CN107451919A - For working out the method and its system of fund index - Google Patents
For working out the method and its system of fund index Download PDFInfo
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- CN107451919A CN107451919A CN201710671595.7A CN201710671595A CN107451919A CN 107451919 A CN107451919 A CN 107451919A CN 201710671595 A CN201710671595 A CN 201710671595A CN 107451919 A CN107451919 A CN 107451919A
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Abstract
The present invention relates to the method and its system for working out fund index, this method includes obtaining the composition fund of index of coincidence sets requirement；Sample cleaning and Error processing are carried out to the index of composition fund；Obtain the moon frequency index and circular frequency index in the index after sample cleaning and Error processing；For moon frequency index and circular frequency index, enter row index issue；Row index amendment is entered to the index after issue.The present invention requires selection index by rigorous according to six, index is cleaned using multiple data cleaning rule, survivorship bias influential on index, backfill deviation and selection deviation are handled, pass through the comparison that intersects in multiple data acquisition sources, extract moon frequency index and circular frequency index, the issue of different time sections is carried out according to the attribute of moon frequency index and circular frequency index, index after issue is modified, ensure data objective reality, ensure to develop accurate and representative index, select the product in authentic representative market, to formulate accurate investment tactics.
Description
Technical field
Raised stock funds the present invention relates to private, more specifically refer to the method and its system for working out fund index.
Background technology
External existing hedge fund index mainly has：Internationally famous hedge fund data supplier Hedge Fund
The serial indexs such as HFRI, HFRX of Research issues, the Credit Suisse Hedge Fund that Credit Suisse is issued
Index serial indexs, the Morningstar Hedge Fund Indexes serial indexs of Morningstar Corporation's design etc., it is domestic existing
Other privates stock funds index of raising mainly have：Getting well for fund net issue is bought well buys Chinese hedge fund index, Chaoyang supervention forever
10,000,000,000 privates of cloth raise blended index, 2,000,000,000 private-equity ticket indexes, 1,000,000,000 privates raise offset index, the private row of raising row net issue to melt intelligence private
Raise fund serial index etc..
Wherein, HFR indexes establishment rules are：The hedge fund moon discloses net value；Announce all expenses and dividend information；At least
There is 5000 dollars of management scale or merchandised 12 months.
For Credit Suisse All Hedge Index (Global) index establishment rules, participant index is compiled
The qualified fund of system must meet following condition：Fund product, which receives, new to be applied to purchase and redeems；The minimum investment starting point of fund product
Be less than equal in the two the maximum (first, the product of 20,000,000 dollars of expection weights with it in index；Second, 10
Ten thousand dollars)；The minimum amount of fund product follow-up investment be less than equal among the two reckling (first, 5,000,000 dollars with
The product of its expection weight in index；Second, 100,000 dollars)；Fund product non-United States native country hedge fund；Fund product
Do not invest lockup period；Allow the minimum moon frequency of the frequency of applying to purchase；Allow redeem frequency not less than the moon frequency, wherein event-driven, can
Turn debt arbitrage, composite strategy fund product redeems frequency and is not less than Ji Pin；It is required that one month or less redemption notice, wherein
Event-driven, transferable bond arbitrage, composite strategy fund product are three months or less；Its investment management company and any attached
Mechanism, significant error or other illegal incidents occur, then propose the said firm's product；The management rule of Fund Company at least 100,000,000
Mould.
Morningstar Hedge Fund Indexes index establishment rules are：Continental United States' fund；At least 12 months
Performance return can use；Investor is opened；Management scale is in main level of fund at least 50,000,000；Minimum investment starting point should be less than
Equal to 1,000,000 dollars；Smallest sequential investment should be less than being equal to 500,000 dollars；Redeem frequency be season frequency and more than；Follow-up investment frequency
Rate be season frequency and more than；Lockup period should be less than or equal to 13 months；Advance notification times are less than or equal to 13 months.
For being exposed to the sun and continuing index establishment rules forever, that is, 10,000,000,000 grades of privately-offered fund blended indexs, sample company enter
Select condition：Peak value scale reaches 10,000,000,000, existing scale and is more than 6,000,000,000.Every 10,000,000,000 grades of privately-offered fund custodians of family at least need recommendation 3
Only meet the product of following condition：Product meet contract pattern formula can directly as custodian or indirectly in the form of investment consultant pipe
Reason product (including trust, stock trader's set, the special family of fund, private raise independently issue etc.)；Product, which is set up, to be equal to or more than 6 months；Production
Product scale requirements be equal to or more than 100,000,000, and product be in can apply to purchase/redemption state；Under normal circumstances, the product Expiration Date away from it is modern not
Less than 2 years, preferably the survival phase was longer or continues product forever；Under normal circumstances, to ensure the ageing of index, product net value need to be
All frequencies are announced, and it is the net value for announcing last Friday on every Mondays as far as possible to recommend selected product；Recommend selected privately collected products,
Net value data (including product net value, product accumulation net value etc.) since setting up must be provided, be easy to the backtracking of index.
For buying Chinese hedge fund index establishment rules well, buy well Chinese hedge fund Exponential Sample space by
Meet the privately collected products composition of following condition simultaneously：The unstructured sunlight privately collected products that the country is issued by trust platform；Production
Product set up the time more than a season, i.e., announce to full three months of calculating day and continuously net value；Management state is good, and company is nearest
Without great illegal event in 1 year.
Current domestic index calculation method is relatively simple, and still has many problem of must considering in indexing,
Such as survivorship bias, backfill deviation and selection deviation etc., if ignoring above mentioned problem, index can be caused to calculate and produced partially by mistake, will be right
Accuracy, the representativeness of index all have a great impact.Moreover, screening sample and regular not rigorous enough, the sample fund of cleaning
The Date of Incorporation is typically all only required 3 months or 6 months, it is desirable to the establishment time it is too short；FOF, TOT, MOM repeat estimation problem；
Data cleansing does not have special processing data problem；Domestic exponential-frequency only has moon frequency evidence；No data is verified；Do not remove sample
This extremum, and the product higher without repetitive rate is removed.Such index establishment rules can not select authentic representative market
Product, accurate and representative index can not be developed, and index is critically important benchmark benefit index, and be normal
Investment tool, the investment that the larger index of an error can influence investor judges, influences custodian to oneself product
Cognition, so as to influence the formulation of investment tactics, causes uncertain serious consequence.
Therefore, it is necessary to a kind of method for working out fund index is designed, it is accurate and representative to develop
Index, the product in authentic representative market is selected, to specify accurate investment tactics.
The content of the invention
The defects of it is an object of the invention to overcome prior art, there is provided for working out the method for fund index and its being
System.
To achieve the above object, the present invention uses following technical scheme：Method for working out fund index, methods described
Including：
Obtain the composition fund of index of coincidence sets requirement；
Sample cleaning and Error processing are carried out to the index of composition fund；
Obtain the moon frequency index and circular frequency index in the index after sample cleaning and Error processing；
For moon frequency index and circular frequency index, enter row index issue；
Row index amendment is entered to the index after issue.
Its further technical scheme is：The step of obtaining the composition fund of index of coincidence sets requirement, the sets requirement
Including：
Raised stock funds in the private within Chinese territory that Chinese Fund Industry association puts on record；
Fund product does not have the bad sincere record of false billing, great omission；
The date of net value is disclosed first using fund as starting point, at least net value of 12 months can use, since 13rd month
Include index calculating；
Fund operates during estimation；
The fundamental information of fund product is complete, net value, dividend information completely；
Exclude FOF, TOT, MOM pool.
Its further technical scheme is：The index of composition fund is cleaned and the step of Error processing, including with
Lower specific steps：
The composition ACCNAV of index is screened, excludes the fund product that ACCNAV repetitive rate exceedes setting value；
The fund product of top gain rate setting ratio value and the fund product of the setting ratio value of minimum rate of benefit are excluded,
Calculate current point index position；
Survivorship bias existing for index composition fund, backfill deviation and selection deviation are estimated, and is handled.
Its further technical scheme is：The moon frequency index and the step of circular frequency index in the index after cleaning is obtained, including
Step in detail below：
UsingIndex is calculated,
Obtain index and add up net value, wherein, t is all parts or month, IndextAdd up net value for t phase indexs, i is the i-th of t phase indexs
Individual sample component；N is the t phases to participate in gauge index total amount；ACCNavI, tFor the accumulative net value of i-th of sample of t phases；
The accumulation net value that fund product monthly discloses for the last time is obtained, calculates the accumulation net value of moon frequency index；
The accumulation net value that fund product discloses weekly for the last time is obtained, calculates the accumulation net value of circular frequency index；
Month frequency index and circular frequency index using etc. weight average calculate, obtain composite index, tactful index and region and refer to
Number；
Work out composite index, tactful index and area indices.
Its further technical scheme is：The step of row index amendment is entered to the index after issue, including step in detail below：
The index of issue is verified several times；
Index is recalculated, is announced if large variation occurs.Its further technical scheme is：Estimate index composition
Survivorship bias existing for fund, backfill deviation and selection deviation, and the step of handled, including step in detail below：
Survivorship bias, backfill deviation, selection deviation are estimated；
Included by current dead fund and work as phase index, the mode that lower phase index is rejected handles survivorship bias；
Deviation is backfilled by requiring that fund product at least runs December and Exponential Sample processing was included at 13rd month；
Contrasted by legal authorization data, tripartite's data cross, the data source of responsible investigation processing selection deviation.
Present invention also offers the system for working out fund index, including index acquiring unit, cleaning unit, screening list
Member, release unit and amending unit；
The index acquiring unit, for obtaining the composition fund of index of coincidence sets requirement；
The cleaning unit, for carrying out sample cleaning and Error processing to the index of composition fund；
The screening unit, for obtain sample cleaning and Error processing after index in the moon frequency index and circular frequency refer to
Number；
The release unit, for for moon frequency index and circular frequency index, entering row index issue；
The amending unit, for entering row index amendment to the index after issue.
Its further technical scheme is：The cleaning unit includes net value screening module, earning rate excludes module and estimates
Calculate module；
The net value screening module, for being screened to the composition ACCNAV of index, exclude ACCNAV repetitive rate
More than the fund product of setting value；
The earning rate excludes module, for excluding the fund product and minimum rate of benefit of top gain rate setting ratio value
Setting ratio value fund product, calculate current point index position；
The estimation block, for estimating survivorship bias existing for index composition fund, backfill deviation and selection deviation, and
Handled.
Its further technical scheme is：The screening unit includes computing module, moon frequency index acquisition module, circular frequency index
Acquisition module, etc. weight average module and compiling module；
The computing module, for using
Index is calculated, index is obtained and adds up net value, wherein, t is all parts or month, IndextAdd up net value for t phase indexs,
I is i-th of sample component of t phase indexs；N is the t phases to participate in gauge index total amount；ACCNavI, tFor the accumulative of i-th of sample of t phases
Net value；
The moon frequency index acquisition module, the accumulation net value monthly disclosed for the last time for obtaining fund product, calculate
The accumulation net value of month frequency index；
The circular frequency index acquisition module, the accumulation net value disclosed for the last time weekly for obtaining fund product, calculate
The accumulation net value of circular frequency index；
It is described to wait weight average module, for moon frequency index and circular frequency index using etc. weight average calculate, obtain synthesis
Index, tactful index and area indices；
The compiling module, for working out composite index, tactful index and area indices.
Its further technical scheme is：The correction unit includes verifying module and index correcting module；
The verification module, is verified several times for the index to issue；
The index correcting module, for recalculating index, announced if large variation occurs.
Compared with the prior art, the invention has the advantages that：The method for working out fund index of the present invention, passes through
It is rigorous according to six require select indexes, using multiple data cleaning rule clean index, survivorship bias influential on index,
Backfill deviation and selection deviation are handled, and by the comparison that intersects in multiple data acquisition sources, extract moon frequency afterwards
Index and circular frequency index, the issue of different time sections is carried out according to the attribute of moon frequency index and circular frequency index, after issue
Index be modified, it is ensured that data objective reality, it is ensured that develop accurate and representative index, select real generation
The product in table market, to formulate accurate investment tactics.
The invention will be further described with specific embodiment below in conjunction with the accompanying drawings.
Brief description of the drawings
Fig. 1 is the flow chart for being used to work out the method for fund index that the specific embodiment of the invention provides；
Fig. 2 be the specific embodiment of the invention provide the index to composition fund cleaned and Error processing it is specific
Flow chart；
Fig. 3 be the specific embodiment of the invention provide estimation index composition fund existing for survivorship bias, backfill deviation and
Select the particular flow sheet of deviation；
Fig. 4 is referring to frequently the moon in the index after the acquisition sample cleaning of specific embodiment of the invention offer and Error processing
The particular flow sheet of number and circular frequency index；
Fig. 5 is the composite index that the specific embodiment of the invention provides and the trend graph of tactful index；
Fig. 6 is the trend graph for the area indices that the specific embodiment of the invention provides；
Fig. 7 is the particular flow sheet being modified to the index after issue that the specific embodiment of the invention provides；
Fig. 8 is the survivorship bias that the specific embodiment of the invention provides and the estimation form for backfilling deviation；
Fig. 9 is the structured flowchart for being used to work out the system of fund index that the specific embodiment of the invention provides；
Figure 10 is the structured flowchart for the cleaning unit that the specific embodiment of the invention provides；
Figure 11 is the structured flowchart for the estimation block that the specific embodiment of the invention provides；
Figure 12 is the structured flowchart for the screening unit that the specific embodiment of the invention provides；
Figure 13 is the structured flowchart for the amending unit that the specific embodiment of the invention provides.
Embodiment
In order to more fully understand the technology contents of the present invention, technical scheme is entered with reference to specific embodiment
One step introduction and explanation, but it is not limited to this.
Specific embodiment as shown in figs. 1-13, the method for working out fund index that the present embodiment provides, Ke Yiyun
To be raised used in establishment private during the market index series of stock funds, realization develops accurate and representative index,
The product in authentic representative market is selected, to specify accurate investment tactics.
As shown in figure 1, present embodiments providing the method for working out fund index, this method includes：
S1, the composition fund for obtaining index of coincidence sets requirement；
S2, the index to composition fund carry out sample cleaning and Error processing；
S3, obtain moon frequency index and circular frequency index in the index after sample cleaning and Error processing；
S4, for moon frequency index and circular frequency index, enter row index issue；
S5, row index amendment is entered to the index after issue.
For above-mentioned S1 steps, the step of obtaining the composition fund of index of coincidence sets requirement, sets requirement includes：
Raised stock funds in the private within Chinese territory that Chinese Fund Industry association puts on record；
Fund product does not have the bad sincere record of false billing, great omission；
The date of net value is disclosed first using fund as starting point, at least net value of 12 months can use, since 13rd month
Include index calculating；
Fund operates during estimation；
The fundamental information of fund product is complete, net value, dividend information completely；
Exclude FOF, TOT, MOM pool.
And above-mentioned index derives from same privately-offered fund database, the data source of the database is mostly that private is raised structure
Legal authorization, to ensure the authenticity of data and compliance, integration public information in database or taken by taking a broad survey
The information obtained, to ensure data integrity, meets the index of above-mentioned six conditions, can avoid repeating to estimate.
Further, above-mentioned S2 steps, the index of composition fund is cleaned and the step of Error processing, including
Step in detail below：
S21, the composition ACCNAV to index screen, and exclude the fund production that ACCNAV repetitive rate exceedes setting value
Product；
The fund of S22, the fund product for excluding top gain rate setting ratio value and minimum rate of benefit setting ratio value
Product, calculate current point index position；
Survivorship bias, backfill deviation and selection deviation existing for S23, estimation index composition fund, and handled.
For above-mentioned S21 steps, the fund product that composition ACCNAV repetitive rate exceedes setting value is excluded, is specifically pair
The higher fund product of repetitive rate is excluded, so that index is representative, in the present embodiment, above-mentioned setting value
For 10%, certainly, in other embodiment, above-mentioned setting value can be 15% grade other percentages, and concrete numerical value is according to actual
Depending on situation.
For above-mentioned S22 steps, when calculating current point index position, the fund of top gain rate setting ratio value is rejected
The fund product of the setting ratio value of product and minimum rate of benefit, the extremum of index is specifically rejected, so that index is more
Representative, in the present embodiment, above-mentioned setting ratio value is 1%, certainly, in other embodiment, above-mentioned setting ratio
Example value can be 2% grade other percentages, and top gain rate setting ratio value and the setting ratio value of minimum rate of benefit can be with
Unequal, concrete numerical value is according to depending on actual conditions.
Above-mentioned S23 steps, survivorship bias existing for index composition fund, backfill deviation and selection deviation are estimated, is gone forward side by side
The step of row processing, including step in detail below：
S231, survivorship bias, backfill deviation, selection deviation are estimated；
S232, included by current dead fund and work as phase index, the mode that lower phase index is rejected handles survivorship bias；
S233, by requiring that fund product at least runs December and that Exponential Sample processing backfill was included at 13rd month is inclined
Difference；
S234, contrasted by legal authorization data, tripartite's data cross, the processing selection of the data source of responsible investigation it is inclined
Difference.
Above-mentioned S231 steps, specifically influential three deviations of index tool are estimated, row index is entered with deviation
Correction, improve the correctness of index.In order to which the influence of survivorship bias, backfill deviation, selection deviation to index is presented, it is necessary to right
These deviations are estimated that population sample is represented comprising database survival and dead sample；Sample representation survive only comprising number
Continue the sample of survival according to storehouse；Amendment sample representation only includes sample of the duration more than 12 months, the estimation of survivorship bias
Sample subtracts population sample income to mode for survival, can obtain survivorship bias value；The population sample that is estimated as of backfill deviation subtracts
Sample income is corrected, can obtain backfilling deviation, as a result show, if ignoring survivorship bias, backfilling deviation by the estimation to index
Produce no small error, and then the correctness of Intrusion Index, representativeness.
As shown in figure 8, the 2016 annual seasons earning rates and various quarters deviation estimated result of displaying composite index.In figure
Population sample income represents the income comprising database survival and dead sample；Existence sample income calculation then only includes database
The sample of continued survival；Amendment sample representation only includes sample of the duration more than 12 months.The estimation side of survivorship bias
Sample income subtracts population sample income to formula for survival, can obtain survivorship bias value；Backfill deviation is estimated as population sample receipts
Benefit subtracts amendment sample income, can obtain backfilling deviation.As a result show, if ignoring survivorship bias, backfilling the influence of deviation,
Error (wherein, survivorship bias by the estimation generation about 5% to index in 2016：1.54%, backfill deviation：3.51%),
And then correctness, the representativeness of Intrusion Index.
Above-mentioned S232 steps, survivorship bias is most common obstruction during index construction, due to the liquidation of fund
Or other reasonses are out of service, its achievement can not continue to include index as industry composition, in order to eliminate survivorship bias, meeting
The current net value of such fund is still included and works as phase index, and is rejected in the next period.If index has been issued, the fund production being removed
The earning rate of product continues to retain in when in phase index, it is ensured that index accurately reflects current market.
Above-mentioned S233 steps, specifically, the fund product into index at least runs year and a day, it is sufficient to give index
Time observes the running situation of fund to be selected, and not changed extremely by net value is influenceed, and when a new fund product increase
During into index, its past earning rate will not be included in the calculating of history index.The exponential quantity in given moon cycle is once
Issue, will not be changed because of the variation of futurity index composition.
For above-mentioned S234 steps, data source is then the signing legal authorization of Si Mu mechanisms, ensure that the comprehensive of data
Property, authenticity, integrality.Specifically, a variety of data sources, a variety of such as contrast, adjust to the greatest extent by open channel, tripartite's data cross
Approach obtains fund situation, mutually confirmation, ensure that private is raised industry all standing, to solve selection deviation.
For above-mentioned S3 steps, obtain in the index after sample cleaning and Error processing the moon frequency index and circular frequency refer to
Several steps, including step in detail below：
S31, useIndex is counted
Calculate, obtain index and add up net value, wherein, t is all parts or month, IndextAdd up net value for t phase indexs, i is t phase indexs
I-th of sample component；N is the t phases to participate in gauge index total amount；ACCNavI, tFor the accumulative net value of i-th of sample of t phases；
S32, the accumulation net value that fund product monthly discloses for the last time is obtained, calculate the accumulation net value of moon frequency index；
S33, the accumulation net value that fund product discloses weekly for the last time is obtained, calculate the accumulation net value of circular frequency index；
The weight averages such as S34, moon frequency index and the use of circular frequency index calculate, and obtain composite index, tactful index and area
Domain index；
S35, establishment composite index, tactful index and area indices.
Above-mentioned S31 steps, in the present embodiment, specifically, index basic point is set to, the i.e. index at t=0 moment at 1000 points
Point position, point index position change and changed as accumulative net value increases, and the accumulative net value growth rate of fund product is the tired of t+1 phases
Net value is counted relative to the accumulative net value of t phases to increase.
For above-mentioned S32 steps and S33 steps, because private is raised, the stock funds survival time is shorter, and net value is mostly week
Frequency is issued, and currently employed private stock funds index of raising is mostly the issue of month frequency, therefore, in order to meet that the survival time is short
And issue demand, moon frequency index and circular frequency index are obtained respectively.What the definition for week was taken is the definition mode in nature week：
Monday is first day weekly；First consider to include the number of days in this week in front and rear 2 years handling across year Zhou Shixu, if working as the beginning of the year
More comprising number of days, then this week is first week then, is otherwise last week of last year.
Above-mentioned S34 steps, composite index, tactful index and area indices are obtained, it is anti-to be advantageous to utilization index difference
Different contents is reflected, in order to which policymaker makes comprehensive decision-making according to index, wherein, composite index reflects whole Si Mu cities
The situation of Profit of field, tactful index reflect each tactful integral benefit situation, and area indices reflect the entirety in each region
Situation of Profit, the tendency of these three indexes is as shown in figs. 4 and 5.
Above-mentioned tactful index is that private stock funds stock strategy index, private stock funds managed futures of raising of raising refers to respectively
Raise stock funds fixed income index, the private of number, private raises stock funds relative value index and private is raised stock funds composite strategy
Index, wherein, the composition fund selection rule of private stock funds stock strategy index of raising and private stock funds composite index of raising
It is regular consistent, and the strategy of fund product is necessary for stock strategy, the primary income of stock policy products derives from equity asset,
The kind of major investment is listed company's stock, and the complementary derivative related using stock；Private is raised stock funds pipe
It is consistent with the rule of private stock funds composite index of raising to manage the composition fund selection rule of forward index, and the strategy of fund product
Managed futures strategy is necessary for, managed futures policy products are mainly received by tradable commodity futures, financial futures contract to realize
Benefit, by the characteristic of futures, it is possible to achieve relatively low correlation reaches fully dispersed overall throwing with traditional investment instrument holding
Provide the target of constitution's risk；Stock funds synthesis that the composition fund selection rule of stock funds fixed income index is raised in private and private is raised
The rule of index is consistent, and the strategy of fund product is necessary for fixed income strategy.The primary income of fixed income policy products
From fixed income class assets, the kind of major investment includes the structuring bonds such as national debt, corporate bond, municipal debt, bill；It is private
Raise stock funds relative value index composition fund selection rule it is consistent with the rule of private stock funds composite index of raising, and base
The strategy of golden product is necessary for relative worth strategy.Relative worth policy products mainly take pairs trade, i.e. operation two simultaneously
Same assets in the individual assets with high correlation or different markets, the price difference between the two assets (market)
When becoming big, using the price difference of strategy acquisition between the two；Private raise stock funds composite strategy index composition fund choose rule
The rule for stock funds composite index of then being raised with private is consistent, and the strategy of fund product is necessary for composite strategy.Composite strategy produces
A variety of privately-offered fund investment tacticses are used in combination product, to increase profit space, such as inhale stock strategy, commodity future simultaneously
Receive, compound investment is carried out in the extremely low field of two correlations.
Regional index is that private raise stock funds Shanghai index, private of stock funds Beijing index, private of raising is raised stock funds respectively
Shenzhen Index, private raise stock funds Guangzhou index and private is raised stock funds Zhejiang index.
Wherein, the composition fund selection rule of stock funds Beijing index is raised in above-mentioned private and private stock funds synthesis of raising refers to
Several rules is consistent, and the private general headquarters business address region for raising custodian's registration must be positioned at Beijing；Private is raised security base
The composition fund selection rule of golden Shanghai index is consistent with the rule of private stock funds composite index of raising, and private is raised custodian's registration
General headquarters business address region must be positioned at Shanghai City；Private raise stock funds Shenzhen Index composition fund selection rule with
Private raise stock funds composite index rule it is consistent, and the private general headquarters business address region for raising custodian's registration must be positioned at
Shenzhen；Private is raised the composition fund selection rule and the rule one of private stock funds composite index of raising of stock funds Guangzhou index
Cause, and the private general headquarters business address region for raising custodian's registration must be positioned at Guangzhou；Private is raised stock funds Zhejiang index
Composition fund selection rule it is consistent with the rule of private stock funds composite index of raising, and general headquarters' office of private custodian's registration of raising
Address region must be positioned at Zhejiang Province.
Above-mentioned S35 steps, the composite index got, tactful index and area indices are specifically worked out into exponentially
Series, checked for policymaker.
Above-mentioned S4 steps, specifically issue moon frequency index and circular frequency index, index basic point are set as at 1000 points, due to
The hysteresis quality that data disclose, the moon frequency index issue point index last month position before monthly 15 days, circular frequency index will delay issue in two weeks.
Further, for above-mentioned S5 steps, the step of being modified to the index after issue, including in detail below
Step：
S51, the index to issue are verified several times；
S52, index is recalculated, announced if large variation occurs..
Above-mentioned S51 steps, specifically the index of issue is at least verified three times：Verify first (after index issue
5th working day), repeat to verify (index issue after the 10th working day) and final verify (the 20th work after index issue
Day), if occurrence index amplitude of fluctuation is larger, explanation can be announced, generally, point index position will not if issue
Change, the calculating of accuracy computation i.e. point index position, point index position retain two effective digitals, take the value to round up.
The above-mentioned method for working out fund index, selection index is required according to six by rigorous, using multiplicity
Index is cleaned according to cleaning rule, survivorship bias influential on index, backfill deviation and selection deviation are handled, by more
The comparison that intersects in individual data acquisition source, moon frequency index and circular frequency index is extracted afterwards, according to moon frequency index and week
The attribute of frequency index carries out the issue of different time sections, the index after issue is modified, it is ensured that data objective reality, it is ensured that
Accurate and representative index is developed, selects the product in authentic representative market, to formulate accurate investment tactics.
As shown in figure 9, the present embodiment additionally provides the system for working out fund index, it include index acquiring unit 1,
Cleaning unit 2, screening unit 3, release unit 4 and amending unit 5.
Index acquiring unit 1, for obtaining the composition fund of index of coincidence sets requirement.
Cleaning unit 2, for carrying out sample cleaning and Error processing to the index of composition fund.
Screening unit 3, for obtaining the moon frequency index and circular frequency index in the index after sample cleaning and Error processing.
Release unit 4, for for moon frequency index and circular frequency index, entering row index issue.；
Amending unit 5, for entering row index amendment to the index after issue.
When above-mentioned index acquiring unit 1 obtains index, the sets requirement that index needs to meet includes：In Chinese Fund Industry
The private within Chinese territory that association puts on record is raised stock funds；
Fund product does not have the bad sincere record of false billing, great omission；
The date of net value is disclosed first using fund as starting point, at least net value of 12 months can use, since 13rd month
Include index calculating；
Fund operates during estimation；
The fundamental information of fund product is complete, net value, dividend information completely；
Exclude FOF, TOT, MOM pool.
And above-mentioned index derives from same privately-offered fund database, the data source of the database is mostly that private is raised structure
Legal authorization, to ensure the authenticity of data and compliance, integration public information in database or taken by taking a broad survey
The information obtained, to ensure data integrity, meets the index of above-mentioned six conditions, can avoid repeating to estimate.
Further, above-mentioned cleaning unit 2 includes net value screening module 21, earning rate excludes module 22 and estimation
Module 23.
Net value screening module 21, for being screened to the composition ACCNAV of index, exclude ACCNAV repetitive rate and surpass
Cross the fund product of setting value.
Earning rate excludes module 22, for excluding the fund product and minimum rate of benefit of top gain rate setting ratio value
The fund product of setting ratio value, calculate current point index position.
Estimation block 23, for estimating survivorship bias existing for index composition fund, backfill deviation and selection deviation, go forward side by side
Row processing.
Above-mentioned net value screening module 21 excludes the fund product that ACCNAV repetitive rate exceedes setting value, specifically counterweight
The higher fund product of multiple rate is excluded, so as to exclude the higher index of repetitive rate, make it that index is representative, at this
In embodiment, above-mentioned setting value is 10%, certainly, in other embodiment, above-mentioned setting value can be 15% grade other hundred
Fraction, concrete numerical value is according to depending on actual conditions.
Above-mentioned earning rate excludes module 22 when calculating current point index position, rejects top gain rate setting ratio value
The fund product of the setting ratio value of fund product and minimum rate of benefit, the extremum of index is specifically rejected, so that referring to
Number is more representative, and in the present embodiment, above-mentioned setting ratio value is 1%, and certainly, in other embodiment, above-mentioned sets
Certainty ratio value can be 2% grade other percentages, and top gain rate setting ratio value and the setting ratio value of minimum rate of benefit
Can be with unequal, concrete numerical value is according to depending on actual conditions.
Further, above-mentioned estimation block 23 includes estimation submodule 231, survivorship bias processing submodule 232, returned
Fill out deviation processing submodule 233 and selection deviation processing submodule 234.
Submodule 231 is estimated, for estimating survivorship bias, backfill deviation, selection deviation.
Survivorship bias handles submodule 232, works as phase index for being included by current dead fund, what lower phase index was rejected
Mode handles survivorship bias.
Deviation processing submodule 233 is backfilled, at least running December by requiring fund product and being received at 13rd month
Enter Exponential Sample processing backfill deviation.
Deviation processing submodule 234 is selected, for passing through legal authorization data, the contrast of tripartite's data cross, responsible investigation
Data source processing selection deviation.
Above-mentioned estimation submodule 231 is specifically that influential three deviations of index tool are estimated, is carried out with deviation
The correction of index, improve the correctness of index.In order to which the influence of survivorship bias, backfill deviation, selection deviation to index is presented, need
These deviations are estimated, population sample is represented comprising database survival and dead sample；Existence sample representation only wraps
Continue the sample of survival containing database；Amendment sample representation only includes sample of the duration more than 12 months, survivorship bias
Sample subtracts population sample income to estimation mode for survival, can obtain survivorship bias value；Backfill deviation is estimated as population sample
Amendment sample income is subtracted, can obtain backfilling deviation, as a result show, if ignoring survivorship bias, backfill deviation by index
Estimation produces no small error, and then the correctness of Intrusion Index, representativeness.
As shown in figure 8, the 2016 annual seasons earning rates and various quarters deviation estimated result of displaying composite index.In figure
Population sample income represents the income comprising database survival and dead sample；Existence sample income calculation then only includes database
The sample of continued survival；Amendment sample representation only includes sample of the duration more than 12 months.The estimation side of survivorship bias
Sample income subtracts population sample income to formula for survival, can obtain survivorship bias value；Backfill deviation is estimated as population sample receipts
Benefit subtracts amendment sample income, can obtain backfilling deviation.As a result show, if ignoring survivorship bias, backfilling the influence of deviation,
Error (wherein, survivorship bias by the estimation generation about 5% to index in 2016：1.54%, backfill deviation：3.51%),
And then correctness, the representativeness of Intrusion Index.
The survivorship bias that above-mentioned survivorship bias processing submodule 232 is handled is most common resistance during index construction
Hindering, the liquidation or other reasonses due to fund are out of service, and its achievement can not continue to include index as industry composition, in order to
Survivorship bias is eliminated, the current net value of such fund can still be included and work as phase index, and rejected in the next period.If index has been sent out
Cloth, the earning rate for the fund product being removed continue to retain in when in phase index, it is ensured that index accurately reflects current market.
During the above-mentioned processing of backfill deviation processing submodule 233 backfill deviation, specifically, into index fund product extremely
Year and a day is run less, gives the running situation of the sufficient time observation of index fund to be selected, not changed extremely by net value is influenceed,
And when a new fund product is increased in index, its past earning rate will not be included in the calculating of history index
In.The exponential quantity in given moon cycle will not be changed once issuing because of the variation of futurity index composition.
When selecting the processing selection deviation of deviation processing submodule 234, data source is then the signing legal authorization of Si Mu mechanisms,
It ensure that the comprehensive of data, authenticity, integrality.Specifically, contrasted by open channel, tripartite's data cross, adjusted to the greatest extent etc.
A variety of data sources, number of ways obtain fund situation, mutually confirmation, ensure that private is raised industry all standing, inclined to solve selection
Difference.
Further, above-mentioned screening unit 3 includes computing module 31, moon frequency index acquisition module 32, circular frequency index
Acquisition module 33, etc. weight average module 34 and compiling module 35.
Computing module 31, for using
Index is calculated, index is obtained and adds up net value, wherein, t is all parts or month, IndextAdd up net value for t phase indexs,
I is i-th of sample component of t phase indexs；N is the t phases to participate in gauge index total amount；ACCNavI, tFor the accumulative of i-th of sample of t phases
Net value.
Month frequency index acquisition module 32, the accumulation net value monthly disclosed for the last time for obtaining fund product, calculate the moon
The accumulation net value of frequency index.
Circular frequency index acquisition module 33, the accumulation net value disclosed for the last time weekly for obtaining fund product, calculate week
The accumulation net value of frequency index.
Deng weight average module 34, the moon frequency index and circular frequency index using etc. weight average calculate, obtain composite index, strategy
Index and area indices.
Compiling module 35, for working out composite index, tactful index and area indices.
Above-mentioned computing module 31 in the present embodiment, specifically, index basic point is set to, the i.e. finger at t=0 moment at 1000 points
Several point positions, point index position change and changed as accumulative net value increases, and the accumulative net value growth rate of fund product is the t+1 phases
Accumulative net value increases relative to the accumulative net value of t phases.
Above-mentioned moon frequency index acquisition module 32 and circular frequency index acquisition module 33, due to private raise stock funds survival when
Between it is shorter, net value is mostly the issue of all frequencies, and currently employed private stock funds index of raising is mostly a month frequency issue, therefore,
In order to meet that the survival time is short and issues demand, moon frequency index and circular frequency index are obtained respectively.What the definition for week was taken
It is the definition mode in nature week：Monday is first day weekly；First consider to include this in front and rear 2 years handling across year Zhou Shixu
The number of days in week, if number of days is more, and this week is first week then, is otherwise last week of last year when the beginning of the year includes.
Above-mentioned waits weight average module 34 to obtain composite index, tactful index and area indices, is advantageous to utilization index
Reflect different contents respectively, in order to which policymaker makes comprehensive decision-making according to index, wherein, composite index reflects entirely
The situation of Profit of private market, tactful index reflect each tactful integral benefit situation, and area indices reflect each region
Integral benefit situation, the tendency of these three indexes is as shown in figs. 4 and 5.
Above-mentioned tactful index is that private stock funds stock strategy index, private stock funds managed futures of raising of raising refers to respectively
Raise stock funds fixed income index, the private of number, private raises stock funds relative value index and private is raised stock funds composite strategy
Index, wherein, the composition fund selection rule of private stock funds stock strategy index of raising and private stock funds composite index of raising
It is regular consistent, and the strategy of fund product is necessary for stock strategy, the primary income of stock policy products derives from equity asset,
The kind of major investment is listed company's stock, and the complementary derivative related using stock；Private is raised stock funds pipe
It is consistent with the rule of private stock funds composite index of raising to manage the composition fund selection rule of forward index, and the strategy of fund product
Managed futures strategy is necessary for, managed futures policy products are mainly received by tradable commodity futures, financial futures contract to realize
Benefit, by the characteristic of futures, it is possible to achieve relatively low correlation reaches fully dispersed overall throwing with traditional investment instrument holding
Provide the target of constitution's risk；Stock funds synthesis that the composition fund selection rule of stock funds fixed income index is raised in private and private is raised
The rule of index is consistent, and the strategy of fund product is necessary for fixed income strategy.The primary income of fixed income policy products
From fixed income class assets, the kind of major investment includes the structuring bonds such as national debt, corporate bond, municipal debt, bill；It is private
Raise stock funds relative value index composition fund selection rule it is consistent with the rule of private stock funds composite index of raising, and base
The strategy of golden product is necessary for relative worth strategy.Relative worth policy products mainly take pairs trade, i.e. operation two simultaneously
Same assets in the individual assets with high correlation or different markets, the price difference between the two assets (market)
When becoming big, using the price difference of strategy acquisition between the two；Private raise stock funds composite strategy index composition fund choose rule
The rule for stock funds composite index of then being raised with private is consistent, and the strategy of fund product is necessary for composite strategy.Composite strategy produces
A variety of privately-offered fund investment tacticses are used in combination product, to increase profit space, such as inhale stock strategy, commodity future simultaneously
Receive, compound investment is carried out in the extremely low field of two correlations.
Regional index is that private raise stock funds Shanghai index, private of stock funds Beijing index, private of raising is raised stock funds respectively
Shenzhen Index, private raise stock funds Guangzhou index and private is raised stock funds Zhejiang index.
Wherein, the composition fund selection rule of stock funds Beijing index is raised in above-mentioned private and private stock funds synthesis of raising refers to
Several rules is consistent, and the private general headquarters business address region for raising custodian's registration must be positioned at Beijing；Private is raised security base
The composition fund selection rule of golden Shanghai index is consistent with the rule of private stock funds composite index of raising, and private is raised custodian's registration
General headquarters business address region must be positioned at Shanghai City；Private raise stock funds Shenzhen Index composition fund selection rule with
Private raise stock funds composite index rule it is consistent, and the private general headquarters business address region for raising custodian's registration must be positioned at
Shenzhen；Private is raised the composition fund selection rule and the rule one of private stock funds composite index of raising of stock funds Guangzhou index
Cause, and the private general headquarters business address region for raising custodian's registration must be positioned at Guangzhou；Private is raised stock funds Zhejiang index
Composition fund selection rule it is consistent with the rule of private stock funds composite index of raising, and general headquarters' office of private custodian's registration of raising
Address region must be positioned at Zhejiang Province.
Above-mentioned compiling module 35 is specifically that the tactful index and area indices that get are compiled into index series, is supplied
Policymaker checks.
Above-mentioned release unit 4, specifically issue moon frequency index and circular frequency index, index basic point be set as at 1000 points,
Due to data disclose hysteresis quality, the moon frequency index point index last month position was issued before monthly 15 days, circular frequency index will be delayed two weeks
Issue.
Further, above-mentioned amending unit 5 includes verifying module 51 and index correcting module 52；
The verification module 51, is verified several times for the index to issue；
The index correcting module 52, for recalculating index, announced if large variation occurs.
Above-mentioned verification module 51 is specifically that the index of issue is at least verified three times：(index issue is verified first
5th working day afterwards), repeat to verify (index issue after the 10th working day) and final verify (the 20th work after index issue
Make day), if occurrence index amplitude of fluctuation is larger, explanation can be announced, generally, point index position once issue if not
It can change, the calculating of accuracy computation i.e. point index position, point index position retains two effective digitals, takes the value to round up.
The above-mentioned system for working out fund index, selection index is required according to six by rigorous, using multiplicity
Index is cleaned according to cleaning rule, survivorship bias influential on index, backfill deviation and selection deviation are handled, by more
The comparison that intersects in individual data acquisition source, moon frequency index and circular frequency index is extracted afterwards, according to moon frequency index and week
The attribute of frequency index carries out the issue of different time sections, the index after issue is modified, it is ensured that data objective reality, it is ensured that
Accurate and representative index is developed, selects the product in authentic representative market, to formulate accurate investment tactics.On
The technology contents that the present invention is only further illustrated with embodiment are stated, in order to which reader is easier to understand, but do not represent the present invention
Embodiment be only limitted to this, it is any to extend according to the technology done of the present invention or recreation, protected by the present invention.The present invention
Protection domain be defined by claims.
Claims (10)
1. the method for working out fund index, it is characterised in that methods described includes：
Obtain the composition fund of index of coincidence sets requirement；
Sample cleaning and Error processing are carried out to the index of composition fund；
Obtain the moon frequency index and circular frequency index in the index after sample cleaning and Error processing；
For moon frequency index and circular frequency index, enter row index issue；
Row index amendment is entered to the index after issue.
2. the method according to claim 1 for working out fund index, it is characterised in that obtaining index of coincidence setting will
The step of composition fund asked, the sets requirement includes：
Raised stock funds in the private within Chinese territory that Chinese Fund Industry association puts on record；
Fund product does not have the bad sincere record of false billing, great omission；
The date of net value is disclosed first using fund as starting point, at least net value of 12 months can use, and be included since 13rd month
Index calculates；
Fund operates during estimation；
The fundamental information of fund product is complete, net value, dividend information completely；
Exclude FOF, TOT, MOM pool.
3. the method according to claim 1 for working out fund index, it is characterised in that enter to the index of composition fund
The step of row cleaning and Error processing, including step in detail below：
The composition ACCNAV of index is screened, excludes the fund product that ACCNAV repetitive rate exceedes setting value；
The fund product of top gain rate setting ratio value and the fund product of the setting ratio value of minimum rate of benefit are excluded, is calculated
Current point index position；
Survivorship bias existing for index composition fund, backfill deviation and selection deviation are estimated, and is handled.
4. the method according to claim 1 for working out fund index, it is characterised in that obtain sample cleaning and miss
Moon frequency index and the step of circular frequency index in index after difference processing, including step in detail below：
UsingIndex is calculated, obtained
Index adds up net value, wherein, t is all parts or month, IndextAdd up net value for t phase indexs, i is i-th of sample of t phase indexs
This composition；N is the t phases to participate in gauge index total amount；ACCNavI, tFor the accumulative net value of i-th of sample of t phases；
The accumulation net value that fund product monthly discloses for the last time is obtained, calculates the accumulation net value of moon frequency index；
The accumulation net value that fund product discloses weekly for the last time is obtained, calculates the accumulation net value of circular frequency index；
Month frequency index and circular frequency index using etc. weight average calculate, obtain composite index, tactful index and area indices；
Work out composite index, tactful index and area indices.
5. the method for working out fund index according to any one of Claims 1-4, it is characterised in that after issue
Index the step of entering row index amendment, including step in detail below：
The index of issue is verified several times；
Index is recalculated, is announced if large variation occurs.
6. the method according to claim 3 for working out fund index, it is characterised in that estimation index composition fund is deposited
Survivorship bias, backfill deviation and selection deviation, and the step of handled, including step in detail below：
Survivorship bias, backfill deviation, selection deviation are estimated；
Included by current dead fund and work as phase index, the mode that lower phase index is rejected handles survivorship bias；
Deviation is backfilled by requiring that fund product at least runs December and Exponential Sample processing was included at 13rd month；
Contrasted by legal authorization data, tripartite's data cross, the data source of responsible investigation processing selection deviation.
7. the system for working out fund index, it is characterised in that including index acquiring unit, cleaning unit, screening unit, hair
Cloth unit and amending unit；
The index acquiring unit, for obtaining the composition fund of index of coincidence sets requirement；
The cleaning unit, for carrying out sample cleaning and Error processing to the index of composition fund；
The screening unit, for obtaining the moon frequency index and circular frequency index in the index after sample cleaning and Error processing；
The release unit, for for moon frequency index and circular frequency index, entering row index issue；
The amending unit, for entering row index amendment to the index after issue.
8. the system according to claim 7 for working out fund index, it is characterised in that the cleaning unit includes net
It is worth screening module, earning rate excludes module and estimation block；
The net value screening module, for being screened to the composition ACCNAV of index, exclude ACCNAV repetitive rate and exceed
The fund product of setting value；
The earning rate excludes module, for excluding the fund product of top gain rate setting ratio value and setting for minimum rate of benefit
The fund product of certainty ratio value, calculate current point index position；
The estimation block, for estimating survivorship bias existing for index composition fund, backfill deviation and selection deviation, and carry out
Processing.
9. the system according to claim 8 for working out fund index, it is characterised in that the screening unit includes meter
Calculate module, moon frequency index acquisition module, circular frequency index acquisition module, etc. weight average module and compiling module；
The computing module, for usingIt is right
Index is calculated, and is obtained index and is added up net value, wherein, t is all parts or month, IndextAdd up net value, i for t phase indexs
For i-th of sample component of t phase indexs；N is the t phases to participate in gauge index total amount；ACCNavI, tFor the accumulative of i-th of sample of t phases
Net value；
The moon frequency index acquisition module, the accumulation net value monthly disclosed for the last time for obtaining fund product, calculate moon frequency
The accumulation net value of index；
The circular frequency index acquisition module, the accumulation net value disclosed for the last time weekly for obtaining fund product, calculate circular frequency
The accumulation net value of index；
The grade weight average module, calculated for the weight average such as moon frequency index and the use of circular frequency index, obtain composite index, plan
Slightly index and area indices；
The compiling module, for working out composite index, tactful index and area indices.
10. the system according to claim 9 for working out fund index, it is characterised in that the amending unit includes
Verify module and index correcting module；
The verification module, is verified several times for the index to issue；
The index correcting module, for recalculating index, announced if large variation occurs.
Priority Applications (1)
| Application Number | Priority Date | Filing Date | Title |
|---|---|---|---|
| CN201710671595.7A CN107451919A (en) | 2017-08-08 | 2017-08-08 | For working out the method and its system of fund index |
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| Publication Number | Publication Date |
|---|---|
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Cited By (2)
| Publication number | Priority date | Publication date | Assignee | Title |
|---|---|---|---|---|
| WO2019218516A1 (en) * | 2018-05-16 | 2019-11-21 | 平安科技（深圳）有限公司 | Bond index compiling method and device and computer readable storage medium |
| CN113592307A (en) * | 2021-08-02 | 2021-11-02 | 远见智诚市场调研咨询(广东)有限公司 | Enterprise income wind control detection method and device, computer equipment and storage medium |
-
2017
- 2017-08-08 CN CN201710671595.7A patent/CN107451919A/en active Pending
Cited By (3)
| Publication number | Priority date | Publication date | Assignee | Title |
|---|---|---|---|---|
| WO2019218516A1 (en) * | 2018-05-16 | 2019-11-21 | 平安科技（深圳）有限公司 | Bond index compiling method and device and computer readable storage medium |
| CN113592307A (en) * | 2021-08-02 | 2021-11-02 | 远见智诚市场调研咨询(广东)有限公司 | Enterprise income wind control detection method and device, computer equipment and storage medium |
| CN113592307B (en) * | 2021-08-02 | 2023-08-18 | 远见智诚市场调研咨询(广东)有限公司 | Enterprise profit wind control detection method, device, computer equipment and storage medium |
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Application publication date: 20171208 |