FOF and Risk Parity Model
DOI:
https://doi.org/10.54097/fbem.v11i2.12596Keywords:
FOF, Risk Parity Model, Performance evaluation indicators.Abstract
FOF has a history of decades of operation and development in the United States, and has a relatively mature market. However, it is a newly emerging thing in China. Due to its low risk nature, FOF is already the main target of pension investment. With the increasing downward pressure on the global economy, the demand and interest of individual and institutional investors in FOF are also increasing. The development of FOF in China has not been smooth, and many issues cannot be separated from the core issue of FOF, which is asset allocation. From the perspective of asset allocation, this article selects the trading data of three indices in the global stock market in the past four years for empirical analysis. Through the selected performance evaluation indicators, the risk parity model, equal volatility model, and equal weight model are visually compared in terms of risk and return, proving that the risk parity model has good risk diversification effect and returns ability on this basis, At the end of the article, a summary of the entire article is provided and suggestions for the application of the risk parity model in FOF are proposed.
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