In this article, a search for a calculation method and an analysis of performance indicators of mutual investment funds is carried out. Many factors can influence the return on investments in portfolio investments, which makes the choice of the fund incredibly difficult. However, in addition to the fact that it is difficult to determine which indicators should be given more attention and which should be omitted, it is not so easy to get these data. Some of them are publicly available on the Internet, while others can only be found in trading systems that are not accessible to people outside of this area. The article proves that a well-trained neural network can easily find existing patterns between risk and expected return on investment. It is a well-trained neural network that provides the ability to use the "what-if" function to justify your choice on real factors, as well as the ability to download available data and calculate the estimated income and its changes. This makes it much easier to choose a Fund, especially for inexperienced investors. The article also presents the results of a study of the dependence of estimated income on correlation, standard deviation, and volatility using a trained neural network. According to the theory, higher values of these three factors correspond to a higher amount of income. The obtained graphs of the calculated income dependence on correlation, standard deviation, and volatility confirmed the correctness of the neural network training and compliance with the relations described in the theory. The paper presents graphs of the dependence of the estimated income on the beta and alpha coefficients. The higher the beta and alpha indicators, the higher the expected return on investment. This corresponds to the dependency accepted in the model. When the values of the beta and alpha coefficients increase, the income also increases, which is completely consistent with the theory.
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Subject: Computer Science and Mathematics - Algebra and Number Theory
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