摘要
本文根据超夏普比率(ESR)的思路,构造超RAROC(ERAROC)指标,对我国开放式基金进行业绩评价的实证分析。并与传统的RAROC指标进行对比分析,其结果表明:该指标明显优于现有的基金业绩评价指标。因此该指标可以纳入我国基金业绩评价体系中,以更好地为投资者及监管者提供决策依据。
After the introduction of indicator-ESR, We construct a new Indicator-ERAROC for the assessment of funds＇ performance .Through the empirical research, based on the performance of fund in Chinese stock market, We find that this indicator is better than others used to evaluate the performance of the fund .Therefore the ERAROC should be included in fund assessment system so as to offer a better reference for investors and regulators.
出处
《福建金融管理干部学院学报》
2009年第1期17-25,共9页
Journal of Fujian Institute of Financial Administrators
