Quantitative analysis (data source: the net performance of hedge funds. From a practical point of view, tracking weekly performance is more valuable, with too few monthly performance samples and large error, and poor sustainability of daily performance)

Risk-adjusted income index

Sharpby

Zhan Sen ratio (absolute return after risk adjustment)

Treynor performance evaluation

Sortino ratio

Kama ratio

Stutzer index (risk-adjusted profitability)

Investment management ability of fund managers

Timing ability (C.L exponential model)

Risk diversification ability and stock selection ability (M.C.V index)

Attribution of performance and style (each hedge fund has its own characteristics, and the best way to define different hedge funds is to analyze their different return sources, which generally include growth genes, inflation genes, risk preference genes, financing liquidity, scale genes, value genes, market genes and stock momentum genes).

Track the active management ability and information ratio of fund managers (an indicator to distinguish investment ability from luck)

Regression coefficient method, performance dichotomy (detection of performance persistence)

Risk control ability

downside risk

Maximum retracement

Lower difference

Change value

Strategic ability

Diversity and liquidity of trading varieties

Potential liquidation loss rate

Note that funds with different strategies cannot be simply compared, and generally only funds with the same strategy can be compared. Even if the same strategy achieves the same performance, leverage and risk exposure should be compared.

Special performance of special time window

Fund investment decision-making process (decision-making process also includes risk control system, process and discipline)

Performance evaluation method of company investment team

This is used as the qualitative evaluation attribute identification of the company's private equity fund.

In qualitative analysis, the assessment of people is the first. The ideological product of first-class talents is investment idea and investment logic, while investment portfolio and process are the implementation and execution of investment idea and investment logic, while past performance is the result. In the law of large numbers, it is found that the academic background of a good fund manager is mostly science and engineering, such as mathematics, physics (quantum physics and fluid physics) statistics and computer science, which may have a high degree of correlation. For those who have no mathematical education background, but grew up with traders, they should be especially cautious about such funds.

Using the quantitative analysis system, the performance evaluation results of private equity fund samples are obtained, which are completely based on the historical performance of private equity funds. Specifically, the four-dimensional scores of risk-adjusted income risk control ability, fund manager's investment management ability and strategic ability are calculated respectively, and multiplied by the weight as the performance evaluation attribute identification of the company's private equity fund. Secondly, the qualitative ranking is obtained by using the qualitative analysis system, and the qualitative analysis is based on interviews and surveys of expert systems. Specifically, the company's investment and research ability, the investment decision-making process and scale of the fund, the contract and transparency are scored respectively as the qualitative evaluation attributes of the company's private equity fund.

Finally, the scores in the quantitative analysis system are multiplied by the weights, and the scores of related indicators in the qualitative analysis system are multiplied by the weights to calculate the comprehensive score ranking of private equity funds.

The above are some of my methods and experiences in analyzing funds, hoping to help you make decisions.

Finally, emphasize one point.

Fundamental research only shows that the performance of the fund is analyzable, judgable and predictable to a certain extent. The fundamentals of the fund determine the relative performance of the fund, while market factors and fundamental factors determine the absolute performance of the fund.

Our operation is far more than just a screened fund. At present, domestic FOF pays too much attention to fund screening and ignores asset allocation in the investment process. "The biggest advantage of FOF over other wealth management products lies in the allocation of large-scale assets."

The ability of asset allocation determines the performance of fund portfolio investment. Investors should first consider the proportion of large-scale asset allocation, and then optimize the fund or manager.