A Novel Approach to Monitoring Fund Holdings and Active Trading Ability Based on Kalman Filtering

The positioning trends of public equity funds have gradually become an important focus in the stock market. This paper utilizes the Kalman filtering model and appropriate factor selection to monitor the daily positions and net asset values of China’s equity-oriented hybrid funds from 2020 to 2023. The study finds that the model accurately captures the dynamic changes in fund positions and timely monitors fund managers’ portfolio adjustments. In addition, multiple evaluation indicators of fund managers’ abilities are constructed, including active stock trading ability. This research plays a positive role in the development of the fund industry and risk monitoring, contributing to improved market transparency and investor confidence.