本文選題：風險調(diào)整收益 + VAR模型��； 參考：《上海交通大學》2013年碩士論文

【摘要】：隨著QDII基金的誕生和發(fā)展，投資者又多了一項投資海外市場的工具，而面對著不斷涌現(xiàn)的QDII基金產(chǎn)品，如何準確評價基金業(yè)績，向投資者傳遞完整的投資信息，逐漸成為了比較重要的議題。 目前市場主流的QDII基金業(yè)績評價方法主要圍繞基金絕對收益的排名，對于基金所承擔風險的考慮，主要停留在夏普指標、詹森指標和特雷諾指標這三個傳統(tǒng)業(yè)績評價指標上，而對于收益和風險程度結合評價的進一步考量較少。本文通過研究傳統(tǒng)的基金業(yè)績評價方法和相關文獻，結合當下國內(nèi)公募基金業(yè)績的評價方法，總結了目前QDII公募基金在業(yè)績評價時所暴露的缺陷。并據(jù)此缺陷，提出了在QDII公募基金業(yè)績評價計算上的改進之處：主要依托風險調(diào)整收益的概念，將QDII基金的VAR值預測融入業(yè)績指標的計算中。 本文在使用蒙特卡羅模擬法計算VAR值時，有兩點更新之處：第一，基于金融資產(chǎn)收益率的分布特點，使用t分布代替正態(tài)分布進行VAR值的估計；第二，使用EGARCH模型模擬金融資產(chǎn)收益率的波動水平，并以此代替原模型中使用標準差表示波動水平的方法對VAR值進行估計。通過檢驗，上述兩點更新都對最后評價數(shù)據(jù)的準確性起到了一定的推進作用。 最后，依據(jù)更新后的風險調(diào)整收益指標對目前市場上的部分QDII公募基金進行了實證分析，并與現(xiàn)行的業(yè)績評價方法和結果進行了比較，結果顯示本文的計算方法更加有效地向投資者提示部分QDII基金高收益背后的劇烈波動性，，而且能更加真實地反應在同等風險度量下的QDII基金業(yè)績水平，并對目前國內(nèi)的公募基金業(yè)績評價方法有一定的借鑒意義。
[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.
【學位授予單位】：上海交通大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F830.91;F224

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本文編號：1802666