基于VaR的开放式基金业绩评估法RAROC

:2005-04-17:(1977-),,,,,VaRRAROC(,516007):,,,,,VaRRAROC,,:;;;VaR;RAROC:F830.91:A:1671-5934(2005)04-0015-052001921,20053,123,,,,,,,VaR,,Markowitz1952,:,,,,,,Treynor,Sharpe,,,,,,VaR(ValueatRisk),,VaR:,,,:prob(P-VaR)=1-Pt,VaRVaR[1]VaR,25420058()JOURNALOFHUIZHOUUNIVERSITYVol1251No14Aug12005,VaR,VaR,,VaRRAROC(RiskAdjustedReturnonCapital)RAROCRAROC70RAROC:1,RAROC12%,99%,10%2133,21333011231=2800,,RAROC10/28=36%[2]10RAROC,,,,VaR,RAROCVaR:RAROC=VaR,,,,,,,RAROCRAROC,,RAROC,,,VaR,RAROC,,,,RAROC,,,,[3][4]RAROC(),,60%;80%;;,,,,,,,,,,,,,200411,,:20051420053313,61()200525:(1),;,,;(2),;[5](3),,,,2005()RAROC()11,ri=ln(Pi/Pi-1),ri,Pi,Pi-1,EXCELSPSS,21,,VaR,VaR:VaR=P0Ct95%,C=11645,t=1,,P0200514VaR=116453P03VaR3.,0,3,,,,VaR[6]:2t=2t-1+(1-)r2t,t2,t-12rt=0195,95%,VaRt=116453P03t,20054.:RAROC=/VaR5.RAROC123(),1,,,,,RAROC,,,,,12005r010009687701000899060100080143123VaR010125763901011081340101291652231RAROC010770301101081132730106204668714:VaRRAROC213,:,,,22005r010008597401000975230100084531213VaR010148615401010987910100816180123RAROC010578499901088754510110356866321,,?,33,,,,,,,32005r010009687601000899060100080143010008597401000975230100084531236415VaR010125763901011081340101291652010148615401010987910100816180342156RAROC010770301101081132730106204668010578499901088754510110356866435621,VaR:,;,VaR,;,,,VaRRAROC,,81()200525,,,,,,;,,,,,;109%,,1012%,,,,;,[7],,,,RAROC,,VaR,,:[1][].VAR:[M].:,2000.21-22.[2].[M].:,2001.[3],,.[J].,2002,(2).[4],.[J].,2000,(12).[5],.[J].,2001,(9).[6].[J].,2001,(9).[7],,.[J].,2002,(6).:EvaluationofthePerformanceofOpen-endedFundsBasedonRAROCHUANGWen2di(DepartmentofEconomicManagement,HuizhouUniversity,Huizhou516007,GuangdongChina)Abstract:Theopen2endedfundsinourstockmarkethavedevelopedinrecentyears.Itpsimportanttoevaluatetheperformanceofopen2endedfunds.Agoodmethodofevaluationwillnotonlyhelptheinvestorstomakethechoice,butalsoencouragethefundsmanagerstopromotethemanagement.AnewmethodRARoconVaRcanevalulatetheperformanceofopen-endedfundsmoreexactlyandmoreroundly.Keywords:open2endedfunds;fundperformance;risk;VaR;RAROC914:VaRRAROC