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证券投资基金是现代金融业的重要组成部分。随着基金业的迅速发展,证券投资基金已成为我国资本市场最大、最有影响力的机构投资者。目前,开放式基金的数量和规模已远远超过封闭式基金,因此,本文主要探讨开放式基金的业绩评价和排名。已有大量实证研究发现基金收益具有尖峰厚尾性、非对称性和强正相关性,基于此,本文使用非对称幂分布(Asymmetric Power Distribution,APD)来拟合基金收益率分布。不同于其它文献的是,我们主要着眼于Sharpe比率估计量SR,研究36只开放式基金实际日收益率下SR和基于APD标准差和VaR的修正SR,并使用双样本统计量对SR进行假设检验,结论证明了假设检验是显著的,且在基金排名和评价的应用中是非常可行的。
Securities investment fund is an important part of the modern financial industry. With the rapid development of the fund industry, securities investment funds have become the largest and most influential institutional investors in the capital market of our country. Currently, the number and size of open-end funds far exceeds that of closed-end funds. Therefore, this paper mainly discusses the performance evaluation and ranking of open-end funds. A large number of empirical studies have found that fund returns have peak-tail, asymmetry and strong positive correlations. Based on this, we use the Asymmetric Power Distribution (APD) to fit the fund’s return distribution. Unlike the other literature, we focus mainly on the Sharpe ratio estimator SR to study the SR of the 36 open-end funds under the real daily rate of return and the modified SR based on the APD standard deviation and the VaR and to use the two-sample statistics to make assumptions about the SR Testing, the conclusion proved that the hypothesis test is significant, and in the application of the fund ranking and evaluation is very feasible.