Research on the Investment Value of Stock Exchange ETF in China Based on Factor Analysis and Cluster Analysis

Abstract

A well-managed portfolio with thoughtful investment selection depends on the market. It is challenging to manually track share market prices because they fluctuate based on a variety of reasons. This article sorts out the traditional theory of domestic research fund performance evaluation, and selects 12 indicators suitable for analyzing ETF performance in China for factor analysis. The selected 629 sample funds are listed stock ETF issued from 2015 to 2020 and extended to 2022. Clustering methods used is k-means clustering with a Euclid distance and with shape-based distance measure. Factor analysis shows that the current ETF fund research indicators can be divided into 4 categories, namely income factor, anti-risk ability factor, management ability factor and volume factor. According to these three types of indicators, samples are grouped into 7 categories, and the study shows that most of the listed stock ETF funds have good risk diversification ability, and the performance of various funds varies greatly.