大类资产配置在中国的应用——基于风险平价模型的实证研究

Application of Asset Allocation in China

风险平价模型作为资产配置的分支,在国内应用仍然不够广泛,主要原因在于普遍认为大类资产对风险的定价仍不合理。通过跨越两轮经济中周期时间段分别构建由股债构成的简单风险平价模型以及加入商品后的风险平价模型,发现在收益率和股票类的情况下能够显著降低投资组合的波动率,并能够提升收益风险率。通过质押式回购一次加杠杆和完全加杠杆后的增厚收益组合,不仅能满足中国投资者的收益率需求,而且收益风险比相较不加杠杆的风险平价组合进一步提高。因此综合来看,尽管风险平价模型存在某些不足之处,但在实际应用中应当引起管理人和投资者的注重。

Risk parity model,as a branch of asset allocation,is still not widely used in China.The main reason is that it is generally believed that the pricing of assets for risk is still unreasonable.However,by constructing a simple risk-parity model composed of stock and bonds,and a risk-parity model after adding commodity across two cycles of economy,we find that the volatility of portfolio can be significantly reduced and the sharp ratio can be increased while portfolio return is similar to stock index.We also find that the one-time leveraged portfolio and fully leveraged portfolio,not only meet the requirement of investment return from China investors,but also improve the return/risk ratio comparing to risk parity portfolio without leverage.Therefore,although the risk parity model has some shortcomings,it should attract the attention of fund managers and investors in practical application.