Performance evaluation method for open-ended funds based on principal component analysis

Abstract

The invention discloses a performance evaluation method for open-ended funds based on principal component analysis, which mainly includes selection of sample data, selection and processing of relevantvariables in the model and statistical analysis of the sample data, wherein the selection of sample data includes selection of sample funds, selection of a sample period and determination of a samplerate-of-return frequency and a data source, the selection and processing of relevant variables in the model mainly includes the risk-free interest rate and the market portfolio rate of return, the statistical analysis of the sample data includes fund return and risk analysis, relative return analysis after risk adjustment, fund manager management ability analysis and principal component analysis,and the principal component analysis method aims to convert multiple indexes into a few of comprehensive indexes by using the idea of dimension reduction. The performance evaluation method reduces multiple indexes into a few of principal components by adopting the principal component analysis method so as to evaluate the fund performance more reasonably.

Description

technical field [0001] The invention relates to the financial field, and is an open-end fund performance evaluation method based on principal component analysis. Background technique [0002] An open-end fund refers to a fund whose total size is uncertain when the fund is established. According to the variable needs of investors, the fund can be purchased or redeemed at any time. The fund size will continue to grow with the continuous purchase of investors. On the contrary, when Redemption occurs, and its scale is reduced accordingly. In terms of scale, closed-end funds are opposite to open-end funds. The total size of the fund has been determined before the issuance. If there is any change, the fund shares cannot be subscribed or redeemed. There are two types of fund operation modes: open-end and closed-end; [0003] Open-end funds can be divided into two types based on whether they can be traded on the exchange: listed traded open-end funds and contract-type open-end fun...

AI Technical Summary

Problems solved by technology

[0005] The performance evaluation of open-end fund samples is generally from the perspective of income, risk, adjusted income, and fund manager management ability. It is difficult to make a comprehensive and reasonable evaluation of fund performance only by relying on a single indicator or model. The evaluation of fund performance by one indicator or model will lead to duplication or omission of information.

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