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随着近几年基金管理公司的数量迅速增长和基金发行规模的不断增加,证券投资基金已经超过券商、保险、私募基金成为国内资本市场最大、最有影响力的机构投资者,因此科学地分析和评价基金的业绩以及度量它们所面临的风险就变得越来越重要.目前,国内最常用的风险调整后的绩效度量指标—Sharpe指数使用标准差来度量投资风险及假设收益率服从正态分布,但实证检验发现中国开放式基金收益率序列有明显的尖峰、厚尾性和有偏性.为此,提出用非对称Laplace分布来拟合收益率分布,它充分考虑了收益率分布的有偏性、尖峰和厚尾性,因此能更好的度量基金的投资风险.在此基础上,分别给出了基于非对称Laplace分布标准差和VaR值的修正的Sharpe指数;然后对31只开放式基金数据进行了实证分析.结果表明,修正的Sharpe指数是有效的.
With the rapid growth of fund management companies and the ever-increasing fund issuance in recent years, securities investment funds have surpassed brokers, insurance companies and private equity funds to become the largest and most influential institutional investors in domestic capital markets. Therefore, they scientifically analyzed And evaluate the performance of the Fund and measure the risks they face is becoming more and more important.At present, the most commonly used risk-adjusted performance measure Sharpe index using standard deviation to measure the investment risk and assuming that the yield normalized However, the empirical test shows that the yield series of Chinese open-end funds have obvious spikes, thick-tails and biases.Therefore, it is proposed to use the asymmetric Laplace distribution to fit the yield distribution, which takes full account of the distribution of returns It is better to measure the investment risk of the fund.On the basis of this, a modified Sharpe index based on the standard deviation and the VaR of the asymmetric Laplace distribution is given respectively. Then, 31 The empirical analysis of open-end fund data shows that the modified Sharpe index is effective.