东方红资管“一司一省一高校”投教活动：提升风险管理能力，优化资产配置

Core Insights - The event held on December 1st at Fudan University was part of the "One Company, One Province, One University" investor education initiative guided by the Asset Management Association of China, featuring a lecture on "Risk Management and Quantitative Asset Allocation" by Yu Jianfeng, a well-regarded fund manager from Dongfanghong Asset Management [1][7]. Group 1: Investment Practices - Yu Jianfeng highlighted the difficulty of accurately predicting future asset returns, emphasizing that risk prediction is more feasible. He noted that short-term volatility exhibits a "clustering" effect, where current volatility can indicate future trends [3][9]. - The lecture integrated theoretical frameworks with practical applications, reviewing the evolution of asset pricing models from Markowitz's portfolio theory to the Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory (APT). He stressed that asset pricing models are essential for understanding asset values, and asset allocation fundamentally involves comparing the risk-return characteristics of different assets [3][9]. - Large institutional investors typically employ a mature framework that includes Strategic Asset Allocation (SAA) focused on long-term economic equilibrium and Tactical Asset Allocation (TAA) which allows for active deviations based on business cycle assessments to achieve excess returns through manageable risks [3][9]. Group 2: Macro Research and Risk Management - Yu Jianfeng pointed out that real-time forecasting of macroeconomic indicators is a critical issue in macro research. The Nowcast model, based on dynamic factor models, is commonly used to monitor and predict macro indicators, processing high-frequency data to forecast important economic variables with longer publication lags [5][11]. - In asset allocation, the goal is to optimize stock and bond positions based on target risk, managing sector risk premiums to achieve excess returns beyond traditional beta [5][11]. - The importance of "diversifying risk" in asset allocation was reiterated, with the core objective being to achieve better risk dispersion and management across all aspects of the top-down asset allocation system. Yu encouraged students to apply rigorous academic thinking to investment practices, continuously learning and iterating to establish their own risk management frameworks in uncertain markets [5][11]. Group 3: Future Directions - Dongfanghong Asset Management plans to continue its commitment to investor education, deepen cooperation with universities, and enrich the content and format of the "One Company, One Province, One University" initiative, while promoting inclusive financial development [7][13].