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Fund style analysis method and apparatus

An analysis method and analysis device technology, applied in finance, instruments, data processing applications, etc., can solve problems such as unstable regression results

Inactive Publication Date: 2017-06-30
通联数据股份公司
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  • Summary
  • Abstract
  • Description
  • Claims
  • Application Information

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Problems solved by technology

If the length of P is too short, then the regression result will be very unstable

Method used

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  • Fund style analysis method and apparatus
  • Fund style analysis method and apparatus
  • Fund style analysis method and apparatus

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Embodiment Construction

[0056] The following will clearly and completely describe the technical solutions in the embodiments of the present invention with reference to the accompanying drawings in the embodiments of the present invention. Obviously, the described embodiments are only some, not all, embodiments of the present invention. Based on the embodiments of the present invention, all other embodiments obtained by persons of ordinary skill in the art without making creative efforts belong to the protection scope of the present invention.

[0057] figure 1 It is a flow chart of the fund style analysis method of the embodiment of the present invention, such as figure 1 As shown, the fund style analysis method includes:

[0058] S101: Obtain daily fund-related data including real fund returns and style return values ​​within the initially set fund survival interval, wherein the initially set fund survival interval is an initial sub-interval of the entire fund survival period;

[0059] S102: Inp...

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Abstract

A fund style analysis method and apparatus are disclosed. The method comprises the following steps: in step 1, everyday fund related data in an initially set fund survival zone is obtained; in step 2, the everyday fund related data is input into a fund income linear regression model, and an estimated style in the initially set fund survival zone and an average residual error corresponding to the estimated style are obtained; in step 3, a subsequently set fund survival zone is obtained after the initially set fund survival zone is delayed by one day, everyday fund related data of the delayed day is input into the fund income linear regression model, and estimated fund income in the subsequently set fund survival zone is obtained; in step 4, whether difference between real fund income in the subsequently set fund survival zone and the estimated fund income is greater than a multiple of the average residual error; in step 5, if not, the initially set fund survival zone is replaced with the subsequently set fund survival zone, step 1 to step 4 are executed, and all sub-zones in a whole fund survival period can be obtained and corresponding estimated styles can be obtained.

Description

technical field [0001] The invention relates to fund analysis technology, in particular to a fund style analysis method and device. Background technique [0002] When analyzing the performance of funds or portfolios, common techniques generally need to directly provide the holdings of each period of the fund (which can be represented by h). Based on the holdings, the style of the fund can be analyzed. Common styles include: 10 style factors and several industry factors, among which the style factors are shown in Table 1 below. [0003] name meaning size Scale (large cap) Beta systemic risk Momentum momentum Residual Volatility volatility Non-Linear Size Scale (mid-range) Book-to-Price value Liquidity fluidity Growth Growth Earning Yield profitability Leverage Leverage [0004] Specifically, first of all, based on the risk model [1], it is believed that the return of each stock is jointly b...

Claims

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Application Information

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Patent Type & Authority Applications(China)
IPC IPC(8): G06Q40/06
CPCG06Q40/06
Inventor 罗戈
Owner 通联数据股份公司