摘要
选取2015—2016年期间我国12支"一带一路"基金单位日净值数据,运用基于VaR的RAROC模型对基金业绩评价进行研究。在VaR计算方面,根据每支基金收益率的实际分布特征,分别建立GARCH类模型、历史模拟模型。实证结果发现,近一年来大部分"一带一路"基金融资收益能力欠佳,平均日收益率呈负值。其中"丝路"主题基金业绩相对较好,有良好的投资价值,而分级基金业绩普遍较差。投资者可参考风险偏好及RAROC值谨慎选择基金产品。
The paper selects the unit net value data of the 12 ＂the Belt and Road Initiatives＂ funds from 2015 to 2016. It uses the RAROC model based on VaR to evaluate the performance of funds. According to each fund＇s return distribution characteristics, the paper chooses the GARCH model and Historical simulation model to calculate VaR. The results show that the financing capability of ＂the Belt and Road Initiatives＂ fund is not good enough in nearly one year. Most of the fund＇s average revenue are negative. The Performance of ＂Silk Road＂ fund is better than others and it has a positive investment value. But the structured fund is generally poor. Investors shoud be carefully to consider the risk carrying capacity and the RAROC value to select a fund.
出处
《莆田学院学报》
2017年第1期51-55,共5页
Journal of putian University
基金
福建省中青年社科类项目(JAS150842)
福建省社会科学规划项目(FJ2015B235)
