Research On The Impact Of Asset Allocation Strategy On The Performance Of Private Equity Investment Fund

By the end of December 2022,the fund scale of the private fund industry reached 20.03 trillion yuan,breaking through 20 trillion yuan.Among them,the scale of private equity investment fund reached 556 million yuan,which has become one of the important products in the investment market.At the same time,research on public offering investment funds is relatively comprehensive,and domestic and foreign scholars have verified that asset allocation strategies play a vital role in investment fund management,while there are few studies on the impact of allocation strategies on fund performance of domestic private equity investment funds.Therefore,this paper takes private equity investment funds as the research object.Moreover,the in-depth research on the two dimensions of style asset allocation strategy in the category assets and stock assets is conducive to the establishment of asset allocation and allocation concept of private equity investment funds.This paper takes domestic private equity investment funds from July 1,2017 to June 30,2022 as the research object,uses fixed effect multiple regression analysis,threshold effect panel regression and grouping regression and other research methods to explore the impact of asset allocation strategies of private equity investment funds on their performance,and analyzes the optimal position of style asset allocation.The study found:(1)From the perspective of absolute return and risk-adjusted return,the performance of private equity investment fund is superior to the performance of the market benchmark portfolio in most cycles,and has a strong ability to control risks in the market downturn stage.However,due to the rapid expansion of the number and scale of private equity investment fund products,the quality level of products in the industry is not uniform;(2)The fixed-effect model is used to study the impact of asset allocation on investment fund performance.It is found that the allocation position of stock asset category is negatively correlated with the performance of investment fund.The reason is that the stock market fluctuates and declines overall during the sample period,leading to a decline in the return performance brought by the increase of stock position.(3)The threshold effect was used to analyze asset allocation of major categories,and it was found that the negative correlation between the asset allocation positions of stock funds,hybrid funds and bond funds and the performance of investment funds decreased according to the asset holdings,because the allocation ratio of the three types of investment funds to stock assets increased and they were more affected by the stock market.(4)The analysis of stock style investment strategy shows a stable negative correlation between its allocation position and fund performance.Secondly,through the threshold effect panel model,it is found that: There is a single threshold effect in both the classification by underlying growth and the classification by underlying size,in which the impact of value stock asset position on fund performance increases first and then decreases,while the effect of small-cap stock asset position on fund performance weakens.Based on the empirical research results and analysis,this paper concludes the conclusion and puts forward feasible suggestions for the managers,investors and regulators of private equity investment funds.