利用稳定分布构建开放式基金业绩评价体系

Open-end Fund Performance Evaluation: under the Stable Distribution

经典的基金业绩评价方法是在收益率服从正态分布假设下构建风险指标,该指标或者高估风险,或者低估风险。可引入稳定分布来描述收益率,并利用稳定分布,构建风险调整的基金业绩评价体系,并利用该体系对我国开放式基金的业绩进行评价。

The classic fund- performance evaluation depends on the traditional risk indicators, which can not give an exact measure to the risk. Supposing that fund - return follows a stable distribution, we established a new fund - performance evaluation system through a new risk indicator： shortfall. The open - end fund by the system is evaluated.