Research On Asset Allocation Optimization Of Qianhai Kaiyuan FOF Fund

In 2021,the size of my country’s public fund market has exceeded 25 trillion,which also means that public funds have ushered in a golden period of rapid development.At the same time,the capital market fluctuated and declined,and FOF funds have won the favor of many investors with their dual risk diversification and stable returns.For FOF funds,asset allocation is a key step in its investment management,which can determine the performance of the fund.However,the research on asset allocation of FOF funds in my country is very limited.Therefore,this paper selects the representative Qianhai Kaiyuan FOF fund in the industry as the research object,and conducts optimization research on its asset allocation.This paper analyzes the current situation and performance of the asset allocation of Qianhai Kaiyuan FOF Fund,and finds that it has the problems of low investment return,poor risk control ability and unequal return and risk.The bottom line is that the strategy,structure and scope of fund asset allocation are not reasonable enough.In order to optimize the asset allocation of Qianhai Kaiyuan FOF Fund and improve the risk-adjusted return of the fund.Under the framework of modern asset allocation theory,this paper selects the Black-Litterman model as the empirical model for optimal allocation,and obtains the indicators of investors’ subjective opinion by constructing a VAR model.This paper first selects 6 types of assets such as bank deposits,treasury bonds,financial bonds and stock funds as the research objects,collects their monthly return data from 2011 to 2021,and forecast the monthly asset returns from July 2021 to December 2021 under the stability of the fitted model.Then,the prediction result is used as the investor’s opinion vector indicator in the Black-Litterman model,combined with the market equilibrium rate of return,the posterior income distribution is obtained,and then the optimized asset allocation weight is obtained under the constraint of investment ratio.The experimental results show that investors’ subjective views have an impact on the asset allocation of the FOF funds,with the optimized asset allocation adding assets that investors’ views perceive to perform better in terms of return and risk,while reducing assets that investors’ views perceive to be somewhat underperforming.In addition,after the optimization of the BL model,the volatility of the fund has decreased,and the riskadjusted return has increased.Therefore,the adoption of the Black-Litterman model has an obvious positive impact on the asset allocation of FOF funds.Finally,this paper puts forward the following suggestions for optimizing the asset allocation of Qianhai Open Source FOF Fund: 1.Pay attention to security and reduce the allocation ratio of high-risk assets.2.Expand the scope of asset allocation and diversify risks.3.Dynamically adjust the asset allocation weight of the fund.In addition,there is still room for improvement in fund returns after optimized allocation.When applying the model to optimize asset allocation,researchers can dynamically adjust the model based on actual asset conditions.