Valuation analysis of fund net unit value based on H-P filter and Tobit model -- Take a sample of 2430 from ten funds

Jinhao  Ye

doi:10.54691/bcpbm.v22i.1230

Authors

Jinhao Ye

DOI:

https://doi.org/10.54691/bcpbm.v22i.1230

Keywords:

Fund valuation; Net unit value of fund; H-P filtering method; Tobit model; Quantitative investment.

Abstract

As an investment product, the analysis of the historical net value of the fund is of great significance to the prediction of the fund. In this paper, the H-P filtering method, OLS regression analysis, and Tobit model are applied to analyze the historical net value, establish the model, and forecast. The results show that :(1) The risk level is positively correlated with the long-term trend fluctuation of the fund. (2) There are differences in the absolute and relative values of the long-term trend of funds with the same risk grade. The impact of the days change on the long-term trend may vary from individual to individual. (3) The selected fund industry allocation is mainly in the manufacturing industry, reflecting the steady and good development of China's manufacturing industry.

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