Research On Performance Evaluation Of Index Structured Fund In China

Index structured fund is a kind of structured fund products which based on the index investing,including leverage mechanism,when the market is expected to gain more than the indexation investment income.Since 2007,the structured fund in China has been rapidly developed,due to the characteristics of the fund has structured,make reasonable evaluation on the structured fund performance has become a direction of structured fund research.Traditional fund performance evaluation indicators are still widely used,but there are some shortcomings in the appropriate measurement of risk.After the concept of VaR is put forward,it has been widely used in the field of risk management and measurement.Based on the traditional fund performance evaluation theory,and introduced VaR method to construct two performance evaluation indicators based on VaR:VM2 measure indicator and Return-VaR indicator,use Index structured fund in China market by the end of June 30,2016 operating more than two years as a sample,to study the performance evaluation of parent fund and B share.The main conclusions are as follows:firstly,there is a certain degree of negative skewness,leptokurtic,fat tail and significant ARCH effect in the parent fund and B share of sample Index structured fund during the study period;secondly,traditional performance evaluation indicators are consistent with each other,but lack of downside risk considerations;thirdly,the two performance evaluation index based on VaR shows better effectiveness;finally,based on theVM2 measure indicators,the parent fund and B share of Index structured fund has underperformed the benchmark constructed in this paper.In order to promote Index structured fund healthy and orderly development,this paper gives the following suggestions:firstly,improve the legal supervision system of the fund industry;second,devolop and enlarge the professional fund rating agencies;third,establish China’s Index structured fund performance evaluation system;fourth,improve the Index structured fund investment risk measure;fifth,improve the capability of the fund manager;sixth,strengthen the investor education.