The Research On Performance Valuation Of Sunshine Investment Fund Based On VAR

Introduced in the year of 2004, Sunshine private funds which is issued based on trust platform, is a kind of formal, legalized private funds. For the funds has developed for a short time and the information disclosure is not perfect, previous scholars mainly focus on performance evaluation of public funds. According to the modern investment theory, the key of fund performance evaluation is to measure the value it can create and the risk it can take. Furthermore, it is essential to use proper way to weigh the risk it can take. Standard deviation or Beta is commonly adopted in measuring risks, which, however, can be applied on the condition that they can meet strict assumptions. Instead, there’s too much uncertainty in the daily practice, and a more practical risk measurement is in need.It is no doubt that it is of practical value to introduce VAR into the risk measurement and performance evaluation of the fund. Using the mathematical model and empirical analysis and other research methods, the paper selects a reasonable and practical evaluation indexes of sunshine private fund based on VAR, probes into the common calculation methods of VAR. and finally constructs the model GARCH (1,1) applicable to describe the value at risk of the sunshine private fund combined with the distribution of return series of Sunshine private fund in our country. Then, based on the construction principle of performance evaluation index of fund, this paper introduces RAROC-Risk -Adjusted Return of Capita as the index of performance evaluation and compares it with the traditional index. For empirical analysis, it is based on the VAR risk measurement model, and then applies RAROX and SHARPE index to analyze and rank the performance of those 16 sample fund. At last, nonparametric methodology is used to consistency checking of the rank.In sum, the result is that:The weekly return series in 5 years have the problems of dextrally, high kurtosis and heavy tail which do not conform to the normal distribution. This paper sets up the two models, GARCH-N and GARCH-T to observe the weekly VAR value, assuming the residual of the weekly return series follows n-distribution and t-distribution. In it GRACH-N is better than GRACH-t. Although the weekly return series don’t conform to the normal distribution, but its residual distribution follows it, so GRACH-n is more suitable to describe the volatility of weekly return series. Investors pay more attention to downside risk, so VAR based RAROC index has more obvious application advantages than Sharpe. Real market return volatility is actually asymmetry, while standard deviation fails to distinguish the upside risk from the downside risk, so the classical Sharpe may not reflect the real risk of the fund loss, and leads to performance evaluation results distortion. However, what RAROC considers is the downside risk investors really care about, so it can do well in solving this problem. There is no continuity in the risk-adjusted return series and so does the rising, volatility and decline stage of market.