The Frequently Used Quantitative Methods Of FOF And Empirical Research Of Related Models

On September 23,2016,China Securities Regulatory Commission formally promulgated and implemented the "Public Raised Securities Investment Fund Operation No2—Funds of Funds's Guidelines",from then on the FOF officially embarks on the stage of history,the emergence of FOF has greatly enriched China's financial Product system,providing investors with a new investment instrument,FOF not only helps ordinary investors select high-qualified funds,but also gives the risk of the portfolio secondary dispersion,and help more investors achieve global asset allocation to meet the liquidity of the high net worth of users.in short,the emergence of FOF greatly promotes the development of China's mutual fund industry.But in our country FOF is still in the initial stage,the relevant research is still relatively backward.So in my paper,I give a detailed theoretical introduction and empirical research for the specific quantitative model involved in the construction of FOF portfolio.The core of FOF's combination can be divided into two steps,the first step is to get a large class of asset allocation,the second step is that filter each type of sub-fund assets that is,fund evaluation content.For the first step,when we study the FOF asset allocation model,we mainly studied the Markovitz's mean-variance model,the Black-Litterman model and the risk evaluation model.And I analyzed the construction method and advantages and disadvantages of the model in detail.The empirical study was carried out.In the analysis of the style of attribution,according to the model selection data,there are two main methods,one is based on the rate of return time series regression method,one is living in the position of the detailed regression method,because the public fund daily public disclosure,The net value of time series data is relatively easy to obtain,so the main data used in this paper is the former.In the second half of this paper,I mainly introduce the quantitative model based on style attribution,such as Fama-French three-factor model,Barra multi-factor model and so on,and make some empirical analysis of some models to make a clear explanation of FOF combination construction Sub-fund screening process,hoping to give the portfolio managers and fund researchers a good reference.