Design And Effect Evaluation Of Partial Futures FOF Management

FOF(Fund of Fund)is the fund invests in securities investment funds and the other else sub-funds.FOF originated in the United States in 1970 s and it has made great progress in the global market.In recent years,with the vigorous development of the fund industry,FOF has become an important product and investor's favorite investment object in the fund industry,because of its dispersed risk,smooth fluctuation and strong combination.The first FOF in China was issued in 2005.Although FOF started earlier in China's FOF industry,its product quantity and product scale have not been greatly developed,even once become marginalized products.Until September 2016,China Securities Regulatory Commission issued “Public Offering of Securities Investment Funds Guidelines No.2-Guidelines”,the introduction of the document,indicates that the first batch of Chinese raised FOF will enter into a substantive stage of operation,many firms in the stage of exploration for the management of FOF's product,so it is imminent that research of FOF's management strategy.This paper first summarizes the related theories of FOF's management strategy,and summarizes the content and application status of the main management strategies of the FOF,The main contents are advantages and disadvantages of the target term strategy,target risk strategy,YALE Model and All-Weather strategy are introduced.Secondly,the theoretical basis and theoretical conclusions of Merrill Lynch Investment clock are briefly expounded.Merrill Lynch Investment clock theory plays an important role in the investment circle of the United States even the world,and is the mainstream guiding theory for the allocation of large categories of assets,the management of FOF,in fact,is the management of a portfolio,and it is also a category of large asset allocation,so it is positive significance to use Merrill's investment clock theory to guide the management strategy design of FOF.Then,design the management strategy of the partial futures FOF fund.It includes the division of the economic stage in our country.By using inductive comparison method,compared and concluded the rule of adding or withdrawing commodity futures funds or increasing or decreasing the proportion of commodity futures funds in the traditional fund combination under the change of economic stage.Then conclude that we should add or withdraw,increase or decrease commodity futures funds in fund portfolios,so that optimize the performance of fund portfolios,so as to form a management strategy focusing on the allocation of commodity futures funds in FOF.At last,using the historical data to measure the strategy that is formed,evaluate the strategy,and put forward the suggestion of parameter modification,making the strategy more reasonable and operable.Because China's public offering FOF has just entered the actual operation stage,the application of management strategies to FOF is still at the initial stage of exploration,so this article is a pioneering research.Few scholars have studied the design of partial futures FOF management strategy.The purpose of this paper is to provide practical reference for the FOF's manager,and to provide a case or some inspiration for FOF's managements to research.