Fund evaluation method and device

An evaluation method and fund technology, applied in finance, instruments, data processing applications, etc., can solve the problem of not being able to distinguish the relative value strategy stock long and stock index futures hedging side risks and income sources well.

Inactive Publication Date: 2018-05-29
孙嘉
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  • Summary
  • Abstract
  • Description
  • Claims
  • Application Information

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Problems solved by technology

[0004] However, there is currently no complete fund performance attribution report specifically for domestic quantitative hedging strategies on the market
In addition, the existing fund performance attribution reports cannot well distinguish the risk and income sources of relative value strategy stock long and stock index futures hedging

Method used

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  • Fund evaluation method and device
  • Fund evaluation method and device

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Embodiment 1

[0047] An embodiment of the present invention provides a fund evaluation method. Fund evaluation is to analyze and judge the risk, income, style, cost, source of performance of the fund and the investment ability of the fund manager through some quantitative or qualitative indicators. Its purpose is to help investors better understand the investment objects. Risk-return characteristics and performance make it easier for investors to compare and choose between funds.

[0048] First, obtain the valuation table of the target fund during the evaluation period; the assets of the target fund include: stocks, stock index futures and cash; read the information of the first parameter of the target fund from the valuation table; the first parameter includes: target The start and end time of investment in each stock and stock index futures in the fund, the income during the investment period, net worth, investment strategy, investment principal, position data, product name, and company n...

Embodiment 2

[0095] The embodiment of the present invention provides a fund evaluation device, and its structural block diagram is as follows Figure 20 As shown, the fund evaluation device includes a valuation table acquisition module 100, which is used to obtain the valuation table of the target fund within the evaluation time period; the assets of the target fund include: stocks, stock index futures and cash; the reading module 110 is used for Read the information of the first parameter of the target fund from the valuation table; the first parameter includes: income and net worth during the investment period; the calculation module 120 is used to calculate the second parameter of the target fund from the first parameter; the second parameter includes : Annualized rate of return, scanning statistics, winning rate, Sharpe ratio, Karma ratio, Sortino ratio, volatility, maximum retracement rate and CVaR; the ranking method is determined by the second parameter; the ranking method includes: ...

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Abstract

The invention, which relates to the technical field of financial data analysis, provides a fund evaluation method and device. The method comprises: a value assessment table of a target fund is obtained; information of first parameters of the target fund is read from the value assessment table and second parameters are calculated based on the first parameters, wherein the second parameters includean annual yield, a scanning statistic value, a winning percentage, a Sharpe ratio, a Calmar ratio, a Sortino ratio, a volatility value, a maximum withdrawing rate, and CVaR; according to the second parameters, ranks of all third parameters are determined, wherein the third parameters include an earning power value, a performance persistence value, a risk adjustment performance value, and a risk control ability value, all rank values are corresponding parameter values; and on the basis of the third parameters, a capability radar chart and/or comprehensive capability value of the target fund are/is obtained. According to the fund evaluation method, attributions of risk sources and earning sources of the equity bulls and stock index future hedging ends in the relative value strategy are analyzed in details; and a complete, comprehensive and reliable fund performance attribution report is provided.

Description

technical field [0001] The invention relates to the technical field of financial data analysis, in particular to a fund evaluation method and device. Background technique [0002] With the development of China's market economy, the wealth of Chinese individual investors and institutional investors has gradually accumulated, and the investment demand of investors is huge; on the other hand, China's fund market is also developing continuously. As of the first quarter of 2016, the fund market There are 4,170 funds for investors to choose from, with a total size of 8.1 trillion yuan. In the face of numerous funds, the question that investors care about is "how to choose a fund", which requires investors to obtain a complete, reliable and detailed evaluation and analysis of the interest fund, so as to understand the source of risk and return of the interest fund and the characteristics of the investment strategy , to guide the correct investment, to achieve the purpose of ration...

Claims

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Application Information

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Patent Type & Authority Applications(China)
IPC IPC(8): G06Q40/06G06Q10/06
CPCG06Q40/06G06Q10/0639
Inventor 孙嘉
Owner 孙嘉
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