摘要
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 continuously establishment of new fund management corporations and the extension of fund issuance scale, the securities investment funds have exceeded the asset size of the security companies, insurers and privately offered funds and become the biggest and the most influential institutional investors in the Chinese domestic capital market. So it is more and more important to analyze and evaluate properly performance and risk of the funds. At present, Sharpe index is one of the most popular performance evaluation indexes. However, the traditional Sharpe index assumes that the yield rate sequence of portfolio obeys normal distribution and can＇ t capture any skewness and heavy tail. So we use the asymmetric Laplace （AL） distribution to fit the yield rate sequence. One advantage of the asymmetric Laplace distribution is able to capture the skewness, kurtosis and heavy tail. Based on the standard deviation and VaR of asymmetric Laplace distribution, a modified Sharpe index is proposed. With an empirical analysis on the open-end fund data, we find the revised Sharpe index is valid.
出处
《系统工程理论与实践》
EI
CSCD
北大核心
2006年第7期1-10,共10页
Systems Engineering-Theory & Practice
