A Study On The Performance Measurement Of Private Securities Investment Fund With The Modified Sharpe Ratio

With the adjustment of economic structure and the increasing demand of residents’ wealth management,the private securities investment fund has become an indispensable market investment force in the era of comprehensive asset management.Ordinary investors often make corresponding investment based on the fund’s past performance.Fund performance ranking gives an evaluation of the past fund performance,but has it provided a reference value for investors? That is,if investors invest in these high-yield private securities investment funds in the past,whether it can get a higher rate of return in the future? In order to answer these questions,we need to build a reasonable and scientific private securities investment performance evaluation index and then test the performance of the fund.At present,there are many research results on the performance evaluation of public funds while there are few theoretical research results on the performance evaluation of private securities funds.Therefore,this paper mainly studied in two aspects.On the one hand,firstly uses the generalized autoregressive conditional heteroskedasticity model based on the generalized error distribution to calculate the VaR and ES,then use them instead of standard deviation in the standard Sharpe ratio,and then get the modified Sharpe ratio as a fund performance evaluation.On the other hand,firstly this paper divides the performance evaluation of private securities funds into two time periods: sorting and testing,then using Spearman’s correlation test and descriptive statistics test respectively to examines the validity of the modified Sharpe ratio proposed in this paper.This paper set the fund sorting period is three years(2013-2015,2014-2016)and the test period for 2016 and first half of 2017 respectively.Taking into account the fact that investors are more concerned about the trend of future rate of returns of funds,this paper choose the rate of return,traditional Sharpe ratio,VaR-based Sharpe ratio and ES-based Sharpe ratio as the fund performance evaluation index in sorting period and unified the fund’s real rate of return in the test period.The empirical results are shown below.Firstly,the VaR and ES calculated by GARCH(1,1)under the GED distribution have passed the tests of LR statistic and LE statistic at 5% significance level respectively.It shows that VaR and ES measures the risk of private securities investment fund better,and ES can measure the extreme risk more accurately when VaR expires;Secondly,the Speraman correlation test results show that the performance of the private securities by the modified Sharpe ratio based on VaR and the modified Sharpe ratio based on the ES has a certain performance continuity;Thirdly,the results of statistical tests show that the Sharpe ratio,which is based on ES,is better than the rate of return,the traditional Sharpe ratio and the modified Sharpe ratio based on VaR,in forcasting its future rate of return.Overall,the modified Sharpe ratio based on the ES constructed in this paper has good reference value for investors.The possible innovations in this paper lie mainly in three aspects: Firstly,this study paper is a useful supplement to the research on the performance evaluation of private securities funds.Secondly,the VaR and ES are more reasonable than the standard deviation in measuring the risk of private securities investment fund.In this paper,the GARCH(1,1)model based on the GED distribution is used to measure the risk of Va R and to make up for the lack of the traditional Sharpe ratio.Thirdly,this paper examines the effectiveness of the performance evaluation index of private securities investment funds with Spearman correlation test and descriptive statistics test.It is proved that the modified Sharpe ratio based on the ES constructed in this paper has better effectiveness.