FOF Fund Product Design Based On Fund Performance Evaluation And Risk Parity Model

According to the statistics of Wind information financial terminal,as of October 1,2019,137 fund management companies in China have managed 5,803 funds,far exceeding the number of A-shares,with a total net asset value of 13,772.621 billion yuan.Faced with such a huge fund market size,how to select funds has become a common problem facing the majority of investment.In 2016,the CSRC promulgated the "operational guidelines for public offering of securities investment funds No.2--Guidelines for funds in funds",which marks the official launch of the public offering of FOF in China,under the guidance of the policy,China’s FOF funds have mushroomed.With the rapid development of China’s public offering of FOF and gradually becoming the investment target of investors,this research draws lessons from FOF fund products and related theories at home and abroad,by improving the risk-parity model and optimizing the fund selection,an FOF product is designed,which can resist the risk of the market crash and realize the steady increase of capital,in order to meet the needs of the corresponding individual and institutional investors.First of all,this paper uses the previous literature and research reports to screen the large-class assets of stock,bond and commodity,and allocates the large-class assets through an improved risk-parity model based on principal component analysis,then we select the final fund pool through bootstrap simulation method,profitability and performance stability index,and determine the allocation proportion of each fund through equal weight model,thus design a risk between the stock funds and money funds between the FOF products.The results show that the total return is 63.71%,the annual return is 9.17%,the annual volatility is only 5.97%,the maximum withdrawal is only 6.84%,the sharpe ratio is 1.03,and the calmar ratio is 134.18%,performance is better than equal weight,equal volatility,maximum diversification,minimum variance and traditional risk parity model,risk parity model based on principal component analysis,able to meet the needs of institutional and individual investors with low risk appetite and in pursuit of sound capital growth,it shows that it is feasible to construct FOF funds through the fund performance evaluation method and improved risk factor-based risk parity model.