Research On Trading Strategy Of FOF Fund Portfolio Based On XGBoost Model

Fof is a relatively new form of fund products.The investment object is various other fund products.Through holding different types of funds,it provides investors with relatively stable returns.However,since the issuance of fof fund products,the market has not grown rapidly,and its return rate is relatively low.Therefore,various fof fund institutions pay more attention to the use of new technologies to screen funds and build portfolios.This paper builds FOF fund portfolio trading strategy based on XGBoost model and risk parity model.First of all,through the analysis of the construction process of common FOF fund strategies in the market,identify the problems existing in traditional FOF fund trading strategies.There are mainly: First,the FOF fund portfolio has problems such as low fund returns,difficulty in screening fund targets,and difficulty in fund allocation and adjustment.Second,based on XGBoost model and risk parity model,the FOF fund portfolio trading strategy is constructed,and genetic algorithm is used to optimize the model parameters to screen the fund targets and allocate different trading funds.Third,collect sample data of public funds,conduct empirical analysis on the constructed strategy,and conduct comparative analysis with different fund yield prediction models and different asset allocation models to conduct empirical analysis on the trading strategy of FOF fund portfolio based on XGBoost model.Finally,suggestions on improving the investment strategy of FOF fund portfolio are put forward,mainly including strengthening the research on algorithms such as machine learning and paying attention to risks in the actual trading process.The empirical results of this paper show that:(1)In terms of prediction,when XGBoost is used to predict the fund return,the fluctuation of its prediction error RMSE is relatively stable.(2)In terms of yield,compared with CSI 300 and other models,the cumulative yield of this strategy is 321.08%,with higher annualized yield and lower rollback rate.Compared with different capital allocation models,risk parity has better returns and lower risks.(3)In terms of the importance of indicators,from the perspective of indicators that have an important impact on the prediction of fund returns,Sharp ratio,annualized volatility,maximum withdrawal rate and team stability of the past performance of the fund have an important impact on the prediction of fund returns.The research of this paper is helpful to improve the research of trading strategy of fof fund portfolio,and provide reference for various investors to invest in fof fund.