| With the rapid development of the fund industry,the types of fund products are becoming more and more abundant.Among them,the open-end funds have gradually become the mainstream products of fund investment.For the healthy development of the fund market,it is of great significance to conduct effective performance evaluation on open-end funds.This article first summarized the theories of fund performance evaluation at home and abroad.Then,the RAROC model evolved from the traditional Sharpe Index is introduced.At the same time,I proposed a RAROC model that use CVa R instead of Va R in this paper.The paper selected a total of 30 funds of bond funds,stocks or stock-leaning funds and hybrid funds,and conducted an empirical study on their data from January2010 to June 2017.First,the fund's yield data for the relevant test,the test results show that the yield sequence is a smooth sequence,does not obey the normal distribution,there is no autocorrelation but there is heteroscedasticity.Therefore,in the calculation of Va R and CVa R values,I used GARCH,EGARCH,PARCH models and the residual distribution of T distribution and GED distribution respectively.In order to reduce errors,when calculating Va R-RAROC and CVa R-RAROC,I used LR statistics to test the failure rate of Va R in the calculation of Va R-RAROC,and used DLC statistics to estimate the effect of CVa R,and then select each fund based on the results.By analyzing the two rankings,it is found that the performance of bond funds is superior to the other two types of funds,while the performance of hybrid funds is better than the stock or stock-leaning funds.In the comparison of the two rankings,most fund rankings have changed because Va R-RAROC did not consider the left-tail risk when Va R failed,while CVa R-RAROC considered the loss when Va R failed,which is more in line with the actual situation,CVa R-RAROC can be a better indicator for investors,fund management companies and relevant regulatory authorities. |
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