Real-time fund valuation method based on position holding method and market factors

Abstract

The invention discloses a real-time fund valuation method based on a position holding method and market factors. The method comprises the following steps: S1, collecting fund data; s2, converting the replicating net value and the index replicating closing price into a return rate, and aligning according to the date; s3, calculating indexes of the most correlation coefficients corresponding to different funds; s4, acquiring position data disclosed by the seasonal report and the annual report of the fund to be estimated; s5, calculating the initial weight of the most relevant market factor; s6, calculating the daily weight of each asset by using a dynamic weight method; s7, estimating the real-time yield of the fund on the (t + 1) th day; s8, estimating a real-time net value of the fund to be estimated on the (t + 1) th day; and S9, backtesting the deviation degree of the fund true value and the estimated value. The method overcomes the defects that in the prior art, valuation timeliness is low, accuracy is insufficient, and data sources are limited, it is ensured that the valuation result can reflect the newest change of the fund investment portfolio timely and accurately, and a more reliable and comprehensive investment decision basis is provided for investors.

Description

Technical Field

[0001] The invention belongs to the technical field of financial investment, and specifically is a real-time fund valuation method based on a position method and market factors. Background Art

[0002] In the field of financial investment, as an important collective investment tool, the accurate measurement of the net value of funds constitutes the core cornerstone of in-depth market analysis and efficient strategy formulation. In the traditional model, fund management companies calculate and announce the net value (unit net value) of the fund at the end of each trading day based on the market performance of each asset in the investment portfolio. However, this traditional practice has significant timeliness issues. Especially in the context of increasing market volatility, investors' demand for timely and accurate net value information is more prominent, and a more efficient information disclosure mechanism is urgently needed to meet the real-time needs of investment decisions.

[0003] In view of this, the real-time valuation technology of funds has gradually emerged in the financial market. This technology deeply integrates the most cutting-edge information processing and advanced data analysis methods, aiming to achieve dynamic and instant evaluation of fund investment portfolios, thereby estimating the real-time changes in the net value of funds during trading days. The application of this technology not only greatly improves the timeliness of market information, but also provides investors with a powerful tool to gain insight into market opportunities, optimize investment layout, and effectively manage risks, promoting the scientific and precise investment decision-making.

[0004] At present, the implementation schemes similar to the present invention in the market are mainly based on real-time valuation based on the holdings information in the fund's quarterly and annual reports. That is, according to the holdings information, combined with the real-time market data (such as stock prices, bond yields, etc.), a valuation model is constructed. The model may adopt a simple weighted average method, a historical data backtesting method, or a more complex financial measurement model.

[0005] The disadvantages of the current technical solution are as follows:

[0006] 1. Poor timeliness: Quarterly and annual fund reports usually have a certain lag and are released less frequently (once a quarter or once a year), making it difficult to reflect the latest changes in the fund's investment portfolio in a timely manner. Therefore, real-time valuations based on these reports may not accurately reflect the fund's current net value.

[0007] 2. Incomplete disclosure of holdings: Quarterly and annual reports usually only disclose the top ten holdings of a fund, which means that investors can only understand a portion of the holdings in the fund's portfolio. At the same time, some important holding details (such as holding costs, holding changes, etc.) may not be disclosed, making it difficult to accurately construct a valuation model. In addition, the fund may also hold some non-publicly traded assets (such as private equity, real estate, etc.), and the value of these assets is even more difficult to accurately estimate. Summary of the invention

[0008] In view of the above problems, the present invention is proposed to provide a real-time fund valuation method based on the position method and market factors, which overcomes the above problems or at least partially solves the above problems.

[0009] To achieve the above object, the present invention adopts the following technical solutions:

[0010] A real-time fund valuation method based on position method and market factors, characterized in that the method comprises the following steps:

[0011] S1. Collect historical adjusted net value data of funds and daily index data;

[0012] S2. Convert the adjusted net value and the adjusted closing price of the index into yields and align them by date;

[0013] S3. Calculate the most relevant index of different funds;

[0014] S4. Obtain the holdings data disclosed in the quarterly and annual reports of the fund to be valued, including the details of the holdings and the initial weight of each asset;

[0015] S5. Calculate the initial weight of the most relevant market factor based on the initial weight of each asset in step S4;

[0016] S6. Based on the initial weights of each asset obtained in step S4, the initial weights of the most relevant market factors calculated in step S5, and the daily market conditions of all involved assets, the daily weights of each asset are calculated using a dynamic weight method, and finally the calculated new weights are normalized;

[0017] S7. Estimate the real-time rate of return of the fund on day t+1 based on the estimated weights of each asset on day t;

[0018] S8, estimating the real-time net value of the fund to be evaluated on day t+1 based on the net value of the fund to be evaluated on day t and the real-time rate of return of the fund to be evaluated on day t+1 estimated in step S7;

[0019] S9. Backtest the deviation between the actual value and the estimated value of the fund.

[0020] Optionally, in step S3, the index with the highest correlation coefficient is calculated for different funds respectively through the correlation coefficient matrix.

[0021] Optionally, the calculation formula for the initial weight of the most relevant market factor in step S5 is:

[0022]

[0023] Among them, w m represents the initial weight of the most relevant market factor, wi Represents the initial weight of the i-th asset in the holdings disclosed by the fund to be valued.

[0024] Optionally, step S6 includes calculating the weight of each asset on day t+1, and the calculation formula is:

[0025]

[0026] in, is the weight of each asset on day t+1, w i_t is the estimated weight of the ith asset on day t, r i_t is the increase or decrease of the ith asset on the tth day, ρ is the Spearman correlation coefficient between the fund to be evaluated and the most relevant market factor, r m_t is the increase or decrease of the most relevant market factor on day t.

[0027] Optionally, in step S7, the real-time rate of return calculation formula is as follows:

[0028]

[0029] Among them, w i_t+1 is the estimated weight of the ith asset on day t+1, r i_t+1 is the real-time rise and fall of the ith asset on day t+1, ρ is the Spearman correlation coefficient between the fund to be evaluated and the most relevant market factor, r m_t+1 is the real-time rise and fall of the most relevant market factor on day t+1, It is the estimated increase or decrease of the fund to be evaluated on day t+1.

[0030] Optionally, in step S8, the real-time net value calculation formula is as follows:

[0031]

[0032] Among them, y t is the net value of the fund to be valued on day t, is the estimated real-time rate of return of the fund to be valued on day t+1, It is the estimated net value of the fund to be valued on day t+1.

[0033] In summary, due to the adoption of the above technical solution, the beneficial effects of the present invention are:

[0034] The present invention aims to overcome the defects of low valuation timeliness, insufficient accuracy and limited data sources in the prior art, ensure that the valuation results can timely and accurately reflect the latest changes in the fund investment portfolio, and provide investors with a more reliable and comprehensive basis for investment decision-making. At the same time, by updating and dynamically adjusting the valuation model in real time, the present invention can flexibly adapt to market changes and improve the applicability and effectiveness of valuation. BRIEF DESCRIPTION OF THE DRAWINGS

[0035] Figure 1 A flow chart of a real-time fund valuation method based on the position method and market factors provided in an embodiment of the present application. DETAILED DESCRIPTION

[0036] In order to make the purpose, technical solutions and advantages of the embodiments of the present invention clearer, the technical solutions in the embodiments of the present invention will be clearly and completely described below in conjunction with the drawings in the present invention. Obviously, the described embodiments are part of the embodiments of the present invention, rather than all the embodiments. Based on the embodiments in the present invention, all other embodiments obtained by ordinary technicians in this field without making creative work are within the scope of protection of the present invention.

[0037] See also Figure 1 This embodiment provides a real-time fund valuation method based on the position method and market factors, and the method includes the following steps:

[0038] S1. Collect the fund's historical adjusted net value data and index daily data.

[0039] Collect the fund's historical adjusted unit net value data and index daily line data with intraday trading data;

[0040] The sample table of fund historical adjusted unit net value data is as follows:

[0041]

[0042] The sample table of industry index data with intraday trading is as follows:

[0043]

[0044] S2. Convert the adjusted net value and the adjusted closing price of the index into yields and align them by date.

[0045] In step S2, for historical data, the adjusted net value of the fund and the closing price of the real-time index with intraday transactions need to be aligned according to the transaction date dimension and converted into a rate of return;

[0046]

[0047] S3. Calculate the index of the most correlated coefficients corresponding to different funds.

[0048] In step S3, the index with the highest correlation coefficient is calculated for different funds through the correlation coefficient matrix.

[0049] Through correlation coefficient calculation, it was found that the "China Merchants Industry Select Stock Fund" has the highest correlation coefficient with the Dividend Index among the CSI 300, Shanghai Composite Index, CSI 500 and Dividend Index, which is 92%.

[0050] S4. Obtain the holdings data disclosed in the quarterly and annual reports of the fund to be valued, including the details of the holdings and the initial weight of each asset.

[0051] In step S4, obtain the holdings information disclosed in the quarterly and annual reports of the fund to be evaluated, including the details of the holdings and the weight of each asset:

[0052] The following are the top ten stock and bond holdings of China Merchants Industry Select Equity Fund as of the 20240630 reporting period.

[0053]

[0054]

[0055] S5. Based on the initial weights of each asset in step S4, calculate the initial weights of the most relevant market factors.

[0056] The calculation formula for the initial weight of the most relevant market factor in step S5 is:

[0057]

[0058] Among them, w m represents the initial weight of the most relevant market factor, w i Represents the initial weight of the i-th asset in the holdings disclosed by the fund to be valued.

[0059] According to step S4, the weight of the top ten stocks is 59.88%, and the weight of the top ten bonds is 4.9%. The initial weight allocated to the market factor is 1-59.88%-4.9%=35.22%.

[0060] S6. Based on the initial weights of each asset obtained in step S4, the initial weights of the most relevant market factors calculated in step S5, and the daily quotes of all involved assets, the daily weights of each asset are calculated using a dynamic weighting method, and finally the calculated new weights are normalized.

[0061] Step S6 includes calculating the weight of each asset on day t+1, and the calculation formula is:

[0062]

[0063] in, is the weight of each asset on day t+1, w i_t is the estimated weight of the ith asset on day t, r i_tis the increase or decrease of the ith asset on the tth day, ρ is the Spearman correlation coefficient between the fund to be evaluated and the most relevant market factor, r m_t is the increase or decrease of the most relevant market factor on day t.

[0064] Depending on the type of assets, the daily rate of return will vary. Generally speaking, the underlying holdings of the fund mainly include cash, stocks, bonds, and funds.

[0065] For cash, the daily return is considered to be 0.

[0066] Attributed to stocks, bonds, and funds, the daily rate of return is considered to be the daily increase or decrease after the close of daily trading.

[0067] The reallocated dynamic weights need to be recalculated according to the formula.

[0068] For example, for the fund "China Merchants Industry Selected Stock Fund", on the next trading day of 20240630, the daily yield of Bank of Communications is -3.60%, Agricultural Bank of China -3.89%, Poly Development 9.98%, Industrial and Commercial Bank of China 3.06%, China Construction Bank 3.89%...,

[0069] The dynamic weight of the fund allocated to Bank of Communications is: 7.13*(1-3.6%) / (7.13*(1-3.6%)+7.1*(1-3.89%)+6.65*(1+9.98%)+6.63*(1+3.06%)+6.39*(1+6.39)+...)

[0070] According to this method, the dynamic weights of all the assets of the fund on the next trading day after 20240630 (such as 20240701) are first calculated in sequence; then the dynamic weights of the fund on the day before (day t) are estimated.

[0071] S7. Based on the estimated weights of each asset on day t, estimate the fund’s real-time rate of return on day t+1.

[0072] In step S7, the real-time rate of return calculation formula is as follows:

[0073]

[0074] Among them, w i_t+1 is the estimated weight of the ith asset on day t+1, r i_t+1 is the real-time rise and fall of the ith asset on day t+1, ρ is the Spearman correlation coefficient between the fund to be evaluated and the most relevant market factor, r m_t+1 is the real-time increase or decrease of the most relevant market factor on day t+1, It is the estimated increase or decrease of the fund to be evaluated on day t+1.

[0075] For example, for the trading day of 20240927, you need to first check the dynamic weights of each asset estimated on 20240926, {"Bank of Communications": 8.25%, "Agricultural Bank of China": 8.03%, ..., "Dividend Index": 32.5%}. Then at 2024-09-27 10:00:00, the data obtained from the exchange shows that the increase or decrease of Bank of Communications is 1.5%, and the increase or decrease of Agricultural Bank of China is 2.35%..., then the estimated real-time rate of return at this time is: r`=(8.25%*(1+1.5%)+8.03%*(1+2.35%)+...)

[0076] S8. Estimate the real-time net value of the fund to be evaluated on day t+1 based on the net value of the fund to be evaluated on day t and the real-time rate of return of the fund to be evaluated on day t+1 estimated in step S7.

[0077] In step S8, the real-time net value calculation formula is as follows:

[0078]

[0079] Among them, y t is the net value of the fund to be valued on day t, is the estimated real-time rate of return of the fund to be valued on day t+1, It is the estimated net value of the fund to be valued on t+1 day.

[0080] For example, if the net value of the previous day is 1.2503 and the estimated rate of return is 1.52%, then the real-time estimated net value is: 1.25*(1+1.52%)=1.2693.

[0081] S9. Backtest the deviation between the actual value and the estimated value of the fund.

[0082] In step S9, the deviation between the estimated fund net value and the actual net value is backtested to evaluate whether the upper limit conditions are met.

[0083] This embodiment aims to overcome the defects of low valuation timeliness, insufficient accuracy and limited data sources in the prior art, ensure that the valuation results can timely and accurately reflect the latest changes in the fund investment portfolio, and provide investors with a more reliable and comprehensive basis for investment decision-making. At the same time, by updating and dynamically adjusting the valuation model in real time, the present invention can flexibly adapt to market changes and improve the applicability and effectiveness of valuation.

[0084] The above contents are further detailed descriptions of the present invention in combination with specific preferred embodiments, and it cannot be determined that the specific implementation of the present invention is limited to these descriptions. For ordinary technicians in the technical field to which the present invention belongs, several simple deductions or substitutions can be made without departing from the concept of the present invention, which should be regarded as falling within the protection scope of the present invention.

Claims

1. A real-time fund valuation method based on position method and market factors, characterized in that: The method comprises the following steps: S1. Collect historical adjusted net value data of funds and daily index data; S2. Convert the adjusted net value and the adjusted closing price of the index into yields and align them by date; S3. Calculate the most relevant index of different funds; S4. Obtain the holdings data disclosed in the quarterly and annual reports of the fund to be valued, including the details of the holdings and the initial weight of each asset; S5. Calculate the initial weight of the most relevant market factor based on the initial weight of each asset in step S4; S6. Based on the initial weights of each asset obtained in step S4, the initial weights of the most relevant market factors calculated in step S5, and the daily market conditions of all involved assets, the daily weights of each asset are calculated using a dynamic weight method, and finally the calculated new weights are normalized; S7. Estimate the real-time rate of return of the fund on day t+1 based on the estimated weights of each asset on day t; S8, estimating the real-time net value of the fund to be evaluated on day t+1 based on the net value of the fund to be evaluated on day t and the real-time rate of return of the fund to be evaluated on day t+1 estimated in step S7; S9. Backtest the deviation between the actual value and the estimated value of the fund.

2. A real-time fund valuation method based on position method and market factors as claimed in claim 1, characterized in that: In step S3, the index with the highest correlation coefficient is calculated for different funds through the correlation coefficient matrix.

3. A real-time fund valuation method based on position method and market factors as claimed in claim 1, characterized in that: The calculation formula for the initial weight of the most relevant market factor in step S5 is: Among them, w m represents the initial weight of the most relevant market factor, w i Represents the initial weight of the i-th asset in the holdings disclosed by the fund to be valued.

4. A real-time fund valuation method based on position method and market factors as claimed in claim 1, characterized in that: Step S6 includes calculating the weight of each asset on day t+1, and the calculation formula is: in, is the weight of each asset on day t+1, w i_t is the estimated weight of the ith asset on day t, r i_t is the increase or decrease of the ith asset on the tth day, ρ is the Spearman correlation coefficient between the fund to be evaluated and the most relevant market factor, r m_t is the increase or decrease of the most relevant market factor on day t.

5. A real-time fund valuation method based on position method and market factors as claimed in claim 1, characterized in that: In step S7, the real-time rate of return calculation formula is as follows: Among them, w i_t+1 is the estimated weight of the ith asset on day t+1, r i_t+1 is the real-time rise and fall of the ith asset on day t+1, ρ is the Spearman correlation coefficient between the fund to be evaluated and the most relevant market factor, r m_t+1 is the real-time rise and fall of the most relevant market factor on day t+1, It is the estimated increase or decrease of the fund to be evaluated on day t+1.

6. A real-time fund valuation method based on position method and market factors as claimed in claim 1, characterized in that: In step S8, the real-time net value calculation formula is as follows: Among them, y t is the net value of the fund to be valued on day t, is the estimated real-time rate of return of the fund to be valued on day t+1, It is the estimated net value of the fund to be valued on t+1 day.

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