基于跳跃风险夏普比率的中国基金收益再度量  

Sharpe Ratio Under Jump Risk Correction to China Fund Returns

作　　者：袁靖[1] 董雅菁 刘响 高建 火颖 YUAN Jing;DONG Ya-jing;LIU Xiang;GAO Jian;HUO Ying(Shandong Technology and Business University,Yantai 264005,China)

机构地区：[1]山东工商学院统计学院 [2]山东工商学院金融学院,山东烟台264005

出　　处：《山东工商学院学报》2022年第1期45-54,共10页Journal of Shandong Technology and Business University

基　　金：国家自然科学基金项目“巨灾风险的宏观经济动态效应及防范机制研究”(71603243);国家教育部人文社会科学基金项目“灾难风险冲击下的资产定价之谜、宏观经济波动及最优财政货币政策研究”(18YJA790101)。

摘　　要：利用2007—2020年14年间的我国117支股票型基金与上证A股市场收益率数据,计算标准夏普比率、累计生成函数四阶矩下夏普比率及不确定冲击跳跃风险修正下夏普比率,研究发现:我国117支基金及上证A股收益率呈现明显负偏高峰度非正态分布;我国117支基金及上证A股收益率夏普比率受到不确定冲击跳跃风险的显著影响,差值最大达到19%;经过十几年的发展,我国基金市场已经从非有效性市场逐渐进入弱式有效性市场,中强有效市场将是未来发展方向,以基础分析为主要分析策略的大型基金,其收益打败大盘指数变得越来越困难,随着我国资本市场越来越成熟,拥有卓越分析能力的优秀基金毕竟是稀缺的,大多数基金只能以跟随和模拟大盘指数而非跑赢大盘指数收益为目标,尤其面对不确定冲击的危机时期。This paper uses the data of the return rate of 117 stock funds in China and the Shanghai A-share market during the 14 years from 2007 to 2020 to calculate the standard Sharpe ratio,the sharpe ratio under the fourth moment of the cumulative generating function,and the Sharpe ratio under the uncertainty shock jump risk correction.The study found that:China's 117 funds and Shanghai Stock Exchange A-share yields show a significant negative peak and non-normal distribution;China's 117 funds and Shanghai A-share yields have a significant impact on the Sharpe ratio due to uncertain shocks and jump risks The maximum difference is 19%;After more than ten years of development,China’s fund market has gradually entered a weakly efficient market from an inefficient market.The medium strong efficient market will be the future development direction,based on basic analysis.It is becoming more and more difficult for large funds that mainly analyze strategies for their returns to beat the broader market index.As China’s capital market becomes more and more mature,excellent funds with excellent analytical capabilities are scarce after all,and most funds can only follow and simulate.The goal is not to outperform the broader market index,especially in the face of a crisis of uncertainty.

关 键 词：夏普比率 不确定冲击 累积生成函数 高阶矩 

分 类 号：F832.51[经济管理—金融学]