China Growth Fund Performance Evaluation And Ascension Research Based On The RAROC

With the development of China’s securities investment fund market,the scale of growthfund unceasingly expands,Which investment target is the growth listed companies.It makesscientific rational evaluate the performance become more and more important.It need tocomprehensive consider the abilities of the fund’s create income and control risk.Now themethod of VaR is the mainstream method,so this paper introduces the RAROC index basedon VaR to evaluate the performance of our country’s growth fund.At first,this paper expounds the concept and characteristics of growth fund,the status ofdevelopment in domestic and foreign,then analysis the risk of our growth fund mayface,such as interest rates,currency exchange rates,inflation and the stock market riskpolicy.Then introduced the traditional risk premium measure method, in view of the defectsexisting in their applications, the paper puts forward the VaR method and construct differentRAROC indexes to evaluate growth fund performance.In order to identify the different VaRmeasurement model,this paper first selects12samples and analyzes the characteristics oftheir yields sequence,and find that they existes peak,thick tail and volatility clusteringphenomenon,so this paper introduces the GARCH-N,GARCH-t and EGARCH models,andthrough the calculation different models’ failure rates to confirm their accuracy. Then paperwill VaR combine with different excess yields,that more than risk-free yield and more thanmarket benchmark yield,and construct different RAROC indexes to evaluate growth fundperformance,this will be benifit to the dialectical interpretation the growth fundperformance under the market decline situation.This paper from the overall situationinstructions,the external macro-environment and internal investment strategy evaluate thegrowth fund performance.Finally,the paper from investment strategy, investmentcombination and internal risk control,three aspects introduces foreign growth fundperformance improvement of practical experience, combined with the domestic growth fundperformance evaluation results,and proposes the corresponding countermeasure for thegrowth fund management company,from optimization growth fund market’s environment toenhance performance also puts forward a series of countermeasures.