基于修正Sharpe指数的我国开放式基金业绩评价研究  

Research on the Modified Sharpe Index for Performance Evaluation of Securities Investment Fund in China

作　　者：于天军[1] 田金信[1] 汪洋 

机构地区：[1]哈尔滨工业大学管理学院,黑龙江哈尔滨150001 [2]上海国际集团,上海200002

出　　处：《中国软科学》2010年第7期175-183,共9页China Soft Science

摘　　要：国内外大量实证研究发现基金收益率呈明显的尖峰、厚尾性和有偏性的非正态分布。针对Sharpe指数前提假设是收益率服从正态分布及使用标准差来度量投资风险的缺陷。本文提出用能更好的刻画投资基金收益率分布的非对称性和尖峰、厚尾性的Skewed-t分布来拟合基金收益率分布。在此基础上分别给出了基于Skewed-t分布标准差和Skewed-t分布下的FIGARCH-SKST模型测算的VaR值的修正夏普指数;然后对22只开放式基金数据进行了实证分析。结果表明,基于Skewed-t分布修正的Sharpe指数是有效的。Empirical studies found that returns of investment fund showed a kurtosis, fat tail and a partial, non - normal distribution. Sharpe index assumed that yields obey a normal distribution and use the standard deviation to measure the investment risk. This paper proposed the Skewed - t distribution to fit the distribution of fund returns which has asymme- try and kurtosis, fat - tail nature characterization. On this basis, respectively, given the modified Sharpe index based on standard deviation of Skewed - t distribution and VaR values of FIGARCH - SKST modal ; then 22 investment fund data for the empirical analysis, we find that the modified index which based on the Skewed - t distribution is valid.

关 键 词：基金业绩评价 Skewed—t分布 FIGARCH—SKST模型 Sharpe指数 

分 类 号：F830.9[经济管理—金融学]