基于VaR的证券投资基金业绩评价及实证研究

基金作为证券市场金融创新的产物,在国外已经有半个多世纪的发展历程。西方发达证券市场的实践经验证明,基金业取得的显著成效对证券业的发展起着十分重要的作用。尤其是在最近二十多年里,基金行业的发展蓬勃向上,因此,对投资基金业绩进行科学、合理的评价就成为一个既具有重大理论价值,又具有现实指导意义的重大课题。目前在国际上,正引入一种全新的金融风险度量方法——VaR(Value at Risk)风险度量模型对投资基金业绩进行评估。本文拟引入VaR的思想,构建评价基金业绩的指标来测定基金业绩。

As coined in innovative financial market, investment funds had been developed for more than half a century in developed countries. Experience shown, funds industry played a significant role in well developed financial market in the western countries. Especially in the recent two decades, the investment fund industry had experienced a continuous and sustained growth, thus value the industry profitability in a scientific and analytical manner would have both theoretical and practical importance. The core evaluation technique of the investment funds focusing on the trade off between profitability and risk. However, as a new method of measuring risk, VaR （Value at Risk） gain insight of the profitability by directly modeling risk.