基于RAROC的开放式基金绩效评价研究

发布时间：2018-04-17 09:15

本文选题：开放式股票基金 + 绩效分析　；参考：《哈尔滨工程大学》2012年硕士论文

【摘要】：近几年随着开放式基金的快速发展，基金公司和开放式基金种类的增多，对于开放式基金的绩效研究也越来越广泛和深入。对于开放式基金的学术进展主要还是借鉴国外的模型和定量方法进行分析，但对于是否适合我国市场的实证研究并不多，，以及各种指标的适用条件以及相应验证的研究有所缺乏。本文采用20只开放式基金作为研究对象，为考虑普遍性分别选取了10只股票型基金，5只债券型基金，5只混合型基金。考察了成立至少3年以上的基金在2010年度至2012年度经过风险调整后的绩效情况。本文运用历史模拟法对20种基金的VAR进行测量，并进行排名，进一步通过VAR和RAROC模型得到各个基金的RAROC值，将RAROC指标与经典的风险调整指标进行对比分析，运用Spearman等级相关分析法，考察RAROC指标和其他几个指标之间的关系。用线性回归对基金的每周累计净收益率的时间序列采用CAPM模型进行估计得到各个基金的β值和标准差，对开放式基金的三个风险指标，β，标准差和VAR进行分析。最后对我国开放式基金在使用RAROC模型上提出了从数据处理到模型使用方面的建议；为投资者在基金绩效的分析方法上提供了借鉴，并对20只基金针对投资者的选择问题进行了分析。实证结果显示：我国近两年开放式基金表现较差，相比较之下债券型基金表现优于股票型基金和混合配置型基金；RAROC与传统指标之间呈现高相关性，主要的差别在于风险测量指标VAR和标准差、β值之间的差异，通过验证RAROC解决了传统指标绩效被高估的情况，有一定优越性；在投资者的选择上当收益差距不大时，要重点考虑风险对基金绩效的影响，学会区分收益型主导型基金和风险主导型基金，根据自己的风险厌恶程度进行选择；在RAROC模型的应用上，VAR的测量是关键，如何更加准确的预测VAR是模型使用的难点。
[Abstract]:In recent years, with the rapid development of open-end funds, the types of fund companies and open-end funds have increased, and the research on the performance of open-end funds has become more and more extensive and in-depth.The academic progress of open-end funds is mainly based on the analysis of foreign models and quantitative methods, but there are few empirical studies on whether they are suitable for our market.As well as the applicable conditions of various indicators and the corresponding verification of the lack of research.In this paper, 20 open-end funds are used as the research object. In order to consider the universality, 10 equity funds, 5 bond funds and 5 hybrid funds are selected respectively.The risk-adjusted performance of the fund established for at least three years from 2010 to 2012 was examined.This paper uses the historical simulation method to measure and rank the VAR of 20 kinds of funds, and then obtains the RAROC value of each fund by VAR and RAROC model, and compares the RAROC index with the classical risk adjustment index.The relationship between RAROC index and other indexes was investigated by using Spearman rank correlation analysis method.The 尾 value and standard deviation of each fund are estimated by using CAPM model. The three risk indexes, 尾, standard deviation and VAR of open-end fund are analyzed.Finally, the paper puts forward some suggestions from data processing to model use on the use of RAROC model for open-end funds in China, which provides a reference for investors in the analysis of fund performance.It also analyzes the choice of 20 funds for investors.The empirical results show that the performance of China's open-end funds is poor in the past two years, and the performance of bond funds is better than that of equity funds and mixed allocation funds, and there is a high correlation between the performance of bond funds and traditional indicators.The main difference lies in the difference between VAR, standard deviation and 尾 value of risk measurement index, which solves the overestimation of the performance of traditional indicators by RAROC.We should focus on the impact of risk on fund performance, learn to distinguish between profit-oriented funds and risk-based funds, and choose according to their risk aversion.How to predict VAR more accurately is a difficult problem in the use of the model.
【学位授予单位】：哈尔滨工程大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.5

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