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FOF基金在我国资本市场仍处于发展初期，对于FOF基金投资方法层面的研究仍有待于进一步的深化和实践，本文立足于FOF基金经理的视角，试图构建相应的组合策略，以实现对资产组合的配置和基金投资组合的策略构建。本文的研究核心是解决市场上缺少FOF基金角度构建投资组合策略的体系化方法，对市场现有的基金研究角度和方法梳理和总结的基础上，构建一些有实证特征的指标和方法，设计出一套完整的框架，借助实证研究的数据，在构建策略的过程中进一步完善和寻找适合FOF基金定性和定量研究的方法和流程。

本文的研究框架分为三个层面：一是基金经理风格划分和基金经理池构建。市场较少有从基金经理角度进行风格划分的研究，本文根据基金经理实际操盘的各只基金进行汇总，同时选择指标对基金经理进行分类，将不同风格和特长的基金经理装入不同的风格框，进一步对基金经理业绩表现、风险控制能力、风格稳定性等进行初步筛选，形成基金经理池。二是基金筛选和基金池构建。子基金筛选主要基于基金产品的风险收益类因子，在基金经理池的基础上对应出相应的基金产品，通过风险收益因子进一步细分和筛选，形成核心基金池。三是资产配置框架和基金组合策略构建。学术界研究分析结论证明，基金产品收益的90%依靠的是正确的资产配置，而不是交易，FOF具有同理性。资产配置研究介绍和测算了全天候策略（风险平价）和耶鲁基金策略（均值方差），最后尝试了国内买方机构常用的股债性价比指标，叠加构建了宏观多因子模型，以此组合设计了研究框架对资产方向和配置权重进行预测。在资产方向和权重确定的基础上，同基金经理池与核心基金池先后取交集，以寻找到合适的基金经理与基金产品，进而构建最终的基金组合策略。

本文最后运用业绩归因方法和模型对构建的基金组合投资风格、择时选股以及配置能力进行比较和区分，结合参考基准指数和市场情况对基金组合策略进行回测，回测结果表明基于本文框架下的基金投资组合具有一定的投资指引作用。

FoF fund is still in the early stage of development in China's capital market, and the research on the investment method of fof fund still needs to be further deepened and practiced. Based on the perspective of fof fund manager, this paper attempts to construct the corresponding portfolio strategy, so as to realize the allocation of asset portfolio and the strategy construction of fund portfolio. The research core of this paper is to solve the lack of systematic method of constructing portfolio strategy from the perspective of fof fund in the market. Based on combing and summarizing the existing fund research perspectives and methods in the market, this paper constructs some indicators and methods with empirical characteristics, designs a complete framework, and uses the data of empirical research, In the process of constructing the strategy, further improve and find the methods and processes suitable for the qualitative and quantitative research of fof fund.

The research framework of this paper is divided into three levels: one is the division of fund manager style and the construction of fund manager pool. There are few studies on style division from the perspective of fund managers in the market. This paper summarizes the funds actually operated by fund managers, selects indicators to classify fund managers, puts fund managers with different styles and specialties into different style boxes, and further preliminarily screens the performance, risk control ability and style stability of fund managers, Form a fund manager pool. Second, fund screening and fund pool construction. The screening of sub funds is mainly based on the risk return factors of fund products, corresponding to the corresponding fund products on the basis of the fund manager pool, and further subdivided and screened through the risk return factors to form the core fund pool. The third is the construction of asset allocation framework and fund portfolio strategy. The academic research and analysis conclusion proves that 90% of the return of fund products depends on the correct asset allocation rather than trading, and fof has the same reason. Asset allocation research introduces and calculates the all-weather strategy (risk parity) and Yale fund strategy (mean variance). Finally, it tries to use the stock bond cost performance indicators commonly used by domestic buyer institutions, superimposes and constructs a macro multi factor model, and designs a research framework to predict the asset direction and allocation weight. Based on the determination of asset direction and weight, the intersection with fund manager pool and core fund pool is successively taken to find the appropriate fund manager and fund products, and then build the final fund portfolio strategy.

Finally, this paper uses the index to compare the portfolio performance and portfolio allocation strategy, and the results of this paper show that it has the function of comparing the portfolio performance and portfolio allocation strategy based on the benchmark and portfolio allocation strategy.