基于VaR的基金绩效评价研究

发布时间：2018-06-18 01:19

本文选题：证券投资基金 + 三大经典指数　；参考：《西南财经大学》2013年硕士论文

【摘要】：基金作为证券市场金融创新的产物,在国外已经将近一个多世纪的发展历程。截止到2012年三季度,全球基金总额为26.045万亿美元。其中,美洲基金市场在全球市场中独占鳌头,基金总额为14.808万亿美元,占全球基金总额的56.86%,以绝对优势领先于全球市场。而亚太地区基金总额为3.196万亿美元,占全球基金市场份额的12.27%,欧洲市场基金总额为7.902万亿美元,占全球基金市场总额的30.34%。非洲市场最小,只有1380亿美元,占全球市场的0.53%。从上述基金分布来看,基金发展规模与经济发达程度息息相关。西方发达证券市场的实践经验证明,基金业取得的显著成效对证券业的发展起着十分重要的作用。纵观基金在国外近百年蓬勃的发展历史,国内20来年的发展历史,·我们可以看出证券投资基金作为金融市场发展过程中一个创新产品,其发展程度与经济发展和金融市场发展息息相关。国内外基金发展的事实证明,基金业的成效大小对证券市场乃至经济发展都有着十分重要的作用。对我国而言,我国经济起步较晚,经济亟待发展,而我国近二十年的基金发展历史也证明了基金对我国经济的积极促进作用。既然基金如此的重要与受关注,那么基金的好坏、业绩评价、收益率等自然会成为投资者们所日渐关注的问题。尤其是在最近二十多年里,基金行业的发展蓬勃向上,因此,对投资基金业绩进行科学、合理的评价就成为一个既具有重大理论价值,又具有现实指导意义的重大课题。证券投资基金业绩评价的核心是对基金收益和风险的权衡,传统的评估方法大多是采用方差法或贝塔系数法来衡量风险,但是随着经济发展和金融创新,旧的评价方法已经不能满足金融或基金发展的需要。而目前在国际上,引入了一种全新的金融风险度量方法——VaR(Value atRisk)风险度量模型对投资基金业绩进行评估。本文拟引入VaR的思想,构建评价基金业绩的指标来测定基金业绩。随着计算机技术的发展,金融数据的网罗收集,数学学科在经济学中的不断应用,学者研究的不断突破,金融单位高管的迫切需要,使得金融风险管理技术和基金业绩评价方式方法得到了极大的提升。在危机频繁发生和金融处理手段不断提高的背景下,VaR技术作为一种新型的风险管理技术与业绩评价手段,开始登上历史舞台。管理者希望能有一种简单易管理的风险管理方法来管理自己所处单位或行业的风险,以在风险可控前提下拉升业绩。VaR的出现正好满足了大家的这种管理需要。各种世界性的官方机构也极力推崇VaR的技术应用。1993年,C30小组首次提出VaR的基本概念,并向世界相关金融机构推荐这一风险管理技术。1995年,巴塞尔委员会提出VaR管理技术并首次肯定了这种技术对于风险管理的重要性。并向全世界相关金融机构极力推荐该种风险管理方法。巴塞尔委员会的态度明确说明了VaR技术的可适应型与可操作性。目前,全世界各大银行等金融机构都已经将VaR风险管理技术引入到了自己的企业风险管理中。VaR技术的普及应用,说明了这一技术的生命力与准确性。本文从实是用性、科学性角度出发,将风险度量成果VaR应用到证券投资基金业绩评价中。全文共分为五个部分：第一部分是本文的绪论部分。通览介绍了本文的选题背景是基于基金市场的蓬勃发展及其在经济发展中的重要地位,并介绍了对基金绩效进行研究评价的重要性。关于基金业绩评价,本文对国内外的相关研究成果进行文献述评,介绍了目前研究现状。本节结尾是本文的研究目的、研究框架和研究方法。第二部分以开放式基金评价为切入点,对目前主流的基金评价方法进行总结对比。基金绩效的评价包含两个方面,一个是基金的风险测定,一个是基金的收益测定。本部分在对传统的基金绩效方法进行了详细分析。鉴于本文研究需要,主要介绍了包括夏普指数、特雷诺指数和詹森指数三大经典指标,并详细的对比了这三大经典指标。在传统研究基础上,本文引出VaR,并介绍了VaR的产生背景、数理基础和计算方法及其在目前基金绩效评价中的一些应用。第三部分是本文的理论分析章节。在介绍相关绩效评价指标方法之后,在VaR基础上,本文引入了基于VaR的新评价指标的构建,即引进的新指标：单位VaR收益差指标和组合收益差指标。这两个指标的引进与构建是基于VaR基础上的构建,也是对传统指标的一个改进,尤其是对夏普指数和詹森指数的改进。该部分还对这两指标的构建进行评析。第四部分则是在上述基础上的实证验证研究,通过这两项指标对随机抽取的32项指标进行评价,以验证本文构建的指标,得出结论；第五部分则是通过前文的理论分析和实证分析,得出本文的结论,并对本文的不足之处和未来研究展望提出进一步意见。本文的研究结论有：第一,我国开放式基金在2011年的收益率序列存在左偏性,尖峰和肥尾性；第二,从投资者注重下行风险的角度来看,基于VaR的基金业绩评价指标相对于三大经典指标有明显的应用优势；第三,以本文构建的市场基准来衡量,可以看出我国开放式基金在2011年于市场的业绩基.本持平或略低于整体市场。本文也有一定研究局限：VaR分析方法的应用对基金的规范发展、数据清晰程度、基金市场发展现实有很大要求。并且作为一种实证数据分析的评价方法,三大经典指标、VaR分析方法、本文构造的统计量分析方法,甚至其他一些指标评价方法,都对基金数据提出了更高的要求。因此,在应用到我国基金绩效评价的工作实际过程中的时候,我们还应该考虑基金的历史数据准确与否问题。此外,有关基金公司经营问题,经济周期等问题也是未来研究需要关注的一些方面。
[Abstract]:As a product of financial innovation in the securities market, the fund has been developing for more than a century in foreign countries. By the three quarter of 2012, the total global fund was $26 trillion and 45 billion. Among them, the American fund market was the dominant in the global market, the total amount of funds was 14 trillion and 808 billion, accounting for 56.86% of the total global fund. The Asia Pacific region fund is 3 trillion and 196 billion US dollars, accounting for 12.27% of the global fund market share, and the European market fund is $7 trillion and 902 billion, which accounts for the smallest 30.34%. African market in the global fund market. It is only $138 billion, accounting for the 0.53%. of the global market from the distribution of the above funds. The model is closely related to the degree of economic development.
The practical experience of the western developed securities market has proved that the remarkable achievements made by the fund industry have played an important role in the development of the securities industry. Its development is closely related to economic development and financial market development. The fact of the development of domestic and foreign funds has proved that the effectiveness of the fund industry has a very important role in the securities market and even the economic development. For our country, China's economy starts late, the economy is urgent to develop, and the history of the development of the fund in China in the last twenty years has also been proved. Since the fund has played an active role in promoting the economy of our country, since the fund is so important and concerned, the quality of the fund, the performance evaluation, the rate of return and so on will naturally become the concern of the investors.
Especially in the last more than 20 years, the development of the fund industry has been flourishing. Therefore, the scientific and rational evaluation of the performance of the investment fund has become a major issue with both great theoretical and practical significance. The core of the performance evaluation of the securities investment fund is the balance of the fund's income and risk, and the traditional evaluation of the fund. Most of the estimation methods use variance method or beta coefficient method to measure risk, but with economic development and financial innovation, the old evaluation method can not meet the needs of financial or fund development.
At present, a new method of financial risk measurement, the VaR (Value atRisk) risk measurement model, is introduced to evaluate the performance of investment fund. This paper introduces the idea of VaR and constructs the index of evaluating fund performance to measure the performance of the fund.
With the development of computer technology, the collection of financial data, the continuous application of mathematics in economics, the continuous breakthrough of scholars' research and the urgent need of the executives of financial units, the methods and methods of financial risk management technology and fund performance evaluation have been greatly improved. Under the background of breaking up, VaR technology, as a new risk management technology and performance evaluation method, has been on the stage of history. The manager hopes to have a simple and easy management risk management method to manage the risk of its own unit or industry, so that the emergence of the.VaR performance before the risk control is just satisfied with the people. A variety of world official institutions also strongly esteem VaR's technical application in.1993. The C30 team first proposed the basic concept of VaR and recommended this risk management technology to the world related financial institutions for.1995 years. The Basel Committee proposed VaR management technology and first affirmed the importance of this technology to risk management. The Basel Committee's attitude clearly illustrates the adaptable and maneuverability of the VaR technology.
At present, all the major banks and other financial institutions all over the world have introduced the VaR risk management technology to the popularization and application of.VaR technology in their own enterprise risk management, which shows the vitality and accuracy of this technology.
From the perspective of practicality and science, this paper applies the risk measurement result VaR to the performance evaluation of securities investment funds. The full text is divided into five parts:
The first part is the introduction of this article. The article introduces the background of this paper, which is based on the flourishing development of the fund market and its important position in the economic development, and introduces the importance of the research and evaluation of the performance of the fund. At the end of this section is the purpose, framework and methodology of the study.
The second part takes the open-end fund evaluation as the breakthrough point, summarizes and compares the current mainstream fund evaluation methods. The evaluation of the fund performance includes two aspects, one is the risk determination of the fund and the other is the determination of the fund's income. The three classic indexes including the SHARP index, the Toreno index and the Jansen index are introduced, and the three classic indexes are compared in detail. On the basis of the traditional research, the paper leads to the VaR, and introduces the background of the VaR, the mathematical foundation and the calculation method and some applications in the current fund performance evaluation.
The third part is the theoretical analysis section of this article. After introducing the related performance evaluation index method, on the basis of VaR, this paper introduces the construction of new evaluation index based on VaR, that is, the new indexes introduced: the unit VaR income difference index and the combination income difference index. The introduction and construction of the two indexes are based on the construction of the VaR. It is an improvement to the traditional index, especially the improvement of the SHARP index and Jansen index. This part also analyzes the construction of the two indicators.
The fourth part is the empirical research on the basis of the above two indicators to evaluate the 32 indexes of random extraction, in order to verify the indicators constructed in this paper and draw a conclusion.
The fifth part, through the theoretical analysis and empirical analysis of the previous article, draws the conclusion of this article, and puts forward further suggestions for the shortcomings and future research prospects of this article.
The conclusions of this paper are as follows: first, there are left bias, peak and fat tailing in the rate of return of China's open-end fund in 2011; second, from the perspective of investors' emphasis on downside risk, the VaR based performance evaluation index has obvious advantages over the three classic indicators; third, based on the market base constructed in this article. To measure, we can see that the performance of China's open ended funds in the market in 2011 is flat or slightly lower than the overall market.
This paper also has some limitations: the application of VaR analysis method has great demands on the standard development of the fund, the degree of data clarity and the reality of the development of the fund market. And as an evaluation method of empirical data analysis, the three classic indicators, the VaR analysis method, the statistical analysis method constructed in this paper, and even some other index evaluation parties. Therefore, when we apply to the actual process of the performance evaluation of the fund, we should also consider whether the historical data of the fund is accurate or not. In addition, the problems related to the management of the fund companies and the economic cycle are also some aspects of the future research.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F831.51

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