Research On Measuring The Leverage Fund Performance By Using The Bootstrap Model

The first leverage funds was established in our country since 2007,which had rapid development. Because of the differences of risk-return and leverage between new fund and original fund, it created a series of financial products for different groups which have different risks and leverage. Trading price which A and B shares of leverage Fund in the secondary market has great deviation to its average net worth, in the background which A-share market speculation atmosphere is still strong, leverage Funds’ shares discount trading is the norm.Leverage mechanism determines its asymmetry,high peak and fat tail, and because the leverage funds in our country exist shortly, less so the sample data, this paper researched performance of leverage funds from the perspective of risks and benefits based on Bootstrap, so that analyzing how fund shares dscount affect the performance.And it will influence either theory study or practice extremely importantly.Firstly, this paper study selected sample the from from the perspective of risks and benefits of leverage funds, and at the same time,the sample interval was divided into before and after fund shares dscount, to discuss the change respectively.Secondly, so that requiring income index this paper calculated rate of return of the sample after choosing empirical sample period.Meanwhile, it made descriptive statistical analysis to get basic statistical characteristics. And it showed that the sample data had features which were fat tail, and did not meet the normal distribution,had the presence of autocorrelation and conditional heteroskedasticity.So this paper was appropriate to selecte GARCH model modified by Bootstrap to calculate risk index.Thirdly, this paper constructed risks index associated with leverage funds performance evaluation. And this paper improved the GARCH model by using different distribution methods and Bootstrap model to solve its problems,and it constructed a new mixed risk measuring model of Bootstrap-EGARCH-GED to calculate the Va R of leverage funds, and it chose failure probability test to posterior testify and evaluate Va R efficiency by analysizing the extent of coverage of actual losses. The empirical results showed that risk index calculated by the mixed model was more accurate than the traditional model.Finally, this paper improved the traditional DEA model by using Bootstrap model to solve its problems,and it chose the Va R of leverage funds calculated by Bootstrap-EGARCH-GED mixed model as the input index of Bootstrap-DEA, the total assets of the Fund, NAV, fund expenses as the non-risk input index, income as the output index,to evaluate the performance of the parent funds and the sub-funds before and after the shares discount.And this paper studied how the shares discount affected the performance by comparing the differences between the parent funds and the sub-fund, the differences between A share and B share before and after shares discount,and it chose different sampling frequency to rectify a deviation of the empirical results, and chose projection theory to improve the relative inefficient leverage funds.The empirical results showed that Bootstrap-DEA model was more accurate, robust, and the efficiency had decreased after the shares discount.Lever mechanism is the core of the leverage funds, studying the performance of leverage funds can provide reference for investors to select scientific and rationalleverage funds, and also can help funds managers identify problems and resolve as soon as possible,in order to enhance fund performance.