Enhanced Energy Index Fund Design

Due to the continuous development and improvement of the capital market,the difficulty of traditional technical analysis methods and fundamental analysis methods continues to increase,which further leads many investors to start to study quantitative stock selection models,and hope to cross the knowledge of statistics,finance,information technology and other aspects.Fusion to obtain excess returns.In recent years,due to the unstable return of active investment and the relatively low return of completely passive investment,investors hope to find a product that is more stable and can outperform the index at the same time.It is against this historical backdrop that Enhanced Index Funding emerged,combining active and passive investing to achieve high returns that far exceed the target underlying index return.Enhanced index fund refers to a type of fund product that optimizes or completely replicates the investment strategy of the index to obtain a return that significantly exceeds the underlying index,and uses tracking error to judge the performance of the portfolio and the benchmark index.On the other hand,my country’s traditional energy development is relatively complete,and it still occupies a major position in China’s energy consumption.There are still many uncertain factors in the development of new energy,so it is meaningful to study the entire energy market.Therefore,this article uses the CSI All Index Energy Index as the benchmark index to construct an enhanced index fund.The first chapter is the introduction,which mainly expounds the research background and research significance of this paper.The second chapter mainly summarizes the research methods and conclusions of various scholars on the enhanced energy index fund,and gives comments.The third chapter introduces the relevant concept definition and the theoretical basis related to the construction of index funds.The fourth chapter expounds the construction methods and steps of the enhanced energy index fund.The fifth chapter constructs the enhanced energy index fund and analyzes its effect.First,based on the CSI Energy Index and its constituent stocks,the model was trained with the data from September 2011 to December 2018,and the effective factors were screened through multi-factor scoring models,Lasso regression,and Elastic Net back,and then the Construct an enhanced energy index fund;secondly,back-test the model with the data from January 2019 to December 2020,compare the fund’s return rate with the index return rate,and finally compare the fund portfolios constructed by different methods.Differences and Effects.Chapter 6summarizes the full text,and puts forward research prospects and opinions.After backtesting,observing the construction effect of the enhanced energy index fund,and then using the fund performance evaluation index to evaluate the enhanced energy index fund,it can be found that the enhanced energy index fund constructed based on the regularization model performs factor screening,and then constructs the enhanced energy index fund in the annualized income.In terms of energy efficiency,Sharpe ratio,and maximum drawdown rate,they are all better than the enhanced index fund using multi-factor scoring structure.Therefore,this paper concludes that factor screening through regularized regression,and then constructing an enhanced energy index fund can form an enhanced energy index fund.Relatively stable fund products with higher yields than the benchmark index.