Fund Evaluation System Based On Multiple Indicators And FOF Portfolio Construction

With the in-depth development of China’s capital market,securities investment funds continue to develop and grow,by the end of June 2021,the total number of funds in China’s public fund market reached 7,982,with a total fund size of 23.09 trillion yuan.Securities investment funds have become one of the most important investors in China’s capital market,and the healthy development of securities investment funds can also effectively promote market stability and development.The number of fund investors has also grown rapidly,and their investment strategies often have some irrational elements.Excessive return-seeking behavior also reduces the allocation efficiency of capital markets.Therefore,the fund evaluation system based on multi-dimensional perspective,multiple indicators and quantitative evaluation is an important reference for investors,which can help them make good judgements and promote the healthy and stable development of China’s capital market.This thesis summarizes the indicators that have a significant impact on fund returns in the previous literature.A fund evaluation system was constructed based on multiple indicators of different dimensions to comprehensively evaluate actively managed funds in China’s public offering market.First demonstrates that actively managed funds can achieve significant market-beating excess returns,and that the returns are even more significant when adjusted for the three-factor model.Secondly,the fund evaluation system was constructed by principal component analysis based on five dimensions(historical return,risk exposure,stock selection and timing,information mining,fundamentals)a total of 12 indicators(CAPM excess return,SVC excess return,CAPM excess return and R2 interaction,SVC excess return and R2 interaction,fund manager stock selection ability,fund manager timing ability,tracking error,volatility,industry concentration,sharpe ratio,maximum retracement,fund size),and 330 actively managed funds were ranked using principal component weighting and representative indicator weighting respectively.Finally,the FOF portfolio was constructed according to the ranking and compared with the stock market,fund market and Golden Bull winning fund portfolios respectively,and the study found that the funds screened by this thesis’ s evaluation system could significantly outperform the above portfolios.