摘要
证券投资基金业绩评价指标的核心内容是对基金收益和风险的权衡,而目前几种普遍应用的基金业绩评价指标中所采用的风险度量方法存在诸多缺陷,VaR作为一种新兴的风险度量方法在一定程度上可以克服这些缺陷。在均值-VaR投资组合模型基础上构建的两个基于VaR的基金业绩评价指标——报酬-VaR比率和VM2测度指标,在我国开放式基金业绩评价的实证研究中取得了较好的应用效果。
The key content of the performance evaluation index of securities investment fund is to weigh the fund＇ s return and risk, but there are many defects in risk measuring method of the present performance evaluation index. VaR, as a rising risk measuring method, can overcome these defects to a certain extent. Two performance evaluation indexes of fund based on VaR is structured on the basis of mean value - VaR investment combination model, that is Reword - VaR rate and VM2 estimate index, and they acquire better effect of application on the empirical research of performance evaluation of open - ended fund in our country.
出处
《湖南商学院学报》
2008年第3期94-99,共6页
Journal of Hunan Business College
基金
国家自然基金资助项目(70471028)
关键词
VAR
证券投资基金
业绩评价
VaR
securities investment fund
performance evaluation
