Research On Fund Performance Evaluation Based On EEMD Method

With the rapid development of China's financial market,the development of public fund market is more and more rapid.Since the establishment of public funds in 1998,the scale of China's public fund industry has reached more than 12 trillion yuan by 2018.especially since 2010.China's public fund industry has developed rapidly like a blowout.For investors,in the increasingly large-scale public funds,how to select the suitable types of funds for their investment strategies and preferences has become a major concern.For fund managers,how to judge the performance and management characteristics of their own fund management has become a concern of fund managers.These two problems depend on the accurate and scientific evaluation of the performance of public funds.Accurate and scientific evaluation methods of fund performance can help investors select suitable fund varieties for their investment strategies and preferences,and also help fund managers find appropriate strategies and methods in fund management.Previous theories and methods of fund performance evaluation are based on Capital Asset Pricing Model(CAPM),which can evaluate the performance of fund in terms of market risk and investment manager's ability.The EEMD method was proposed by Huang,a Chinese scientist working at NASA.It was first used to analyze experimental data in physics and atmospheric science,and then used to analyze financial time series.The EEMD method can decompose financial time series into sub-time series and trend series with different time periods.These time series can be reorganized into time series components with economic and financial implications.Based on the EEMD method and the capital asset pricing theory,this paper constructs the performance evaluation model of mutual funds by combining the two methods,and makes an empirical analysis with the data of China's fund market.In the construction of the model,this paper uses EEMD method to decompose the fund's cumulative income into three components:short-term,long-term and trend items,and then incorporates these three components into the capital asset pricing model to evaluate the performance of the three components on different scales.In addition,as an independent data analysis method,EEMD has a mature analytical framework,so this paper uses the EEMD method to analyze the three components of fund income.Finally,this paper uses the commonly used fund performance evaluation indicators to analyze the fund returns under the decomposed three scales.The results show that the main risk premium to the fund is the long-term return of the fund,the short-term return of the fund often brings negative risk premium to the fund,and the trend item often brings positive risk premium to the fund.This conclusion suggests that fund managers should pay more attention to the profitability of fund growth cycle,and avoid the operation of losing money to fund in short cycle.The other result is that the short-term returns of the fund mainly obtain excess returns by undertaking market systemic risk-sharing.The long-term returns and trend returns of the fund seldom obtain returns by undertaking market systemic risk,but obtain a certain risk premium through the asset allocation ability of the fund manager.Excessive returns.This conclusion suggests that fund managers should pay more attention to the market risk level of funds in obtaining short-term returns,and pay more attention to the rationality and effectiveness of asset allocation in obtaining long-term returns and trend returns.In addition,this paper also draws the conclusion that different types of funds have different characteristics in the three return cycles.In addition,the short-term return cycle of the fund is generally about 5 days,and the long-term return cycle is generally between one and a half years to two years.This shows that the short-term return of the fund is more likely to be affected by the short-term fluctuations of the market,while the long-term return of the fund is more likely to be affected by the economic cycle.