基于RAROC的我国成长型基金投资绩效评价与提升研究

发布时间：2018-06-22 23:51

本文选题：成长型基金 + VaR　；参考：《哈尔滨工程大学》2012年硕士论文

【摘要】：随着我国证券投资基金市场的不断发展，以成长性上市公司为主要投资目标的成长型基金规模不断壮大，，这使得科学合理地评价成长型基金的绩效日显重要。基金绩效的评价要综合考虑基金创造收益和控制风险的能力，VaR方法是目前计量风险收益的主流方法，因此本文引入基于VaR的RAROC指标评价我国成长型基金的绩效。本文首先阐述了成长型基金的概念、特征和国内外发展现状，并分析了我国成长型基金市场面临的利率、汇率、通胀和股市政策风险情况，介绍了我国成长型基金风险收益的传统计量方法，针对其应用中存在的缺陷，本文提出VaR方法，并构建不同的RAROC指标以评价成长型基金绩效。对于VaR值测算的具体模型的确定，论文首先分析了所选取的12只成长型基金收益率序列的特点，发现其存在的尖峰、厚尾和波动聚类等现象，于是引入GARCH-N、GARCH-t和EGARCH模型来度量其VaR，并通过计算不同模型下VaR的失败率大小确定各模型的准确性。接着将不同模型下的VaR值分别与超过无风险收益和超过市场基准的超额收益组合，构建不同RAROC指标评价成长型基金绩效，有利于辩证的解释市场下跌态势下成长型基金的绩效情况。对成长型基金的绩效评价结果从整体状况说明、外部宏观环境和内部投资策略三个层面进行分析。最后，论文从投资策略、投资组合和内部风险控制三个方面介绍了国外成长型基金绩效提升的实践经验，并结合国内成长型基金绩效评价结果，为成长型基金管理公司提升绩效提出了相应的对策，从优化基金市场环境来提升成长型基金绩效方面也提出了一系列对策。
[Abstract]:With the continuous development of the securities investment fund market in China, the scale of the growth fund whose main investment target is the growth listed company is growing, which makes it more and more important to evaluate the performance of the growth fund scientifically and reasonably. The evaluation of fund performance should consider synthetically the ability of fund to create income and control risk. The VaR method is the mainstream method to measure the risk return at present, so this paper introduces the RAROC index based on VaR to evaluate the performance of the growth fund of our country. This paper first describes the concept, characteristics and current situation of the growth fund, and analyzes the interest rate, exchange rate, inflation and stock market policy risk of the growth fund market in China. This paper introduces the traditional measurement method of the risk return of the growth fund in our country. In view of the defects in its application, this paper puts forward the VaR method and constructs different RAROC indexes to evaluate the performance of the growth fund. For the determination of the specific model of VaR value, the paper firstly analyzes the characteristics of 12 growth funds' return series, and finds out that there are some phenomena such as peak, thick tail and fluctuation clustering. Then the GARCH-NV GARCH-t and EGARCH models are introduced to measure VaR, and the accuracy of each model is determined by calculating the failure rate of VaR in different models. Then, the VaR value under different models is combined with excess return without risk and excess return over market benchmark, and different RAROC indicators are constructed to evaluate the performance of growth funds. It is helpful to explain the performance of the growth fund under the situation of market decline. The performance evaluation results of the growth fund are analyzed from three aspects: the overall situation, the external macro environment and the internal investment strategy. Finally, the paper introduces the practical experience of foreign growth fund performance improvement from three aspects: investment strategy, investment portfolio and internal risk control, and combines the results of domestic growth fund performance evaluation. This paper puts forward the corresponding countermeasures for the growth fund management company to improve its performance, and also puts forward a series of countermeasures from the aspect of optimizing the fund market environment to improve the growth fund performance.
【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】：F832.51;F224

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