Based On Var, Raroc Fund Performance Evaluation Of Empirical Research

Securities investment funds have been taking a increasingly important status and function in the stock market, followed by the contineous development of china's stock market. Firstly, as the main institutional investor of the stock market, Securities investment funds have been taking a increasing proportion in the whole security market in terms of the exchange volume. However, the increase of the rational institutional investors would benefit the positive development of the market. On the other hand, there are a large number of investment research professions, powerful information system and advantageous capital scale in this filed which would lower the risk. More and more Individual investors choose Securities investment funds as a important way to invest in stock marketSince 2006, the drastic fluctuations experienced by China's securities market and the Funds performance allowing ordinary investors continue to deepen the understanding of the Funds. Simply relying on the Change of net value to judge the performance of a fund is no longer meeting the needs of investors. People tend to comprehensively consider the yields and the risk.Sharpe Ratio, Treynor Ratio and Jensen Alpha are three major traditional indicators that evaluate the performance of the Fund. According to Markowitz's Portfolio Theory and Capital Asset Pricing Model, these three indicators use Standard Deviation and Beta Coefficient as risk measures, and use risk adjusted yields to judge the Fund's performance. Although the three traditional indicators are widely used in industry, there are inherent defects existed. First, the theoretical basis (portfolio theory and capital asset pricing model) has several assumptions, especially the efficient market hypothesis, and the yields follow normal distribution assumptions. The difference between assumptions and fact influence the accuracy of calculation. Second, regarding the risk measures, Standard Deviation and Beta Coefficients can evaluate total risk. However, downside risk is more concerned by investors.As an absolute risk measurement method, Value at Risk does not severely restrict by the distribution of yield. It is different from the previous description of the relative risk approach and is widely commended in modern risk management field. Refer to the defects of the traditional funds rating indicator, this paper introduce Var as a risk measure. Then use RAROC, Risk-Adjusted Return of Capita) as a fund performance evaluation indicators to compare with the traditional three indicators. Also do the three phases positive analysis by using the date of 26 partial shares of funds from 2006 to 2009.During the empirical analysis, this paper firstly use fund rehabilitation net value instead of net value of funds to calculate the yields rate. Then throughout doing K-S test and skewness, kurtosis test on the yield distribution of the 26 funds to prove that an obvious phenomenon of the right side and the peak is existing on the distribution. Based on this proof, choose a more suitable Historical simulation method to get the VaR. After the comparison of horizontal sorting comparative analysis and correlation analysis on three different phases between RAROC and traditional funds measures, this paper obtained that they don't have a strong correlation. RAROC can better reflect the risk of funds performance.