Wind.NET基金分析算法说明

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1 Wind.NET Shanghai Wind Information Co., Ltd. : 33 9 Zip: Tel: (862) Fax: (862) sales@wind.com.cn

2 I

3 II

4 Wind.NET Wind.NET Wind.NET 4.0 [ ] [ ] [ ] [ ] [

5 Wind.NET Wind.NET

6 Wind.NET [ ] 2.2 [ ] 2.3 [ ] 2.4 [ ] 2.5 [ ] 2.6 [ ] [ ] 2.9 [ ] [ ] [ ]

7 Wind.NET

8 Wind.NET 5 % 00% = % 00% = % 00% = % =

9 Wind.NET T T T T % a = 00% b a b T % T % T 3 % T 6 % T 2 % T % T % % a T b T T 6

10 Wind.NET 7 % %[ ] %[ ] ( ) 2 = = n X xi x n i σ xi X %

11 Wind.NET.00 [] = [2] = [] [2] % [] = 00% [2] = 00% n = n i= % n = n i= % 8

12 Wind.NET T T % % T 3 = a b T 3 a = 00% b T 6 T 6 T 2 T 2 T T a T b 9

13 Wind.NET % % 0

14 Wind.NET

15 Wind.NET 2

16 Wind.NET % % % % % % 3

17 Wind.NET 4 % A % % % % %

18 Wind.NET 5 % A % % 0 % % %

19 Wind.NET 6 % % % % % % % % %

20 Wind.NET 7 % % % %

21 Wind.NET [ ] [ ] - [ ] [ ] [%] [ ] [%] 8

22 Wind.NET [ ] [ ] [ ] [ ] [ ] [ ] 9

23 Wind.NET % % % % % % % 20

24 Wind.NET Alpha Sharpe Treynor ε Y = α + βx + α = Y βx n β = xy n x ( x) ( y) 2 ( x) 2 y x XY Sharpe = Treynor = β Jensen = Rp Rf β Rm Rf Jensen ( ) [ ( )] Rp Rf Rm % n X = xi n i= xi % n X = n ( + xi) i= % n X ' = ( xi Rf ) n i= Rf n % X ' = n ( + xi Rf ) i= 2

25 Wind.NET % n 2 ( xi X ) i= σ x = n xi Beta ε Y = α + βx + α = Y βx n β = xy n x ( x) ( y) 2 ( x) 2 y x XY Cov ( x, y ) ρxy = σx σy y x Cov 2 y α y β xy σ ei = n 2 22

26 Wind.NET % R Rf 2 ( Rm Rf ) + γ ( Rm Rf ) ε = α + β + R Rf Rm T = T t= ( R ) 2 P R 00% t It R p R I T Information Ratio William Sharpes = = T ( + RP t ) ( + RI t ) t= T T ( RP t RI t ) t= T t= 2 R p R I T 23

27 Wind.NET 24

28 Wind.NET [ ]. 2. = 3. A 0 = A < 0 [ ] P SPCR = 00% P 0 SPCR A P P 0 % % % 25

29 Wind.NET A 0 = A < 0 26

30 Wind.NET [ ] = 3. 0 = < % % 27

31 Wind.NET 28 % % NAV SNAV SNAV P P S S + = [ ] % % % 00% 0 = S S P P % NAV SNAV SNAV P P S S + = %

32 Wind.NET % 0 = < 0 29

33 Wind.NET % [ n ( )] 00% N N = N % ( n ) = 30

34 Wind.NET 3 > < = = = = = % N = % N = % = = Wi Wi

35 MVi = NI i Wind.NET MVi * NIi MVi = Equity i MVi * Equityi 32

36 Wind.NET % % % % 33

37 Wind.NET 34 % % % % % % % %

38 Wind.NET % % 35

39 Wind.NET [] 36

40 Wind.NET 37

41 Wind.NET [ ] [ ] [ ] [ ] [ ] ( ) (%) / / 38

42 Wind.NET 39

43 Wind.NET % % % % % % % % % % % % % % % % % % % % 40

44 Wind.NET 4

45 Wind.NET 42 % % % % % % % % %

46 Wind.NET 43 % % % % % % % % %

47 Wind.NET 44 % % % % % % % % %

48 Wind.NET 45 % % % % % % % % %

49 Wind.NET 46 % % % % % %

50 Wind.NET 47 > < = = = 0 = * 5 0 =

51 Wind.NET * 5 0 N = 0 N = 0 = Wi Wi = MVi = NI i MVi * NIi 48

52 Wind.NET MVi = Equity i MVi * Equityi 49

53 Wind.NET Alpha Beta Sharpe ε Y = α + βx + α = Y βx n β = xy n x ( x) ( y) 2 ( x) 2 y x X Y Sharpe = Treynor Treynor = β Jensen = Rp Rf β Rm Rf Jensen ( ) [ ( )] n X n ( + xi ) Rp Rf Rm n X = xi n i= xi = i= n X ' = ( xi Rf ) n i= n X ' = n + xi Rf i= ( ) 50

54 Wind.NET Alpha Beta Sharpe n ( xi X ) 2 i= σ x = n xi Cov( x, y) ρxy = σx σy y x Cov 2 y α y β xy σ ei = n 2 y x ε Y = α + βx + α = Y βx n β = xy n x ( x) ( y) 2 ( x) 2 y x XY Sharpe = Treynor Treynor = β Jensen = Rp Rf β Rm Rf Jensen ( ) [ ( )] Rp Rf Rm n X = xi n i= 5

55 Wind.NET n X n ( + xi ) xi = i= n X ' = ( xi Rf ) n i= n X ' = n + xi Rf i= n ( ) ( xi X ) 2 i= σ x = n xi Cov ( x, y ) ρxy = σx σy y x Cov 2 y α y β xy σ ei = n 2 y x 52

56 Wind.NET Wind.NET 53

57 The World s Leading Provider of Chinese Financial Data and Solutions Shanghai Wind Information Co., Ltd. : 33 9 Zip: Tel: (862) Fax: (862) sales@wind.com.cn

A 股投资参考日报一每日重点财经要闻解读中央一号文件 : 大力推进农业现代化中国证券网讯, 中央一号文件 1 月 27 日由新华社受权发布文件指出, 大力推进农业现代化, 必

A 股投资参考日报一每日重点财经要闻解读中央一号文件 : 大力推进农业现代化中国证券网讯, 中央一号文件 1 月 27 日由新华社受权发布文件指出, 大力推进农业现代化, 必中国金融数据及解决方案首席服务商 A 股投资参考日报 2016-1-28 Wind 题材交流群号 :104142 上海万得信息技术股份有限公司 Shanghai Wind Information Co., Ltd. 地址 : 上海市浦东新区福山路 33 号建工大厦 9 楼邮编 Zip: 200120