VaR在基金绩效评估中的应用

发布时间：2018-07-06 19:35

本文选题：VaR + GARCH模型　；参考：《北京工业大学》2012年硕士论文

【摘要】：随着我国证券投资基金尤其是开放式基金的快速发展，基金已成为投资者重要的理财对象，基金的业绩表现受到广泛关注，无论对投资者，还是对基金管理公司而言，对基金的业绩进行全面合理的评价和分析都具有非常重要的意义。但理论界对基金评价指标的选择仍未达成共识，尚未形成我国的基金业绩评价体系。传统的三大基金绩效评估方法包括Sharpe指数、Treynor指数和Jensen指数，这些经典的风险调整收益指标在一定程度上衡量了基金的绩效，但都存在一些缺陷。为了弥补这些缺陷，本文将衡量下方风险的风险价值(Value at Risk,简称VaR)引入基金绩效评估中，通过实证研究来分析VaR在我国开放式基金绩效评估中的应用。风险价值，是指在一定的持有期和一定的置信水平下来考察投资组合可能存在的潜在最大损失。它是一种用概率来描述投资组合价值变化的风险管理工具。本文中研究的基于VaR的风险调整收益指标又称为基于VaR的Sharpe指数，即Risk-Adjusted Return On Capital，，简称RAROC。本文选取2005年1月1日到2011年12月31日之间6家不同基金管理公司的不同类型基金的周收益率作为研究对象，根据风险调整收益的思想，采用基于VaR的Sharpe指数对基金业绩进行评价，将衡量下方风险的VaR方法应用在基金绩效评价上，分析单只基金的不同市场表现、不同基金管理公司的绩效水平、不同类型基金的绩效水平，并与传统基金业绩评价方法进行比较。通过实证分析得出所有样本基金基于VaR的Sharpe指标及三种传统的绩效评价指标的绩效排名均优于市场组合，说明我国证券投资基金的业绩总体上优于市场基准组合；基于VaR的Sharpe指数的绩效评估排名和传统的三大指数的排名相比呈现出较明显的正相关；在股市的上升阶段的标准差和VaR均明显大于股市下降阶段的值，这说明市场行情上升时往往潜伏着更大的风险；债券型基金在市场下降阶段表现出了良好的抗跌性。
[Abstract]:With the rapid development of China's securities investment funds, especially open-end funds, the fund has become an important financial object for investors. The performance of the fund has received extensive attention, not only for investors, but also for fund management companies. It is of great significance to evaluate and analyze the fund's performance in a comprehensive and reasonable way. However, the theoretical circle has not reached a consensus on the selection of fund evaluation indicators, and has not yet formed a fund performance evaluation system in China. The three traditional performance evaluation methods include Sharpe index Treynor index and Jensen index. These classic risk-adjusted return indexes measure the performance of the fund to a certain extent, but they all have some defects. In order to remedy these defects, this paper introduces the value at risk (VaR) to fund performance evaluation, and analyzes the application of VaR in open-end fund performance evaluation through empirical research. The value of risk refers to the potential maximum loss of portfolio under certain holding period and certain confidence level. It is a risk management tool that uses probability to describe portfolio value changes. The risk-adjusted return index based on VaR in this paper is also called the Sharpe index based on VaR, that is, Risk-Adjusted return on Capital. From January 1, 2005 to December 31, 2011, the weekly rate of return of six different fund management companies is chosen as the research object. This paper uses Sharpe index based on VaR to evaluate fund performance, applies VaR method to fund performance evaluation, analyzes the different market performance of single fund and the performance level of different fund management company. The performance levels of different types of funds are compared with traditional fund performance evaluation methods. Through the empirical analysis, it is concluded that the Sharpe index of all sample funds based on VaR and the performance ranking of the three traditional performance evaluation indicators are superior to the market portfolio, indicating that the performance of China's securities investment funds is generally better than the market benchmark portfolio. The performance evaluation rank of Sharpe index based on VaR has obvious positive correlation with that of the traditional three indexes, and the standard deviation and VaR in the rising stage of stock market are obviously larger than those in the declining stage of stock market. This suggests that higher risks tend to lurk in rising markets, and bond funds have shown good resilience during the downturn.
【学位授予单位】：北京工业大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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