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Fund quantification method based on multiple factors

A fund and factor technology, applied in the field of factor-based fund quantitative investment, can solve problems such as insufficient training of investment research teams and insufficient mastery of FOF fund investment management expertise

Pending Publication Date: 2021-04-16
上海栖盟科技有限公司
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  • Abstract
  • Description
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  • Application Information

AI Technical Summary

Problems solved by technology

The development of FOF funds in China started relatively late. The investment research teams of most investment institutions are not well-trained, and the professional knowledge of FOF fund investment management and asset allocation is not fully mastered. As a result, there are not many FOF funds in the true sense.

Method used

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  • Fund quantification method based on multiple factors
  • Fund quantification method based on multiple factors
  • Fund quantification method based on multiple factors

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Embodiment Construction

[0036] 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.

[0037] see figure 1, a multi-factor-based fund quantification method includes the following steps: Step 1. The fund manager has the ability to choose timing, then he will adjust the risk of the portfolio by comparing the market rate of return and the risk-free rate of return, and choose the time of return The stock capacity model is as follows:

[0038] R pt -R ft = α p +β p1 · x(t)+β p2 ·y′(t)+ε pt ,

[0039] x(t)=R pt -R mt ,

[0040] y(t)=MAX(0, ...

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Abstract

The invention discloses a fund quantitative investment method based on factors. The method comprises the steps of establishing a stock selection capability model during revenue; establishing a fund risk measurement model; evaluating a fund combination yield rate and a risk change degree through a fund risk measurement model; a standard variance model, a lower risk model and a three-factor model: explicit benchmark establishment; establishing a multi-factor model; verifying and checking the performance of the fund through the STR model; the stock selection capability and the time selection capability of the fund are analyzed, the stock selection and time selection capability of the fund manager determines the performance of the fund, and the fund investor can determine the investment decision of the fund investor by evaluating the operation capability of the fund manager. According to the method, the influence on the fund performance is investigated from three aspects of the stock selection capability, the income time selection capability and the fluctuation time selection capability of the fund manager. Therefore, the fund investor can decide the investment decision of the fund investor by evaluating the operation capability of the fund manager.

Description

technical field [0001] The invention relates to the field of financial investment, in particular to a factor-based fund quantitative investment method. Background technique [0002] In recent years, with the rapid development of the domestic financial market, investment and wealth management products have emerged in an endless stream, and more diversified fund investment strategies have also emerged. At the same time, with the improvement of living standards, most people are beginning to realize the importance of investment and financial management, but because ordinary individual investors do not have professional investment and financial management methods, they are often exposed to relatively high risks. Therefore, investors urgently need an investment product with low risk and stable income. At this time, FOF funds came into being. [0003] A FOF fund is a fund that specializes in funds as its investment target. It does not directly invest in stocks or bonds, but indire...

Claims

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Application Information

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Patent Type & Authority Applications(China)
IPC IPC(8): G06Q40/06G06Q40/08
Inventor 牟慧玲
Owner 上海栖盟科技有限公司