Research On The Improvement Of FOF Portfolio Configuration In China

Since the 20 th century,due to the extension of human life expectancy and the change of living style,the retirement life and financial situation of the elderly have become a topic.Therefore,most of the industrial countries have made some improvements to their pension system,mainly by building personal pension systems.At the same time,more and more people also realize that it is necessary to have a plan to implement pension investment.Along with our country gradually entering an aging society,the importance of the pension question highlights day by day.Compared with other types of funds,FOF can make risk elimination better and provide investors with stable returns.Therefore,FOF is a good investment product for pensions.In this paper,from the perspective of asset allocation,we conduct portfolio research based on the Black-Litterman model.The Black-Litterman model introduces investor opinions and overcomes the shortcomings of Markowitz mean-variance model.As a result,Black-Litterman model has become a widely used asset allocation model.Based on the Black-Litterman model,we use the ARMA-GARCH model to predict the return rate and conditional variance of assets,use covariance of constant correlation coefficients to describe the covariance of return rate,use the risk parity portfolio as the benchmark,and build an improved Black-Litterman portfolio.At the same time,we build several control portfolios,and conduct backtest and performance evaluation on portfolios.The results show that compared with Markowitz mean-variance portfolio,risk parity portfolio and Black-Litterman portfolio,the improved Black-Litterman portfolio has achieved higher Sharpe ratio and higher return.It shows that the improved BlackLitterman portfolio can provide higher returns,which reflects the advantages of the improved portfolio in the return and risk control ability,it also reflects the effectiveness of the improved model.Finally,we make some suggestions on the internal and external environment of fund companies,hoping to provide reference for the development of public offering FOF products.