Application Research Of Risk Parity Strategy In Public Offering FOF

Today,with the rapid development of China's economy and finance,the opportunities for individual investors to obtain excess returns through a single investment are getting smaller and smaller.Decentralized risk to obtain stable income has become the mainstream investment target in the future.In this context,the public offering FOF was born in 2017.However,in recent years,under the Sino-US trade war and financial supervision,China's capital market has fluctuated drastically.Under the violent fluctuations of financial markets and the complicated and volatile international financial situation,the effective asset allocation of public offering FOF is particularly important.The asset allocation strategy based on risk parity strategy has become one of the popular asset allocation strategies in public equity FOF in China because it can produce more stable performance than traditional asset allocation methods when economic cycle fluctuations and major risk events occur.One-half of the public equity FOFs in the first public offering FOF adopted a risk parity strategy.However,this paper analyzes the three publicly-funded FOFs from the perspectives of performance indicators and fund size,and finds that these three FOFs have not performed as expected since their establishment.Since these three FOFs have been established for only one and a half years,the applicability of the risk parity strategy in China's FOF cannot be directly proved based on this conclusion.Based on this paper,the question is raised: In the long run,whether the FOF under the risk parity strategy has applicability in China.By constructing and evaluating the FOF portfolio under the risk parity strategy,we can draw conclusions: 1.The risk parity strategy has applicability in China.2.The advantage of the risk parity strategy lies in the long-term stable income,so the three public FOFs are short-term.Loss does not explain the failure of the risk parity strategy.3.Based on the characteristics of the risk parity strategy,this strategy is suitable for use in the public fundraising FOF.On the basis of affirming the applicability of the risk parity strategy in China,this paper uses the compression estimation method to optimize the covariance matrix between the large categories of assets,thereby improving the benefits of the risk parity strategy and providing asset management for fund managers.