The Research On Risk Measurement And Performance Evaluation Of Internet Money Market Fund Based On VaR

The year of 2013 is the first year of the Internet financial.In this year Alipay takes the lead in cooperating with Tianhong Asset Management Co.,Ltd, and scatters idle funds of the users together to buy money market fund. This innovative behavior has attracted a large number of investors, and the number of users and the size of the fund in the platform of Alipay show a linear increase in 2013.And its cumulative annualized rate of return has reached the bank demand deposit interest rate of more than a dozen times. Under the stimulus of this many Internet companies achieve cross-border cooperation with the fund company,such as Jiashi Current Monetary Fund, Huaxia Wealth Monetary Fund,Guangfatiantianhong Monetary Fund,NetEase Monetary Fund and Jingdongxiaojinku Monetary Fund. They scatters idle funds of the users together to increase value in financing.This breaks the traditional monopoly of commercial banks in the financial sector on a wide range of business.And it is creating a new era of Internet money market fund.After the hot and fast growth of Internet money market fund, the products of monetary fund with Internet will enlarge the risk,and whether the performance of Internet monetary fund is as good as people expect,these problems are worthy of our in-depth study and discussion.In view of this, this article introduces the method of VaR risk measurement, on the basis of comparing with the analysis of traditional monetary fund,and measures the risk of the Internet monetary fund and introduces risk factors into the performance evaluation.This article selects seven kinds of Internet monetary funds linked to the third party payment platform, and seven kinds of traditional monetary funds, to analyze the features of their yield sequence. In the selection of the calculational method of VaR, according to the characteristics of the different funds yield sequence respectively establish GARCH,TGARCH and EGARCH model based on the normal distribution, t distribution and generalized error distribution.on this basis, according to the distribution of the optimal GARCH models to calculate the VaR value.The results show that the VaR value of the seven Internet monetary funds is smaller than traditional monetary fund and lower risk relatively.On this basis, according to the results of the VaR risk measurement, this paperconstructs two evaluation indexes based on VaR:the RAROC index and fixed the sharpe index, combining the three classical evaluation indexes with risk adjustment and average rate of return index, evaluate the performance of Internet monetary fund comprehenly.The results show that the average return of the Internet monetary fund is higher than traditional monetary funds, in considering the risk-adjusted performance indicators their performance are also better than traditional monetary fund, and present the characteristics of high yield low risk. And although Tianhong Monetary Fund is the pioneer of Internet money funds,but its performance in the last two year is not very good,but Guangfatianitanhong Monetary Fund shows the best performance of stably high return and low risk characteristics in the evaluation. In the traditional monetary funds, based on the different evaluation index the single monetary fund performs differently.Xingquan Monetary Fund performs best under three classical indicators and its total risk and systemic risk is lower,so the fund ranked in the front of the traditional monetary funds. But its VaR value is big,so it ranks in the back under the two evaluation indexes based on the VaR adjustment, and the performance of Guangfa Monetary Fund is just opposite.