A passive index fund company performance indicator ranking method and system

Abstract

The application discloses a passive investment gold bull fund company performance index ranking method, comprising the following steps: S1, acquiring public fund public information disclosure data, and acquiring evaluation conditions and an investigation period based on a five-tuple definition of an evaluation task; the five-tuple comprises an award name, an investigation deadline, an investigation period, an evaluation qualification condition and a scoring model; S2, screening out an evaluation fund company sample pool from a basic database; S3, for each evaluation fund company in the sample pool, converting the net asset value of each evaluation fund into a comparable net asset value scale; S4, calculating the passive investment direction capability index, the passive investment direction scale ranking index, the passive investment direction scale growth index and the passive investment direction comprehensive fee rate index of each evaluation fund company in the investigation period; S5, performing dimensionless standard processing on the calculation results, and performing weighted aggregation according to a preset weight to obtain a comprehensive score of each evaluation fund company, and outputting a ranking result according to the comprehensive score.

Description

Technical Field

[0001] This invention relates to the field of financial data processing technology, and in particular to a method and system for ranking the performance indicators of passive investment top-performing fund companies. Background Technology

[0002] Fund industry rankings help investors quickly filter out historically high-performing funds from a vast pool of options, improving decision-making efficiency. A consistently high ranking usually reflects strong stock selection, market timing, and risk control capabilities from fund managers and their research teams. Meanwhile, ranking changes can reflect shifts in market style, competitive distribution channels, and the success or failure of company strategies.

[0003] The ranking of my country's fund industry is an important indicator reflecting the competitive landscape of the industry. Its current situation is characterized by concentration among the top players and intensified competition. It has important reference value for investors' decision-making, but there are also problems such as data transparency, evaluation standards, and short-term behavior.

[0004] When faced with massive amounts of data such as net asset value, size, and government bond yield of thousands of funds over a long period (5 or 7 years), using traditional serial calculations or real-time join queries can lead to problems such as database I / O bottlenecks, memory overflows, or extremely long calculation times (high system response latency).

[0005] How to effectively process the aforementioned financial data and obtain a fair and effective ranking is a technical problem that needs to be solved. Summary of the Invention

[0006] In view of the problems existing in the prior art, the purpose of this invention is to provide a method for ranking the performance indicators of passive investment top-performing fund companies. This method can accurately and quickly obtain relevant rankings by effectively processing financial data. Another purpose of this invention is to provide a passive investment top-performing fund company performance indicator ranking system that implements the above method.

[0007] To achieve the above objectives, this invention provides a method for ranking passive investment top-performing fund companies based on performance indicators, comprising the following steps: Step S1: Obtain publicly disclosed information data from public funds, construct a basic database, and obtain the participation conditions and observation period based on the five-tuple definition of the selection task; the five-tuple includes the award name, observation deadline, number of observation years, participation qualification conditions, and scoring model; Step S2: Based on the eligibility criteria, select fund companies that meet the product line and asset size requirements from the basic database to form a sample pool of participating fund companies; Step S3: For each participating fund company in the sample pool, obtain the basic indicator data of each of its participating funds during the observation period, and convert the net asset value of each participating fund into a comparable net asset value scale according to the preset asset size conversion rules. Step S4: Based on the basic indicator data and comparable net asset value of each participating fund, calculate the passive investment capability indicator, passive investment scale ranking indicator, passive investment scale growth indicator and passive investment comprehensive fee rate indicator for each participating fund company during the observation period. Step S5 involves standardizing the calculation results of the passive investment direction capability indicators, passive investment direction scale ranking indicators, passive investment direction scale growth indicators, and passive investment direction comprehensive expense ratio indicators using dimensionless standardization, and then weighting and summarizing them according to preset weights to obtain the comprehensive score of each participating fund company. The ranking results are then output based on the comprehensive scores.

[0008] Furthermore, in step S2, the steps for selecting fund companies that meet the product line requirements and asset size requirements include: The number of passive products under each fund company that have reached the preset threshold in terms of operating time by the end of the observation period is counted, and fund companies that do not meet the product line quantity requirements are excluded. Calculate the average comparable net asset value of the remaining fund companies during the observation period and sort them from largest to smallest; The average comparable net asset value after sequential summation and ranking is used to select fund companies whose cumulative size reaches a preset proportion of the total size to enter the sample pool of participating fund companies.

[0009] Furthermore, in step S4, the specific steps for calculating the passive investment orientation capability index include: The participating funds are divided into different types, and based on the preset evaluation indicators corresponding to each type, the standardized score of the participating funds for each trading day during the observation period is calculated based on the rolling time window. The scores of all participating funds under the participating fund company on the trading day are weighted and summed up to obtain the daily summary score of the fund company by using the comparable net asset value of the participating funds on the corresponding trading day as the weight. Using the daily aggregated comparable net asset value of the fund company as the weight, the daily aggregated scores are weighted and aggregated over the observation period to obtain the passive investment direction capability index of the fund company.

[0010] Furthermore, the participating funds are categorized into different types, and scores are calculated based on pre-defined evaluation indicators for each type, specifically including: If the participating fund is a standard index fund, then tracking error and quasi-Sotinho information ratio are used as evaluation indicators for weighted calculation; If the participating fund is an enhanced index fund, the relative return ranking stability and the proposed Sortino information ratio will be used as evaluation indicators for weighted calculation. If the participating fund is an ETF, then the tracking error, average market capitalization, and average daily turnover are used as evaluation indicators for weighted calculation.

[0011] Furthermore, in step S4, the specific steps for calculating the ranking index of passive investment direction include: Obtain the sum of comparable net asset values ​​of the participating funds under the fund company during the reporting period of each quarterly report; Calculate the average comparable net asset value of the fund company during the reporting period of each quarterly report to obtain the average comparable net asset value of the fund company during the period under observation. Calculate the percentile ranking of the average comparable net asset value among all participating fund companies, and perform an inverse normal transformation on the percentile ranking. Use the transformed result as the ranking indicator for the size of passive investment.

[0012] Furthermore, in step S4, the specific steps for calculating the growth index of passive investment include: Calculate the sum of the comparable net asset value of the participating funds under the fund company at the end of the assessment period and the beginning of the assessment period, respectively; The growth rate of comparable net assets at the end of the observation period relative to the beginning of the observation period is calculated and summarized, and used as an indicator of the growth rate of passive investment.

[0013] Furthermore, in step S4, the specific steps for calculating the comprehensive rate index for passive investment include: Obtain the total operating expenses of all types of passive investment funds under the fund company during the evaluation period for each sub-period; The average net asset value of each participating fund is calculated based on its average daily net asset value and the number of calendar days in the corresponding sub-period. Dividing the sum of all operating expenses by the average net asset value yields the comprehensive expense ratio for passive investment.

[0014] Furthermore, in step S5, the specific method for performing dimensionless standardization processing on the indicators is as follows: Extract the observation values ​​of individual indicators for each fund company. ; Using formula Calculate the standard score ,in This represents the sample mean of a single indicator. This represents the sample standard deviation of a single indicator.

[0015] Furthermore, the calculation of the proposed Sotino Information Ratio involves adjusting the fund performance drawdown ranking, and its calculation steps include: Obtain the set of fund returns and the set of excess returns, and calculate the quantile of each trading day in the corresponding sample set; The quantiles are mapped to normalized values ​​using the inverse function of the standard normal distribution function; The average value and maximum drawdown of the normalized values ​​are calculated, and the relative return maximum drawdown adjustment ranking index is obtained by combining the empirical adjustment coefficient.

[0016] A passive investment top-performing fund company performance ranking system, characterized in that it is used to execute the aforementioned passive investment top-performing fund company performance ranking method, and the system includes: The data processing module is used to acquire publicly disclosed information data from public funds, build a basic database, and obtain the evaluation criteria and observation period based on the five-tuple definition of the evaluation task. The sample screening module is used to select fund companies that meet the product line requirements and asset size requirements from the basic database based on the eligibility criteria for participation, thus forming a sample pool of participating fund companies. The basic indicator calculation module is used to obtain the basic indicator data of each participating fund company in the sample pool during the observation period, and convert the net asset value of each participating fund into a comparable net asset value scale according to the preset asset size conversion rules. The multi-dimensional indicator generation module is used to calculate, based on the basic indicator data and comparable net asset value of each participating fund company, the passive investment capability indicator, passive investment scale ranking indicator, passive investment scale growth indicator, and passive investment comprehensive fee rate indicator for each participating fund company during the observation period. The comprehensive scoring and ranking module is used to perform dimensionless standardization processing on the indicators of each dimension, and to perform weighted summation according to preset weights to obtain the comprehensive score of each participating fund company, and output the ranking results based on the comprehensive score.

[0017] The present invention has the following key technical points: 1. Construction of a structured evaluation task model: This invention proposes using a 5-tuple data structure, CounselorAwardTask=(AwardName, EvalEndDate, EvalYears, Qualifications, ScoreModel), to perform system-level abstraction and definition of complex award tasks. This data model design enables the system to automatically define the scope of evaluation and computational boundaries, providing a unified infrastructure for subsequent data processing.

[0018] 2. Cross-type data "comparable net asset value" conversion mechanism: Addressing the technical challenge of directly summing and comparing the vastly different asset sizes and volatility characteristics of different fund types (such as equity funds, bond funds, and ETFs), this invention designs a specialized size conversion mapping table. By assigning specific conversion coefficients to different fund categories, heterogeneous physical sizes are transformed into a unified "comparable net asset value." This is the core technological foundation for achieving cross-type data fusion in this invention.

[0019] 3. Multi-level, dynamically weighted bottom-up data aggregation algorithm: When calculating the capability score of fund companies, this invention does not use a simple arithmetic average, but instead designs a bottom-up dynamic weighting algorithm. First, the daily standard score of each individual fund is calculated. Then, the fund's comparable net asset value on that day is used as the weight for daily aggregation at the company level. Finally, the total aggregation over the observation period is performed using the company's daily aggregated comparable asset value as the weight. This algorithm effectively avoids evaluation distortion caused by drastic fluctuations in fund size over long periods.

[0020] 3. The system employs a tiered approach to the "three types and six categories" of fine-grained evaluation index trees: At the underlying data processing stage, the system meticulously categorizes evaluation objects into three types and six categories: standard, enhanced, and ETF. Different evaluation algorithm engines are invoked for different types of sub-nodes. For example, "tracking error + quasi-Sotinho information ratio" is used for standard index types, "relative return ranking stability" is introduced for enhanced index types, and "market size and average daily turnover" are introduced for ETFs. This tiered calculation architecture ensures the objectivity and technical relevance of index selection.

[0021] 4. Nonlinear Transformation and Standardization Techniques for Multidimensional Heterogeneous Data: Before the final fusion of heterogeneous calculation results across four dimensions—capacity, scale, scale growth, and comprehensive fee rate—the system employs various data standardization methods. In addition to the conventional z-score standard score conversion (addressing the issue of different dimensions), when processing management scale rankings, a nonlinear mapping technique combining quantile calculation and "inverse normal transformation" is specifically introduced to effectively smooth the impact of extreme value data on the final ranking.

[0022] 5. System computational performance optimization mechanism based on "pre-computation and caching": Faced with the massive task of calculating returns and benchmark indicators for each trading day and each fund during the observation period, this invention specifically designed a "basic indicator pre-computation" step in the system process. By pre-calculating and persistently storing the seven-tuple basic indicator dataset (such as rolling 1-year fund returns, rolling 1-year benchmark returns, etc.), the system overhead during subsequent parallel calculation of multiple indicators is significantly reduced, and the overall data processing architecture's operating efficiency is significantly improved. Attached Figure Description

[0023] Figure 1A flowchart for the overall ranking of passive investment top-performing fund companies based on comprehensive performance indicators; Figure 2 A flowchart for calculating the performance indicators and overall scores of passive investment top-performing fund companies. Detailed Implementation

[0024] The technical solution of the present invention will now be clearly and completely described with reference to the accompanying drawings. Obviously, the described embodiments are only some, not all, of the embodiments of the present invention. Based on the embodiments of the present invention, all other embodiments obtained by those skilled in the art without creative effort are within the scope of protection of the present invention.

[0025] In the description of this invention, it should be noted that the terms "center," "upper," "lower," "left," "right," "vertical," "horizontal," "inner," and "outer," etc., indicate the orientation or positional relationship based on the orientation or positional relationship shown in the accompanying drawings. They are used only for the convenience of describing the invention and for simplifying the description, and do not indicate or imply that the device or element referred to must have a specific orientation, or be constructed and operated in a specific orientation. Therefore, they should not be construed as limitations on the invention. Furthermore, the terms "first," "second," and "third" are used for descriptive purposes only and should not be construed as indicating or implying relative importance.

[0026] In the description of this invention, it should be noted that, unless otherwise explicitly specified and limited, the terms "installation," "connection," and "linking" should be interpreted broadly. For example, they can refer to a fixed connection, a detachable connection, or an integral connection; they can refer to a mechanical connection or an electrical connection; they can refer to a direct connection or an indirect connection through an intermediate medium; and they can refer to the internal connection of two components. Those skilled in the art can understand the specific meaning of the above terms in this invention according to the specific circumstances.

[0027] The following combination Figure 1 , Figure 2 Specific embodiments of the present invention will be described in detail below. It should be understood that the specific embodiments described herein are for illustrative and explanatory purposes only and are not intended to limit the present invention.

[0028] This invention discloses a method for ranking passive investment top-performing fund companies based on performance indicators, comprising the following steps: Step S1: Obtain publicly disclosed information data from public funds, construct a basic database, and obtain the participation conditions and observation period based on the five-tuple definition of the selection task; the five-tuple includes the award name, observation deadline, number of observation years, participation qualification conditions, and scoring model; Step S2: Based on the eligibility criteria, select fund companies that meet the product line and asset size requirements from the basic database to form a sample pool of participating fund companies; Step S3: For each participating fund company in the sample pool, obtain the basic indicator data of each of its participating funds during the observation period, and convert the net asset value of each participating fund into a comparable net asset value scale according to the preset asset size conversion rules. Step S4: Based on the basic indicator data and comparable net asset value of each participating fund, calculate the passive investment capability indicator, passive investment scale ranking indicator, passive investment scale growth indicator and passive investment comprehensive fee rate indicator for each participating fund company during the observation period. Step S5 involves standardizing the calculation results of the passive investment direction capability indicators, passive investment direction scale ranking indicators, passive investment direction scale growth indicators, and passive investment direction comprehensive expense ratio indicators using dimensionless standardization, and then weighting and summarizing them according to preset weights to obtain the comprehensive score of each participating fund company. The ranking results are then output based on the comprehensive scores.

[0029] This invention discloses a method and system for ranking the performance indicators of passive investment top-performing fund companies, specifically including the following: I. Evaluation System 1.1 Evaluation and Calculation Tasks This invention uses the Golden Bull Award selection in the fund industry as background and example to illustrate the detailed technical solution of this invention.

[0030] The Golden Bull Award selection task can be defined by the following quintuple: CounselorAwardTask = (AwardName, EvalEndDate, EvalYears, Qualifications, ScoreModel). Where: AwardName: Award Name (e.g., "Passive Investment Golden Bull Fund Company Award") EvalEndDate: The deadline for evaluation (e.g., the deadline for the 22nd Golden Bull Award is December 31, 2024). EvalYears: The evaluation period (the evaluation period for the 22nd Golden Bull Company Awards is five years). Qualifications: Eligibility criteria, expressed as a Boolean expression (explained in detail later). ScoreModel: The scoring model for this award (which will be explained in detail later). The evaluation task can be described as follows: Based on the set of participating fund companies defined by the task (determined by the Qualifications) and the relevant evaluation indicators involved in the task, calculate the score of each fund company in the set during the corresponding observation period (determined by EvalYears and EvalEndDate) according to the ScoreModel of the task, and rank the fund companies in the set from largest to smallest score, which is the quantitative score ranking result of the evaluation task.

[0031] 1.2 Evaluation Index System Table 1 below briefly lists the quantitative evaluation indicators and their weighting ratios for passive investment top-performing fund companies: Table 1. Quantitative Evaluation Index System for Passive Investment Golden Bull Fund Companies

[0032] 1.2.1 Scoring Indicators for Passive Products The scoring indicators for passive index funds, enhanced index funds, and ETFs are shown in Tables 2-4 respectively: Table 2 Scoring Indicators for Standard Index Funds

[0033] Table 3 Scoring Indicators for Enhanced Index Funds

[0034] Table 4 ETF Scoring Indicators

[0035] 1.2.2 Table of Comparable Net Asset Value Scale for Various Types of Funds When calculating award results, if the net asset value of multiple types of funds needs to be aggregated, Table 5 will be used. The specific method is to first identify the fund's category, find the corresponding conversion factor in the table below, and multiply its net asset value by the corresponding conversion factor (for mixed funds, calculate the conversion factor using the algorithm given in the table) to calculate the fund's comparable net asset value.

[0036] Table 5. Conversion of Comparable Net Asset Value of Various Fund Types

[0037] Comparable net asset value (NAV) of fund companies: As of the end of the observation period, this includes equity funds (excluding stock index funds), all mixed funds, and bond funds and stock index funds with an operating period of at least 37 months. Following rule 1.2.2, the NAV of each quarter during the observation period is converted and averaged across all quarters to obtain the comparable NAV of each product. Subsequently, the comparable NAVs of all products under the same fund company are aggregated to obtain the company's overall comparable NAV.

[0038] 1.2.3 Calculation Method for Comprehensive Fee Rate of Equity Fund Products This calculation uses all expenses incurred in maintaining equity-type public funds to determine the overall expense ratio for fund companies' equity products. This indicator aims to reflect the level of fees investors incur when holding these fund companies' equity products.

[0039] (a) Items involving expenses Management fees, custody fees, sales service fees, investment advisory fees, transaction fees (such as transaction commissions, stamp duty, handling fees, securities regulatory fees, transfer fees, etc.), and other fees (such as registration fees, annual listing fees, information disclosure fees, account service fees, shareholder meeting fees, audit fees, legal fees, etc.).

[0040] (ii) Average size of the first half of the year If remember Let i be the average net asset value of fund product i in period t. Let t be the number of calendar days in period t. The formula for calculating the average net asset value of fund product i in period t is:

[0041] in, Let be the custody fee amount for fund product i in period t. Let i be the daily custody fee rate for fund product i in period t. Let t be the number of calendar days in period t. If the custody fee rate changes during period t, the average net asset value of fund product i in period t is calculated using the following formula:

[0042] in, The daily rate prior to the change in the custody fee rate for period t. The daily rate after the change in the custody fee rate for period t. The number of calendar days prior to the change in the custody fee rate for period t. This represents the number of calendar days following the change in the custody fee rate for period t. .

[0043] (III) The specific calculation formula for the comprehensive fee rate is as follows:

[0044] Where T represents the number of sub-periods within the observation period, divided by six months. Let J be the set of all equity funds of a certain fund company in period t, and let J be the set of all fee items of the fund. This refers to the cost of the j-th project of fund product i in period t.

[0045] 1.2.4 Calculation Method for Score Summary of Multiple Scoring Indicators under the Same Category Individual awards for fund products and fund company awards often have multiple scoring indicators. This award scheme uses a weighted summation method to aggregate these indicators into a single indicator, where the weights are predetermined. Because individual awards and company awards are selected within a single category, and categories are comparable, but the dimensions of each scoring indicator may not be identical, standardization is necessary before weighted summation. The specific method is as follows: 1. Establish an individual award or company award in the category of Selection from the middle, and have Each scoring indicator is set in category Members , The scores on these indicators are respectively , .

[0046] 2. For all members in the class, the first... A vector composed of indicators After standardization, it is denoted as .

[0047] No. Standard score of each sample observation

[0048] 3. Remember The weighted summation weight of each scoring indicator is: ;

[0049] 4. Then the members of the class Overall score for:

[0050] Then according to The size of the award determines which members are eligible to be nominated.

[0051] 1.2.5 Calculation Scope of Indicators In fund evaluation, to ensure consistent calculation methods, funds with multiple share classes will be handled according to the following principles: 1) Except for the unit net value, all other indicators (such as fund size, weighted average net value return rate, etc.) use the consolidated data disclosed in the fund's periodic reports.

[0052] 2) The net asset value per unit uses data from the fund's main share.

[0053] The above principles are mainly based on the following considerations: 1) Consolidated data reflects the overall operation of the fund and is more representative and comparable.

[0054] 2) The information required to weight or combine the net asset value per unit of different shares is incomplete, and there are technical difficulties; the difference in net asset value per unit of different shares of the same fund is small, and the net asset value of the main share is representative, so the net asset value per unit of the main share is used for calculation.

[0055] 1.2.6 Absolute Return and Excess Return remember Let F be the set of all such trading days for fund F during the observation period, arranged in chronological order: For funds purchased on the trading day preceding each specified date and redeemed after being held for h trading days, the redemption date must still be within the observation period. This is especially true when h is d, w, m, or y. These represent a set consisting of a trading day, a trading week, a trading month, and a trading year, respectively.

[0056] (1) Sample of Fund F's return: for any given time period ,investor The return on fund F purchased on the previous trading day and held for h trading days is denoted as . A set arranged in chronological order is abbreviated as . ,Right now ; (2) Sample of Fund F's Risk-Free Return: For any given time period ,investor The annualized return of fund F purchased on the previous trading day and held for h trading days minus The yield of a 10-year Treasury bond with a maturity of h on the previous trading day is denoted as h. A set arranged in chronological order is abbreviated as . ,Right now ; (3) Sample of excess returns of Fund F: for any given time period ,investor The return of buying fund F on the previous trading day and holding it for h trading days minus the investor's... The return on the benchmark fund F purchased on the previous trading day and held for h trading days is denoted as . A set arranged in chronological order is abbreviated as . ,Right now .

[0057] 1.2.7 Sample Standard Deviation

[0058] 1.2.8 Risk-Adjusted Performance Indicators (1) The total size and trading day weighting of Fund F during the observation period: On any trading day during the observation period , record fund On the trading day The net asset value disclosed at the end of the most recent quarter, after being converted using the conversion factor in table 1.2.2, yields comparable net asset values ​​(hereinafter referred to as "size"), which are denoted as follows: , ,time The number of trading days between the most recent disclosed trading volume and the last disclosed trading volume were respectively , If time It is precisely because of this large-scale announcement that... = , = like definition

[0059] This can be referred to as the total size of Fund F during the observation period. (Record again)

[0060] say For the return vector and The common weighted weights, where For set The number of elements.

[0061] (2) The pseudo-sorcinol ratio and pseudo-sorcinol information ratio are respectively: ;

[0062] 1.2.9 Ranking Adjusted by Fund Performance Drawdown Calculate the fund using the following steps. In the fund category The ranking was adjusted based on the performance pullback.

[0063] (1) First calculate the fund Set of returns and excess return set ,in ,and Similarly, this is the set of all such trading days in the fund market during the observation period, arranged in chronological order: If a fund is purchased on the trading day preceding each of the specified dates and redeemed on trading day h, the redemption date must still be within the observation period. (2) For any ,calculate In the set quantiles on and In the set quantiles on ; (3) Record Let be the inverse function of the standard normal distribution function, calculate and ; (4) Calculate the samples separately. and samples average , and maximum drawdown , ; (5) Calculate the samples separately. and samples average , For maximum drawdown , empirical adjustment coefficient ,

[0064]

[0065]

[0066] For the fund In the fund category The ranking of the maximum drawdown adjustment of absolute returns and the ranking of the maximum drawdown adjustment of relative returns.

[0067] 1.3 Overall Calculation Process The overall calculation process for the comprehensive ranking of passive investment top-performing fund companies based on their performance indicators is as follows: Figure 1 As shown.

[0068] The overall data processing and calculation process consists of five steps: The first step is to prepare the basic data. Based on publicly disclosed information from public funds, a basic database for the Golden Bull Awards selection will be constructed. This database will store and record the basic data related to the entire Golden Bull Awards selection calculation process. In addition, based on the Golden Bull Awards fund classification system, all funds in the market will be classified, tagged with category labels, and any historical changes in fund classifications will be recorded.

[0069] The second step is the selection of participating fund companies. Based on the eligibility criteria for the Golden Bull Award for passive investment, fund companies meeting the eligibility requirements are selected from the Golden Bull Award database to form a sample pool of participating fund companies. Each subsequent calculation step is performed within this sample pool.

[0070] The third step is to pre-calculate the fund's basic indicators. To facilitate the verification of the calculation process, improve the overall calculation performance, and avoid repeatedly calculating some basic indicators (such as "the return rate of buying this fund on the previous trading day and holding it for one year") when calculating various evaluation indicators later, the basic indicators of relevant fund products can be pre-calculated and saved to the Golden Bull Award selection database.

[0071] The fourth step is to calculate the performance evaluation indicators for fund companies. For each participating fund company, calculate its various scoring indicators during the evaluation period (e.g., the evaluation period for the 22nd Golden Bull Award is from January 1, 2020 to December 31, 2024) as shown in Table 1.

[0072] The fifth step is to calculate and rank the fund companies' overall scores. For each participating fund company, the relevant scoring indicators are weighted and summed according to the scoring model to obtain an overall score. The companies are then ranked from highest to lowest based on their overall scores.

[0073] The data processing flow, indicator calculation methods, or related algorithms involved in each of the above steps are described below.

[0074] II. Basic Data Preparation Based on publicly disclosed information from public funds, a foundational database for the Golden Bull Awards selection was constructed (technology selection: MySQL relational database). This database stores and records historical basic data related to the entire Golden Bull Awards selection calculation process, mainly including: basic information and changes in fund products, basic information of fund companies, information on fund manager appointments and changes, daily net asset value data of funds, fund dividend or split data, 10-year Treasury bond yield data, daily benchmark index data, ETF fund circulating shares and trading volume data, data disclosed in fund quarterly reports (net asset value, asset allocation, etc.), and data disclosed in fund semi-annual or annual reports (including ending net asset value, beginning net asset value, fund subscription proceeds, fund redemption proceeds, income distribution to holders, weighted average net asset value return rate, and profit for the period).

[0075] In practice, the basic database for the Golden Bull Award selection can be built and maintained based on the Hengsheng Juyuan database, Wind database, or similar databases in the industry through ETL, data fusion, cross-validation, and incremental updates.

[0076] Based on the fund contracts' provisions regarding the fund's asset investment scope and proportions, and the equity and bond composition ratio of the performance benchmark, all funds in the market are classified (including liquidated funds). The classification information for each fund (including historical changes) is recorded in the Golden Bull Awards' basic database. Note that if a fund's classification has changed historically due to changes in its investment scope or performance benchmark, the database must record the classification information before and after the change (including the fund's category label, effective date, and expiration date at each stage before and after the change).

[0077] III. Selection of Participating Fund Companies Based on the Golden Bull Award selection database, fund companies that meet the eligibility criteria for the Passive Investment Golden Bull Fund Company Award are selected to form a sample pool of participating fund companies (each subsequent calculation step is carried out in this sample pool).

[0078] Fund companies participating in the selection for the Passive Investing Golden Bull Fund Company Award must meet the following eligibility criteria: (1) Product line requirements: The participating fund management company must have at least one ETF / standard index / enhanced index fund that has been in operation for 60 months.

[0079] (2) Asset size requirement: For fund companies that meet condition (1), their average comparable net asset value during the observation period (statistical scope: ETFs, standard index funds, enhanced index funds, bond ETFs, standard bond index funds, and enhanced bond index funds that have been operating for 37 months or more by the end of the observation period) are sorted from largest to smallest and accumulated sequentially. The fund companies whose cumulative comparable net asset value accounts for the top 90% of the average comparable net asset value of fund companies that meet condition (1) during the observation period are selected.

[0080] The following outlines the selection process for participating fund companies:

[0081] In practice, the average comparable net asset value of each fund company's various types of fund products during the observation period is usually calculated in advance and recorded in the Golden Bull Award selection database. This makes it easy to read the data according to the sample conditions when selecting samples for each company's awards, and also facilitates manual review and inspection.

[0082] IV. Pre-calculation of Fund Basic Indicators For each participating fund under the participating fund company, the relevant basic indicators for each trading day during the observation period are calculated and saved to the Golden Bull Award selection database. This avoids duplicate calculations during the subsequent indicator calculation stage and effectively improves overall computational performance. These basic indicators for each participating fund on each trading day together form a seven-tuple, forming the overall basic indicator dataset for the participating funds.

[0083] Where: F represents the participating fund (usually identified by the fund code). This indicates one trading day during the observation period. This represents the rate of return of fund F on day t. This represents the return on an investor who buys F on the previous trading day of t and holds it for one year (hereinafter referred to as the "rolling 1-year fund return"). This represents the return on an investor who bought the benchmark F on the previous trading day of t and held it for one year (hereinafter referred to as the "rolling 1-year benchmark return"). This represents the risk-free rate of return for an investor who buys a 10-year Treasury bond on the previous trading day of t and holds it for one year (hereinafter referred to as the "rolling 1-year risk-free rate"). This indicates the size weight (comparable net asset value after conversion) of the participating fund F on that trading day.

[0084] In addition to the basic indicators mentioned above, other relevant basic data disclosed by the funds are also required when selecting fund companies for awards to calculate the relevant evaluation indicators. These are listed below (the specific calculation of the evaluation indicators will be explained later): The net asset value disclosed in the fund's quarterly report; The number of shares outstanding in the ETF market and the daily trading volume of ETFs; Comprehensive fee data includes: manager's remuneration, custody fee, custody fee rate, sales service fee, investment advisory fee, transaction fees, and other fees. V. Calculation of Fund Company Performance Evaluation Indicators Based on the basic indicator dataset D of the participating funds obtained in the previous steps (and other relevant basic data of the fund products, which will be explained in detail when calculating each evaluation indicator later), the specific algorithms and calculation processes of each performance evaluation indicator in "Table 1 Quantitative Evaluation Indicator System of Passive Investment Golden Bull Fund Companies" are described below. Figure 2 The overall calculation process from calculating each evaluation index to obtaining the final comprehensive score is given (since the various indicators are independent of each other, they can be calculated in parallel to speed up the overall performance).

[0085] The specific algorithms and calculation processes for each performance evaluation indicator are described below: 5.1 Calculation of Passive Investment Direction Capability Indicators This indicator measures the overall performance of a fund company's index funds during the evaluation period. It is evaluated comprehensively according to its respective criteria across three types and six categories: standard, enhanced, and ETF funds (each type includes both equity and bond funds).

[0086] The funds included in the calculation are passive investment funds managed by fund companies that have been operating for at least three years during the review period (including funds that have been liquidated at the end of the review period). The scope of participating fund types included in the calculation (all funds must have been operating for at least three years during the observation period). Stock index funds: Standard index funds, Enhanced index funds, ETFs; Bond index funds: Standard bond index funds, Enhanced bond index funds, Bond ETFs; The calculation process for the passive investment capability indicators of the participating fund companies is as follows:

[0087]

[0088] 5.2 Calculation of Ranking Indicators for Passive Investment Scope This indicator measures the ranking of a fund company's passive investment funds by average comparable net asset value (NAV) during the evaluation period (see 1.2.2 for the concept of comparable NAV). The funds included in the statistics are passive investment funds managed by the fund company that have been operating for at least three years as of the end of the evaluation period and are currently in existence, as detailed below: The scope of participating fund types included in the calculation (all funds must have been operating for at least three years and still be in existence). Stock index funds: ETFs, standard index funds, enhanced index funds; Bond index funds: Bond ETFs, standard bond index funds, enhanced bond index funds; The calculation process is as follows:

[0089] 5.3 Calculation of Growth Indicators for Passive Investment This indicator measures the growth of a fund company's comparable net asset value (NAV) of passively managed funds at the end of the assessment period relative to the beginning of the assessment period (see 1.2.2 for the concept of comparable NAV). The funds included in the statistics are passively managed funds managed by the fund company that have been operating for at least three years and are currently in existence, specifically: the top 90% of fund companies by NAV. The scope of participating fund types included in the calculation (all funds must have been operating for at least three years and still be in existence). Stock index funds: ETFs, standard index funds, enhanced index funds; Bond index funds: Bond ETFs, standard bond index funds, enhanced bond index funds; The calculation process is as follows:

[0090] 5.4 Calculation of Comprehensive Expense Ratio for Passive Investment This indicator calculates the overall expense ratio of a fund company's passive investment products based on all expenses incurred in maintaining and operating these products. It reflects the comprehensive cost level investors bear when holding these passive investment products. The expense items included in the statistics are: management fees, custody fees, sales service fees, investment advisory fees, transaction fees (such as transaction commissions, stamp duty, handling fees, regulatory fees, transfer fees, etc.), and other expenses (such as registration fees, annual listing fees, information disclosure fees, account service fees, shareholder meeting expenses, audit fees, legal fees, etc.).

[0091] The funds included in the statistics are passive investment funds managed by fund companies that have been operating for at least three years during the review period (including funds that have been liquidated at the end of the review period). The types of funds included in the statistics (all of which must have been operating for at least three years during the observation period) Stock index funds: ETFs, standard index funds, enhanced index funds; Bond index funds: Bond ETFs, standard bond index funds, enhanced bond index funds; The calculation process for the comprehensive expense ratio index of passive investment funds of participating fund companies is as follows.

[0092]

[0093] VI. Calculation and Ranking of Fund Companies' Overall Scores After all the evaluation indicators for all participating fund companies were calculated, each indicator was converted into a standard score (based on zscore). Then, the scores were weighted and summed according to the weights of each indicator in "Table 1: Quantitative Evaluation Indicator System for Passive Investment Golden Bull Fund Companies" to obtain the comprehensive score for each fund company. Overall Score = Passive Investment Capability Index Score * 75% + Passive Investment Scale Ranking Score * 10% + Passive Investment Scale Growth Score * 10% + Passive Investment Fund Overall Fee Rate * 5%.

[0094] The final ranking of the participating fund companies is obtained by sorting them from highest to lowest based on their overall scores.

[0095] A passive investment top-performing fund company performance ranking system, characterized in that it is used to execute the aforementioned passive investment top-performing fund company performance ranking method, and the system includes: The data processing module is used to acquire publicly disclosed information data from public funds, build a basic database, and obtain the evaluation criteria and observation period based on the five-tuple definition of the evaluation task. The sample screening module is used to select fund companies that meet the product line requirements and asset size requirements from the basic database based on the eligibility criteria for participation, thus forming a sample pool of participating fund companies. The basic indicator calculation module is used to obtain the basic indicator data of each participating fund company in the sample pool during the observation period, and convert the net asset value of each participating fund into a comparable net asset value scale according to the preset asset size conversion rules. The multi-dimensional indicator generation module is used to calculate, based on the basic indicator data and comparable net asset value of each participating fund company, the passive investment capability indicator, passive investment scale ranking indicator, passive investment scale growth indicator, and passive investment comprehensive fee rate indicator for each participating fund company during the observation period. The comprehensive scoring and ranking module is used to perform dimensionless standardization processing on the indicators of each dimension, and to perform weighted summation according to preset weights to obtain the comprehensive score of each participating fund company, and output the ranking results based on the comprehensive score.

[0096] Any process or method described in the flowcharts of this invention or otherwise herein can be understood as representing a module, segment, or portion of code comprising one or more executable instructions for implementing a particular logical function or process, which can be implemented in any computer-readable medium for use by an instruction execution system, apparatus, or device. The computer-readable medium can be any medium containing a program for storage, communication, propagation, or transmission for use by an execution system, apparatus, or device, including read-only memory, magnetic disks, or optical disks.

[0097] In the description of this specification, references to terms such as "embodiment," "example," etc., indicate that a specific feature, structure, material, or characteristic described in connection with that embodiment or example is included in at least one embodiment or example of the present invention. In this specification, the illustrative expressions of the above terms do not necessarily refer to the same embodiment or example. Furthermore, those skilled in the art can combine or combine the different embodiments or examples described in this specification and the features therein without causing contradiction.

[0098] The above description is merely a preferred embodiment of the present invention and is not intended to limit the invention in any way. Although the present invention has been disclosed above with reference to preferred embodiments, it is not intended to limit the invention. Therefore, any simple modifications, equivalent changes, and alterations made to the above embodiments based on the technical essence of the present invention without departing from the scope of the present invention should fall within the protection scope of the present invention.

Claims

1. A method for ranking passive investment top-performing fund companies based on performance indicators, characterized in that, Includes the following steps: Step S1: Obtain publicly disclosed information data from public funds, construct a basic database, and obtain the participation conditions and observation period based on the five-tuple definition of the selection task; the five-tuple includes the award name, observation deadline, number of observation years, participation qualification conditions, and scoring model; Step S2: Based on the eligibility criteria, select fund companies that meet the product line and asset size requirements from the basic database to form a sample pool of participating fund companies; Step S3: For each participating fund company in the sample pool, obtain the basic indicator data of each of its participating funds during the observation period, and convert the net asset value of each participating fund into a comparable net asset value scale according to the preset asset size conversion rules. Step S4: Based on the basic indicator data and comparable net asset value of each participating fund, calculate the passive investment capability indicator, passive investment scale ranking indicator, passive investment scale growth indicator and passive investment comprehensive fee rate indicator for each participating fund company during the observation period. Step S5 involves standardizing the calculation results of the passive investment direction capability indicators, passive investment direction scale ranking indicators, passive investment direction scale growth indicators, and passive investment direction comprehensive expense ratio indicators using dimensionless standardization, and then weighting and summarizing them according to preset weights to obtain the comprehensive score of each participating fund company. The ranking results are then output based on the comprehensive scores.

2. The ranking method according to claim 1, characterized in that, Step S2, the steps for screening fund companies that meet the product line requirements and asset size requirements, include: The number of passive products under each fund company that have reached the preset threshold in terms of operating time by the end of the observation period is counted, and fund companies that do not meet the product line quantity requirements are excluded. Calculate the average comparable net asset value of the remaining fund companies during the observation period and sort them from largest to smallest; The average comparable net asset value after sequential summation and ranking is used to select fund companies whose cumulative size reaches a preset proportion of the total size to enter the sample pool of participating fund companies.

3. The ranking method according to claim 1, characterized in that, Step S4, the specific steps for calculating the passive investment orientation capability index include: The participating funds are divided into different types, and based on the preset evaluation indicators corresponding to each type, the standardized score of the participating funds for each trading day during the observation period is calculated based on the rolling time window. The scores of all participating funds under the participating fund company on the trading day are weighted and summed up to obtain the daily summary score of the fund company by using the comparable net asset value of the participating funds on the corresponding trading day as the weight. Using the daily aggregated comparable net asset value of the fund company as the weight, the daily aggregated scores are weighted and aggregated over the observation period to obtain the passive investment direction capability index of the fund company.

4. The ranking method according to claim 3, characterized in that, The participating funds are divided into different types, and scores are calculated based on the pre-defined evaluation indicators corresponding to each type. Specifically, this includes: If the participating fund is a standard index fund, then tracking error and quasi-Sotinho information ratio are used as evaluation indicators for weighted calculation; If the participating fund is an enhanced index fund, the relative return ranking stability and the proposed Sortino information ratio will be used as evaluation indicators for weighted calculation. If the participating fund is an ETF, then the tracking error, average market capitalization, and average daily turnover are used as evaluation indicators for weighted calculation.

5. The ranking method according to claim 1, characterized in that, Step S4, the specific steps for calculating the ranking index of passive investment direction include: Obtain the sum of comparable net asset values ​​of the participating funds under the fund company during the reporting period of each quarterly report; Calculate the average comparable net asset value of the fund company during the reporting period of each quarterly report to obtain the average comparable net asset value of the fund company during the period under observation. Calculate the percentile ranking of the average comparable net asset value among all participating fund companies, and perform an inverse normal transformation on the percentile ranking. Use the transformed result as the ranking indicator for the size of passive investment.

6. The ranking method according to claim 1, characterized in that, In step S4, the specific steps for calculating the growth index of passive investment include: Calculate the sum of the comparable net asset value of the participating funds under the fund company at the end of the assessment period and the beginning of the assessment period, respectively; The growth rate of comparable net assets at the end of the observation period relative to the beginning of the observation period is calculated and summarized, and used as an indicator of the growth rate of passive investment.

7. The ranking method according to claim 1, characterized in that, In step S4, the specific steps for calculating the comprehensive rate of return for passive investment include: Obtain the total operating expenses of all types of passive investment funds under the fund company during the evaluation period for each sub-period; The average net asset value of each participating fund is calculated based on its average daily net asset value and the number of calendar days in the corresponding sub-period. Dividing the sum of all operating expenses by the average net asset value yields the comprehensive expense ratio for passive investment.

8. The ranking method according to claim 1, characterized in that, In step S5, the specific method for performing dimensionless standardization processing on the indicators is as follows: Extract the observation values ​​of individual indicators for each fund company. ; Using formula Calculate the standard score ,in This represents the sample mean of a single indicator. This represents the sample standard deviation of a single indicator.

9. The ranking method according to claim 4, characterized in that, The calculation of the proposed Sotino Information Ratio involves adjusting the fund performance drawdown ranking, and its calculation steps include: Obtain the set of fund returns and the set of excess returns, and calculate the quantile of each trading day in the corresponding sample set; The quantiles are mapped to normalized values ​​using the inverse function of the standard normal distribution function; The average value and maximum drawdown of the normalized values ​​are calculated, and the relative return maximum drawdown adjustment ranking index is obtained by combining the empirical adjustment coefficient.

10. A performance ranking system for passive investment top-performing fund companies, characterized in that, For executing the passive investment top-performing fund company performance ranking method as described in any one of claims 1 to 9, the system comprises: The data processing module is used to acquire publicly disclosed information data from public funds, build a basic database, and obtain the evaluation criteria and observation period based on the five-tuple definition of the evaluation task. The sample screening module is used to select fund companies that meet the product line requirements and asset size requirements from the basic database based on the eligibility criteria for participation, thus forming a sample pool of participating fund companies. The basic indicator calculation module is used to obtain the basic indicator data of each participating fund company in the sample pool during the observation period, and convert the net asset value of each participating fund into a comparable net asset value scale according to the preset asset size conversion rules. The multi-dimensional indicator generation module is used to calculate, based on the basic indicator data and comparable net asset value of each participating fund company, the passive investment capability indicator, passive investment scale ranking indicator, passive investment scale growth indicator, and passive investment comprehensive fee rate indicator for each participating fund company during the observation period. The comprehensive scoring and ranking module is used to perform dimensionless standardization processing on the indicators of each dimension, and to perform weighted summation according to preset weights to obtain the comprehensive score of each participating fund company, and output the ranking results based on the comprehensive score.

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