基于风险调整收益的QDII基金评级方法

发布时间：2018-04-25 19:36

本文选题：风险调整收益 + VAR模型　；参考：《上海交通大学》2013年硕士论文

【摘要】：随着QDII基金的诞生和发展，投资者又多了一项投资海外市场的工具，而面对着不断涌现的QDII基金产品，如何准确评价基金业绩，向投资者传递完整的投资信息，逐渐成为了比较重要的议题。目前市场主流的QDII基金业绩评价方法主要围绕基金绝对收益的排名，对于基金所承担风险的考虑，主要停留在夏普指标、詹森指标和特雷诺指标这三个传统业绩评价指标上，而对于收益和风险程度结合评价的进一步考量较少。本文通过研究传统的基金业绩评价方法和相关文献，结合当下国内公募基金业绩的评价方法，总结了目前QDII公募基金在业绩评价时所暴露的缺陷。并据此缺陷，提出了在QDII公募基金业绩评价计算上的改进之处：主要依托风险调整收益的概念，将QDII基金的VAR值预测融入业绩指标的计算中。本文在使用蒙特卡罗模拟法计算VAR值时，有两点更新之处：第一，基于金融资产收益率的分布特点，使用t分布代替正态分布进行VAR值的估计；第二，使用EGARCH模型模拟金融资产收益率的波动水平，并以此代替原模型中使用标准差表示波动水平的方法对VAR值进行估计。通过检验，上述两点更新都对最后评价数据的准确性起到了一定的推进作用。最后，依据更新后的风险调整收益指标对目前市场上的部分QDII公募基金进行了实证分析，并与现行的业绩评价方法和结果进行了比较，结果显示本文的计算方法更加有效地向投资者提示部分QDII基金高收益背后的剧烈波动性，，而且能更加真实地反应在同等风险度量下的QDII基金业绩水平，并对目前国内的公募基金业绩评价方法有一定的借鉴意义。
[Abstract]:With the birth and development of QDII funds, investors have more tools to invest in overseas markets, and facing the emerging QDII fund products, how to accurately evaluate the performance of the fund and transfer the complete investment information to investors, Has gradually become a more important issue. The current market mainstream QDII fund performance evaluation method mainly revolves around the fund absolute income rank, regarding the fund to bear the risk consideration, mainly stops in Sharp index, the Jensen index and the Traineau index these three traditional performance appraisal indexes, However, the further consideration of the combination of income and risk is less. By studying the traditional methods of fund performance evaluation and related literature, combined with the current domestic public fund performance evaluation methods, this paper summarizes the current QDII public funds in the performance evaluation of the exposed defects. On the basis of these defects, the paper puts forward the improvement of the performance evaluation calculation of QDII public offering fund: mainly relying on the concept of risk adjustment income, the prediction of VAR value of QDII fund is incorporated into the calculation of performance index. In this paper, when using Monte Carlo simulation method to calculate VAR value, there are two updates: first, based on the distribution characteristics of financial asset return, t distribution is used instead of normal distribution to estimate VAR value; second, The EGARCH model is used to simulate the volatility level of the return on financial assets, and instead of using the standard deviation to denote the volatility level in the original model, the VAR value is estimated. Through the test, the above two updates played a certain role in the accuracy of the final evaluation data. Finally, according to the updated risk-adjusted income index, this paper makes an empirical analysis of some QDII public funds in the current market, and compares them with the current performance evaluation methods and results. The results show that the calculation method in this paper is more effective to remind investors of the violent volatility behind the high returns of some QDII funds, and can more truly reflect the performance level of QDII funds under the same risk measurement. And it has certain reference significance to the present domestic public offering fund performance appraisal method.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.91;F224

【参考文献】