基于因子分析的基金评价研究

Research on Fund Evaluation Based on the Factor Analysis

摘要: 因子分析是一种将大量可观测变量抽象为少量客观存在的不可观测因子的经典多元统计分析方法。这些因子能揭示出原观测变量内部复杂的结构关系。对于日常投资者面临的基金产品评价问题而言，将因子分析应用于此领域，能从庞杂的基金产品财务指标数据中得出较为明确的因子指标作为基金产品质量的评价依据。本文首先介绍了因子分析的相关理论，进而给出了分析一般基金财务数据的基本流程。最后对我国2017年度股票型基金的数据进行实证分析。旨在为投资者提供一种从数据出发的基金产品评价参考。

Abstract: Factor analysis is one of the classic multivariate statistical analysis methods, which can extract few unobservable factors from the large quantity of observable variables. These factors can reveal the complex structures of the original variables. For the problem of the evaluation of fund products that the ordinary investors faced, such method could obtain explicit factor indices as the reference of evaluation from the complicated financial data. This article first introduces the basic theory of factor analysis, and then presents the general steps to analyze the financial data of fund products. Finally, an empirical analysis was taken on the yearly data of stock funds of China, 2017, aiming at providing a reference of data-based evaluation of fund products.