An Empirical Research in the Performance Evaluation of Mutual Fund in China based on VaR-Sharpe Ratio
The measurement of investment performance has always been the main concerned issue for managers and investors. In general, Sharpe ratio is the best method to evaluate the mutual fund of china,but it has some limitations: adopting standard deviation or βvalue to measure the whole risk competence of fund and a hypothesis of yield rate sequence obeyed to normal distribution. Then the text makes an empirical study and discovers that the series has obvious peak thick tail characteristics and conditional heteroskedasticity problem. A consideration to above limitations, the text adopts conditional VaR-Sharpe ratio to evaluate the mutual fund fitting for yield rate series. Furthermore, conditional VaR-Sharpe could play an important role in the performance evaluation of mutual funds.
Performance evaluation of Mutual fund GARCH VaR-Sharpe
HU Xuwei CHEN Lingling
School of Economics & Management,Zhejiang Sci-Tech University,P.R.China,310018
国际会议
The 5th International Annual Conference on WTO and Financial Engineering(第五届WTO与金融工程国际会议)
杭州
英文
676-681
2008-05-18（万方平台首次上网日期，不代表论文的发表时间）