Measurement And Positive Study Of Funds' Risk-Adjusted Return

With the fund market developing rapidly in the last few years, it is necessary and urgent to establish corresponding fund evaluation system for guiding investors and supervising the fund institutions. As there is close relation between return and risk, the traditional index has some limitations, we should adopt the concept of risk adjustment. We do series of theoretical and positive study for finding the suitable risk measurement index. We use determining coefficient R 2 to examine the proportion of funds' system risk; significance test of regression coefficient and correlation test reveal that there is no CAPM positive linear correlation between β and return rate; CHOW test reveal the instability of β .We also analyze the descriptive statistics of return's skewness and kurtosis, find that the hypothesis of normal distribution does not exist. To avoid those limitations above, we try to find a new risk analyzing method. We introduce 3 traditional indexs, such as Sharpe index. As the limitation of β and variance affects their validity, we construct a new index, called MARE. We do the positive study of 16 open-ended funds, calculating and ranking their performance, and test the consistency of Sharpe index and MRAR.