Method and system for compiling fund indexes

Abstract

The invention relates to a method and a system for compiling fund indexes. The method includes the following steps: acquiring a constituent fund meeting the index setting requirements; carrying out sample cleaning and error processing on the indexes of the constituent fund; acquiring monthly frequency indexes and weekly frequency indexes in the indexes after sample cleaning and error processing; releasing the monthly frequency indexes and the weekly frequency indexes; and correcting the indexes released. The indexes are selected in strict accordance with six requirements, and are cleaned based on multiple data cleaning rules. Survival bias, backfill bias and selection bias influencing the indexes are processed. The monthly frequency indexes and the weekly frequency indexes are extracted by cross-checking multiple data sources. The indexes are released in different periods of time according to the attributes of the monthly frequency indexes and the weekly frequency indexes. The indexes released are corrected. Thus, the objectivity and authenticity of data is ensured, the indexes compiled are accurate and representative, a product truly representing the market is chosen, and an accurate investment strategy can be developed.

Description

technical field [0001] The present invention relates to private placement securities funds, and more specifically refers to a method and system for compiling fund indexes. Background technique [0002] The existing foreign hedge fund indexes mainly include: HFRI, HFRX and other series of indexes released by the internationally renowned hedge fund data provider Hedge FundResearch, the Credit Suisse Hedge FundIndex series of indexes released by Credit Suisse, and the Morningstar Hedge Fund Indexes series designed by Morningstar Indices, etc. Other domestic private equity fund indexes mainly include: Haobuy China Hedge Fund Index released by Haobuy Fund.com, Ten Billion Private Equity Mixed Index released by Chaoyang Sustainable Development, 2 Billion Private Equity Stock Index, and 1 Billion Private Equity Hedging Index , the Rongzhi Private Equity Fund Series Index released by Private Equity Pai Pai.com, etc. [0003] Among them, the HFR index compilation rules are: hedge fu...

AI Technical Summary

Problems solved by technology

[0008] The current domestic index calculation method is relatively simple, and there are still many issues that must be considered when compiling the index, such as survival bias, backfill bias, and selection bias. Accuracy and representativeness have a great influence

Moreover, the rules for sample screening and cleaning are not rigorous enough. The establishment date of sample funds is generally only required to be 3 months or 6 months, and the required establishment time is too short; FOF, TOT, and MOM are repeatedly estimated; data cleaning does not specifically deal with data problems ; Domestic index frequency only has monthly frequency data; no data verification; no removal of sample extreme values, and no removal of products with high repetition rates

Such index compilation rules cannot select products that truly represent the market, and cannot compile an accurate and representative index, and the index is a very important benchmark return indicator, and is a commonly used investment tool. An index with a large error will Affect investors' investment judgments, affect managers' cognition of their own products, and thus affect the formulation of investment strategies, resulting in unpredictable and serious consequences

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