| In September 2001, HuaAn Fund to become China’s first open-end securities investment funds. Securities investment fund market in China from the beginning to become rich become many types, as of October 2008, China’s open-end funds have been broken 400.The traditional performance evaluation methods are mainly three, namely Sharpe index, Treynor ratio, Jensen performance evaluation index. The Sharpe ratio index does not indicate the performance of a fund to the market portfolio exceeds the benchmark number of values. When the Fund’s assets in the portfolio of non-systematic risk are not fully eliminated, the Treynor ratio it may give the wrong evaluation information. Jensen performance evaluation indicators also implies a non-systematic risk has been completely dispersed assumptions. In the fund and the non-systematic risk is not fully distributed case, Jensen performance evaluation indicators might give the wrong message.The principal innovation of this article is:Domestic Fund Performance Evaluation of the VaR in the research literature on the application of the few, but in measure VaR value, the most calculated using the historical simulation method, which will lead to some error. The article in the use of VaR as a Fund’s investment risk measure, VaR-based research and analysis of the Sharpe index, it is also right in the field of risk management in recent years has been widely used in extreme value theory are discussed.The principal innovation of this article is:There is few fund performance evaluation of the VaR in the research literatures in China, but in measure VaR value, the most method is the historical simulation method, which will lead to some error. In the article VaR as a fund’s investment risk measure, it is also right in the field of risk management in recent years has been widely used in extreme value theory are discussed. The main idea is this:first review the traditional performance evaluation methods- VaR calculation method- empirical analysis- conclusions. |
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