基于流动性风险调整的我国开放式基金绩效评价

发布时间：2018-01-03 06:29

本文关键词：基于流动性风险调整的我国开放式基金绩效评价　出处：《上海师范大学》2014年硕士论文　论文类型：学位论文

【摘要】：起源于美国的次贷危机于2007年8月开始席卷全球，流动性风险在这次金融危机中扮演了非常重要的角色，成为危机爆发和迅速蔓延的重要推手之一，近年来非常活跃的开放式基金也受到了影响。普通投资者对于基金的认识也在市场的大幅波动中不断深化，风险意识不断增强，在考虑基金收益同时对于投资风险，尤其流动性风险也越来越关注。传统绩效评价指标虽然在业界得到广泛地应用，，但存在着缺陷与不足。夏普、特雷诺指数和詹森指数所依据的理论基础假设条件过多，特别是有效市场假设和收益率正态分布假设与实际相差过大，使得绩效评价结果的有效性受到一定影响。其次，标准差和Beta系数作为风险描述反应的都是全局风险(即与均值相偏离的风险)，这与投资者所关注的下方风险(即带来损失的风险)并不一致。风险价值VaR作为一种绝对风险度量方式，区别于传统相对风险的描述方式，而且不需要对收益率分布做严格限制，在现代的风险管理领域受到广泛推崇。本文针对传统基金评级指标的不足，在前人的理论研究基础上把流动性风险代入CAViaR模型得出基金风险价值，并将其作为风险因子引入风险调整资本回报率(RAROC，Risk-Adjusted Return Of Capital)来评价基金业绩。然后将RAR0C指标和传统基金业绩评价指标进行Kendall r相关性分析，得出RAROC指标与风险描述指标的相关性if高，可以更好地反映基金业绩中的潜在风险，而且RAROC指标与其他指标的相关性最低，说明RAR0C指标并(、是传统指标的简卑变形，对基金的业绩评价有一定的参考意义。
[Abstract]:The subprime mortgage crisis which originated in the United States began to sweep the world in August 2007. Liquidity risk has played a very important role in the financial crisis and has become one of the important drivers of the outbreak and rapid spread of the crisis. In recent years, open-end funds, which are very active, have also been affected. At the same time, the investment risk, especially liquidity risk, is more and more concerned. Although the traditional performance evaluation indicators have been widely used in the industry, but there are defects and deficiencies. Sharp, Traineau index and Jensen index are based on a lot of theoretical assumptions. In particular, the efficiency market hypothesis and the normal distribution of return assumption and the actual difference is too large, so that the effectiveness of the performance evaluation results are affected to some extent. Secondly. Both the standard deviation and the Beta coefficient reflect the global risk (that is, the risk that deviates from the mean value) as a risk description, which is inconsistent with the underlying risk (that is, the risk of loss) that investors are concerned about. As a measure of absolute risk, VaR is different from the traditional description of relative risk, and there is no need to restrict the distribution of return rate. In the field of modern risk management is widely praised. In view of the shortcomings of traditional fund rating indicators, this paper puts liquidity risk into the CAViaR model to get the value of fund risk on the basis of previous theoretical research. As a risk factor, it is introduced into RRR RAROC. Risk-Adjusted Return of Capital. Then the RAR0C index and the traditional fund performance evaluation index are analyzed by Kendall r correlation analysis. It is concluded that the correlation between the RAROC index and the risk description index is high, which can better reflect the potential risk in the performance of the fund, and the correlation between the RAROC index and other indicators is the lowest. It shows that the RAR0C index is the simple and inferior deformation of the traditional index, which has certain reference significance for the performance evaluation of the fund.
【学位授予单位】：上海师范大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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