The Optimization Design Of The Asset Allocation Plan Of My Country's Pension Target Risk Fund

With the release of the guidelines on pension target securities investment funds(trial)in February 2017,pension target funds have gradually come into public view.The rapid landing of the pension target fund marks the birth of the public offering fund specially for the residents' pension needs in China,and also marks that China has officially entered a new stage of developing the third pillar of the pension system.It is a breakthrough to study the reform of China's pension system to choose the pension fund as the object of analysis.From the perspective of investment strategy,the current pension target funds in China include target date type and target risk type.The performance of a target-date fund(TDF)can be seen as a series of asset allocation strategies on a downward trajectory,while a target-risk fund(TRF)is a benchmark allocation of assets based on the specific preferences of different users.Since the core of the two pension target funds contains asset allocation,and risk appetite is closely related to investors,this paper mainly focuses on the asset allocation of target risk funds.From the perspective of operation mode,pension target fund is essentially a fund operated by FOF,which makes the overall risk more diversified by selecting and allocating a basket of funds.Asset allocation is a crucial link in fund investment management,and it is also an important means for fund to achieve the goal of income and risk control,and pension fund is no exception.Therefore,in the process of optimizing the asset allocation scheme of the pension target fund,on the one hand,we analyze and evaluate the asset allocation according to the same common characteristics of the pension target fund and the FOF fund,on the other hand,we also consider its differences in investment categories,weight restrictions and investment management methods.Combined with the above analysis,this paper mainly conducts research on pension target risk fund from qualitative and quantitative aspects.Qualitative analysis is the basis and basis of quantitative analysis.Through qualitative analysis,we can have a full understanding of the current situation of asset allocation,method theory and investment target of China's pension target fund market.For the selection of investment targets,this paper,based on the development experience of U.S.pension fund and fund of our country endowment goal configuration practice,equity funds,index funds,bond funds and commodities funds four types as the underlying assets of asset allocation,with the analysis of its market performance,comparing the effects of different configuration model,reflects the fund of our country endowment goal of room for improvement.For the selection of asset allocation strategy,this paper mainly USES the risk parity strategy.In the first stage,the least variance model,equal weight model and risk parity strategy were compared to prove the rationality of the scheme.In the second stage,the best performing "xingquan antai balanced pension fund" was introduced into the market to make a comparison and prove the necessity of the plan.The third stage further optimizes the risk parity model by adjusting the risk contribution of different assets and using the risk budget strategy to prove the effectiveness of the scheme.Through the qualitative and quantitative analysis of the target risk fund in this paper,we get a positive evaluation of the pension results of the target risk pension fund,and have a more intuitive understanding of its asset allocation strategy.This paper shows that under the current pension target fund allocation framework,it is necessary and effective to allocate the assets of the target risk fund through the risk budget strategy.The improvement of asset allocation strategy is also the primary consideration for fund managers to improve fund performance.