Construction of tourism investment risk management model combining big data

Comparison of model result and real result

Real condition (week)	7
Expected condition (week)	6 (124*5%=6.2)

The portfolio of top 8 stocks in fund A

Stock number	Holdings (yuan)	Proportion in fund net asset
1	120164883.10	6.96%
2	115258231.04	6.68%
3	113893687.88	6.60%
4	90537717.11	5.24%
5	85109802.28	4.93%
6	82856874.06	4.80%
7	76670581.67	4.44%
8	68427447.12	3.96%

Fund A portfolio risk

Stock number	Holdings (yuan)	Proportion	M-VaR	C-VaR	Risk contribution
1	120164883.10	15.96%	0.14685562	5172555.499	22.58%
2	115258231.04	15.31%	0.11846854	2714560.791	11.85%
3	113893687.88	15.13%	0.17846821	3495712.884	15.26%
4	90537717.11	12.03%	0.21634824	2508391.617	10.95%
5	85109802.28	11.30%	0.15426884	1736402.599	7.58%
6	82856874.06	11.00%	0.42158465	3156679.131	13.78%
7	76670581.67	10.18%	0.25426158	1722657.987	7.52%
8	68427447.12	9.09%	0.5845786	2400725.493	10.48%
Total	752919224.30	100%	2.07483428	22907686.000	100%

Measuring results of fund A net asset VaR

Sample number	124
Mean	-0.0017258
Standard deviation	0.025210658
VaR value	0.039596
Expected low value	0.9024425
Expected decline	4.127%
Real net asset in Sep 30th 2023	2915648453

Fund performance comparison

	Simulated fund	Fund A	Reference index
Mean	10.265	-0.0017258	4.856
VaR%	1.112	3.960	1.259
RORAC	0.1755	0.098	0.084
VaR mean %	1.049	3.735	1.344
Long-term yield rate	0.2564	-0.0325	-0.4762

Mean, standard deviation and variance of the 8 stocks’ yield rate

Stock number	Yield rate mean	Standard deviation	Variance
1	0.0009752	0.02154852	0.00048958
2	0.0007156	0.01548625	0.00027546
3	-0.0015689	0.02648546	0.00078482
4	0.0025426	0.01984526	0.00040125
5	0.0004358	0.01465243	0.00019774
6	-0.0037841	0.04684526	0.00245962
7	0.0021354	0.02015365	0.00045628
8	0.0035342	0.04868545	0.00201575

The risk report of the simulated fund stock portfolio (after adjustment)

Risk report	Weight	β	VaR	M-VaR	I-VaR	Risk contribution
1	0%	0.8123	0.0201	0.0195	0.0000	0%
2	11.26%	1.1246	0.0225	0.0135	0.0016	13.596%
3	5.84%	0.9315	0.0226	0.0095	0.0007	5.214%
4	19.14%	0.8472	0.0164	0.0091	0.0018	15.312%
5	22.35%	0.6288	0.0142	0.0065	0.0016	14.035%
6	9.06%	0.7146	0.0258	0.0082	0.0008	6.115%
7	30.23%	1.4872	0.0234	0.0162	0.0049	46.053%
8	2.12%	-0.1026	0.0186	-0.0014	-0.0001	-0.325%
9	0%	0.6859	0.0423	0.0075	0	0%
10	0%	-0.1522	0.0186	-0.0018	0	0%
Decentralized income			(0.0113)
Portfolio	100%		0.0105		0.0105	100%

RORAC and adjusted position of alternative stocks in fund A

	RORAC	Weight
1	-0.0132	0.00%
2	0.096	9.86%
3	0.052	6.12%
4	0.0156	28.85%
5	0.0178	20.18%
6	0.079	8.01%
7	0.0245	25.52%
8	0.024	1.46%
9	-0.158	0.00%
10	-0.267	0.00%

Normality test results of top 8 stocks in fund A

Stock number	W
1	0.9764
2	0.9479
3	0.9476
4	0.9563
5	0.9678
6	0.9424
7	0.9615
8	0.9480

Correlation coefficient matrix of the 8 stocks in fund A

Stock	1	2	3	4	5	6	7	8
1	1	0.295	0.254	0.135	0.186	0.146	0.228	0.143
2	0.295	1	0.534	0.098	0.705	0.162	0.586	0.224
3	0.254	0.534	1	0.362	0.408	0.241	0.629	0.276
4	0.135	0.098	0.362	1	0.087	0.196	0.354	0.099
5	0.186	0.705	0.408	0.087	1	0.125	0.459	0.178
6	0.146	0.162	0.241	0.196	0.125	1	0.247	0.128
7	0.228	0.586	0.629	0.354	0.459	0.247	1	0.412
8	0.143	0.224	0.276	0.099	0.178	0.128	0.412	1

The risk report of the simulated fund stock portfolio (before adjustment)

Risk report	Weight	β	VaR	M-VaR	I-VaR	Risk contribution
1	15.96%	1.258	0.0223	0.1469	0.002056	22.58%
2	15.31%	0.802	0.0261	0.1185	0.001286	11.85%
3	15.13%	1.354	0.0253	0.1785	0.002215	15.26%
4	12.03%	0.894	0.0197	0.2163	0.001364	10.95%
5	11.30%	0.511	0.0164	0.1543	0.000652	7.58%
6	11.00%	0.823	0.0283	0.4216	0.000998	13.78%
7	10.18%	0.379	0.0203	0.2543	0.000365	7.52%
8	9.09%	0.382	0.0196	0.5846	0.000359	10.48%
9	0%	0.526	0.0427	0.0065	0	0%
10	0%	-0.128	0.0169	-0.0018	0	0%
Decentralized income			(0.0109)
Portfolio	100%		0.0125		0.0125	100%

Portfolio change before and after model adjustment

	Risk σ	VaR	Decentralized income	RORAC
Before	51.62%	0.0125	(0.0109)	0.0642
After	46.72%	0.0105	(0.0113)	0.1755

Asset allocation comparison of fund A and simulated fund

	Bank deposit	Stock investment	Bond investment	Total capital
Simulated fund	61254826	2215461058	638932569	2915648453
Fund A	262641885	2044435462	608571106