基于极值理论的我国开放式基金业绩评价的实证研究

发布时间：2018-04-14 00:18

本文选题：开放式基金 + 业绩评价　；参考：《浙江大学》2012年硕士论文

【摘要】：随着开放式基金的发展,基金的业绩评价显得尤为重要。科学有效的基金业绩评价指标不仅是投资者制定投资决策的参考依据,也是促进基金公司提高投资绩效的外部激励。我国现有的基金业绩评价指标过度侧重基金净值,对基金收益和风险的衡量与计算方法比较落后,容易导致业绩评价谬误。90年代以来,极值理论的发展及在金融风险管理中的应用为准确测算基金业绩指标提供了思路。本文正是将极值理论应用到基金的收益和风险的测算之中,并在此基础上构建新的指标评价基金的业绩。本文首先回顾了国内外基金业绩评价的主要理论与成果,提出运用极值理论研究基金业绩的意义。然后,本文对基于极值理论的基金业绩评价指标的构建进行了理论研究。在理论研究的基础上,本文运用广义Pareto模型对17只样本基金的各项业绩指标进行了测算,并结合传统指标进行了比较分析。实证结果表明：GPD模型能够更好地拟合基金收益率的尾部分布,利用该模型测算的最大可能能收益Rmax和最大可能风险VaR能够准确地反映基金的潜在收益与风险特征；而基于Rmax和VaR的指标平均收益风险比RAROC1和极端收益风险比RAROC：能够反映一些传统指标难以体现的基金风险收益特征,评价基金业绩可以把新指标与传统指标相结合。
[Abstract]:With the development of open-end funds, the performance evaluation of funds is particularly important.Scientific and effective evaluation index of fund performance is not only the reference basis for investors to make investment decisions, but also the external incentive to promote fund companies to improve their investment performance.The existing fund performance evaluation indexes in our country focus too much on the net value of the fund, and the methods of measuring and calculating the return and risk of the fund are relatively backward, which can easily lead to the falsehood of the performance evaluation since the 1990s.The development of extreme value theory and its application in financial risk management provide ideas for the accurate measurement of fund performance.In this paper, the extreme value theory is applied to the calculation of the income and risk of the fund, and on this basis, a new index is constructed to evaluate the performance of the fund.This paper first reviews the main theories and achievements of fund performance evaluation at home and abroad, and puts forward the significance of using extreme value theory to study fund performance.Then, this paper studies the construction of fund performance evaluation index based on extreme value theory.On the basis of theoretical research, this paper uses the generalized Pareto model to calculate the performance indexes of 17 sample funds, and makes a comparative analysis on the traditional indexes.The empirical results show that the tail distribution of the return rate of the fund can be better fitted by the: GPD model, and the maximum possible return Rmax and the maximum possible risk VaR calculated by the model can accurately reflect the potential income and risk characteristics of the fund.Based on Rmax and VaR, the average income risk ratio (RAROC1) and the extreme income risk ratio (RAROCC) can reflect the characteristics of fund risk and return which are difficult to reflect by some traditional indexes, and the evaluation of fund performance can combine the new index with the traditional index.
【学位授予单位】：浙江大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.5;F224

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