中国大数据基金的业绩评价与对比分析  

Performance Evaluation and Comparative Analysis of China’s Big Data Funds

作　　者：何菊香[1] 王徵羽 HE Juxiang;WANG Zhiyu(School of Economics and Management,Beijing University of Posts and Telecommunications,Beijing 100876)

机构地区：[1]北京邮电大学经济管理学院,北京100876

出　　处：《科技促进发展》2020年第10期1164-1173,共10页Science & Technology for Development

基　　金：2020年北京邮电大学研究生产教融合创新实践课建设项目(2020C014):财富管理,负责人:何菊香

摘　　要：随着金融科技的迅速发展,大数据技术与证券投资的结合日益紧密,大数据基金应运而生,且越来越受到行业的重视。本文遴选18只大数据基金和6只投资结构类似的传统型基金,利用2018年4月1日到2020年3月31日相关数据从收益水平、风险状况、风险调整后收益、业绩归属能力对大数据基金进行考察,运用主成分分析法进行综合评价,并与传统型基金进行了对比分析。研究表明,与传统型基金相比,在考察期内,大数据基金的业绩表现更好,其中,被动指数型基金在各项指标上的优势更为明显,而主动管理型基金的优势相对较弱。The combination of big data technology and securities investment is increasingly close with the rapid development of financial technology.Big data funds emerge as the times require and they are more and more valued by the industry.This paper evaluates the performance of 18 big data funds and 6 traditional funds with the similar investment structure by using the data of income level,risk status,risk adjusted income,performance attribution from April 1,2018 to March 31,2020.And by using the principal component analysis,the comprehensive evaluation of the big data funds is conducted,and the comparative anaysis with the teaditional funds is also conducted.The results show that compared with traditional funds,the performance of big data funds perform better during the survey period.Among them,passive index funds have more obvious advantages in various indicators,while the advantages of active management funds are relatively weak.

关 键 词：大数据基金 大数据指数 量化投资 业绩评价 选股择时能力 

分 类 号：F832.51[经济管理—金融学] F49