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本文采用广义自回归条件异方差模型(GARCH)对我国开放式股票型基金的收益率进行研究,在得出基金波动的下行风险价值的基础上,应用修正夏普指数(RAROC),并结合基金择时能力、选股能力及其他传统方法对我国开放式基金绩效进行评价。研究发现,风险价值可以很好的评价基金下行风险,克服了传统夏普指数对风险高估的问题。实证结果表明,我国股票型基金无法保证获得可靠稳定的超额收益,基金经理需要改进投资策略,但股票型基金未来仍然是投资者获取高收益的重要选择之一。
In this paper, the generalized autoregressive conditional heteroscedasticity model (GARCH) is used to study the return rate of China’s open-ended equity funds. Based on the downside risk value of the volatility of the funds, the modified Sharp Index (RAROC) Time ability, stock selection ability and other traditional methods to evaluate the performance of China’s open-end funds. The research finds that VaR can well evaluate the downside risk of the fund and overcome the problem that the traditional Sharp Index overestimates the risk. The empirical results show that our country’s equity funds can not guarantee reliable and stable excess returns, and fund managers need to improve their investment strategies. However, the future of equity funds is still one of the important choices for investors to obtain high returns.