暨南大学硕士学位论文
以指数基金为标的的FOF基金的资产配置策略研究
ABSTRACT
In recent years, bond default, P2P thunder and other events occur frequently,
which promote the importance of investors for the effective allocation of assets. In
this context, a typical asset allocation model, FOF fund, is gradually welcomed by
investors because of its small overall risk and stable return. FoF refers to the fund of
fund, first started in the United States, used to invest in all kinds of funds. The
development of China's FOF fund is relatively slow. With the rapid development of
public funds and various index funds, FOF can be used for sub fund allocation, and
the type and number of options have been expanded, and various products can be
launched to meet the needs of different investors. At present, China's FOF can be
divided into four types according to the characteristics of sub funds: stock type, bond
type, monetary type and mixed type. However, there is a lack of research on asset
allocation strategy of such funds, which needs to be supplemented and improved.
The core issue of the development of FOF fund is how to scientifically formulate
asset allocation, so as to diversify investment to reduce risk and maintain the stability
of income. Therefore, this paper discusses the asset allocation strategy of FOF funds
based on the risk parity model of risk factors. The specific operation is to introduce
risk factors into the original risk parity model in order to effectively control the risk
problems in the asset allocation of large categories. Through the principal component
analysis, the corresponding public factors are extracted as asset allocation strategies
by controlling the risk contribution of these risk factors, the corresponding asset
allocation weight is calculated for the original asset target. Through comparison, it is
found that the risk parity model based on risk factors can improve the original risk
parity model through the adjustment of risk contribution, and has excellent
performance in annualized return, annualized volatility, sharp ratio and maximum
withdrawal, which can be used as the asset allocation strategy of fof funds. Finally,
this paper further improves the risk parity model, introduces the trend estimation of
assets on the basis of the original risk factors, and emphasizes the combination of the
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暨南大学硕士学位论文
以指数基金为标的的FOF基金的资产配置策略研究
correlation logic of pre assets and the expected trend of assets. The results show
that after the introduction of trend estimation, the portfolio loses part of its income,
but gains higher Sharpe ratio and a lower maximum return.
The innovations of this paper are as follows: Firstly, the current academic
research on the asset allocation strategy of FoF funds with index fund as the target is
very scarce, which supplements the lack of existing literature. Secondly, most of the
existing studies only analyze the asset allocation of FoF funds with one subject matter.
This paper selects multi-dimensional ETF index funds from the perspective of
domestic stocks, foreign stocks, commodities, bonds, real estate and other assets, and
obtains a more general conclusion. Thirdly, this paper comprehensively considers the
performance of asset allocation under various measurement windows, so as to obtain
a more reliable analysis conclusion.
Keywords：FoF fund; Asset allocation; Risk parity model; Trend estimation
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暨南大学硕士学位论文
以指数基金为标的的FOF基金的资产配置策略研究
目录
摘要......................................................................................................................................(I)
ABSTRACT..............................................................................................................................(II)
目录....................................................................................................................................(IV)
1绪论....................................................................................................................................(1)
1.1研究背景........................................................................................................................(1)
1.2研究目的及意义............................................................................................................(2)
1.3研究框架........................................................................................................................(3)
1.4研究创新点....................................................................................................................(4)
2文献综述............................................................................................................................(6)
2.1投资组合理论................................................................................................................(6)
2.2基金绩效评价文献........................................................................................................(8)
2.3FOF基金的相关文献...................................................................................................(10)
2.4文献评述......................................................................................................................(12)
3以指数为标的FOF基金的发展现状.............................................................................(13)
3.1FOF基金的优点和缺点..............................................................................................(13)
3.2FOF基金的发展...........................................................................................................(15)
3.3以指数基金为标的FOF基金的发展.........................................................................(20)
4基于风险因子的FOF基金资产配置策略的设计.........................................................(23)
4.1基于风险因子的风险平价模型选择.........................................................................(23)
4.2数据选取与评价标准..................................................................................................(26)
4.3各类资产投资基金标的表现与相关性.....................................................................(29)
4.4基于风险因子的风险平价模型有效性分析.............................................................(33)
4.5FOF基金资产配置策略的比较与改进......................................................................(39)
5研究结论与展望..............................................................................................................(46)
IV
。。。以下略