2 定量筛选 ............................................................................................................................................ 25 4.3 定性筛选 ............................................................................................................................................ 35 4.4 实盘业绩回测 ................................................................................................................................... 40 4.5 实盘业绩比较 ................................................................................................................................... 45 第五章 研究结论和展望 ................................................................................................................................ 54 5.1 研究结论 ............................................................................................................................................ 54 5.2 研究展望 ............................................................................................................................................ 54。。。。。。以下内容略