Optimal Design Of Carbon Neutral Fund With Energy Side Based On Quantitative Factor Investment

There has been a profound impact of global climate problem on the earth’s ecology.It has become a historical challenge for mankind.Xi stressed that we should promote carbon peaking and carbon neutrality actively and steadily.The so-called carbon neutrality refers to the goal of peaking carbon dioxide emissions and eventually achieving net zero emissions.It is necessary to clarify the path and implement comprehensive policies to achieve the goal of carbon neutrality.As for the goal of carbon neutrality,energy system reform is the fundamental way which is taking the energy side as the starting point.The energy industry could use a certain way including that carrying out the emission reduction,upgrading old energy and develop new energy vigorously,the idea of carbon-neutral energy-side factors is better known.Looking at the investment market,the fund products based on carbon neutrality with energy side are hot.More and more fund managers are vigorously focusing on the construction of carbon neutral energy side products,investors are also paying more attention to it.Whereas,there are objective problems for fund products based on carbon neutrality with energy side,for example,they usually have the small scale,the short existence time,the mostly passive investment type of funds,the low yield and high volatility returns.And optimizes the quantitative investment strategy of fund products based on carbon neutrality with energy side for improving the condition.Firstly,it selects the target fund according to the four conditions including industry,type,rating and age.And then it extracts the factors of the final selected benchmark fund.In the process of factor extraction,it uses SPSS to perform the Lasso regression analysis,the principal component analysis and the factor analysis to reduce col-linearity for selecting 10 factors from 17 factors.It adds the carbon neutrality factor of standardized carbon emissions to form a factor pool.After that,it combines the financial data,transaction data and factors of carbon neutrality with energy side of the target fund particularly and takes the yield as the output index.Then the thesis establishes the Transformer model training process.In the process of building the Transformer model,it removes the singular value first,uses the average imputation method to process the vacancy data,carries out data input,model encoding and decoding construction,it adds the mapping process,and outputs the data and carry out training back testing with a period of 20 and 50 finally.The back-test results prove it is meaningful to optimal design of carbon neutral fund with energy side.It is shown that the use of Transformer model can form a good combination with the quantitative investment strategy of carbon neutral energy side factor so that it can obtain excess returns in the stock market.Finally,according to the above analysis process,this thesis puts forward corresponding suggestions for fund managers and investors respectively,and all parties can participate in the market economy in a grounded and orderly manner to realize the good development of carbon neutral energy products.