Study On Performance Evaluation Of Investment Funds Based On VaR-sharpe Model

According to the definition of quantitative investment fund,this paper makes dec ision of investment and management of investment as the classification's basis throug h the calculation of quantitative model,and draws on the classification standard of Wi nd database,dividing investment fund into two categories which include quantitative investment fund and traditional investment fund.With the development of China's financial market and information technology,quantitative investment funds began to emerge.As a new thing in the financial market,quantitative investment funds have great potential for development and investment.However,from the perspective of its actual operation,the development of domestic quantitative investment funds still in its infancy;from the relevant research,although many scholars and investment institutions have invested in the research of quantitative investment funds,the current research on fund performance is still insufficient.In-depth,most of them stay at the level of theoretical research,lack of empirical research on quantitative performance evaluation of investment funds and comparison with traditional investment funds;from the perspective of fund performance evaluation's methods,three major methods of fund performance evaluation which are traditional still have limitations,the performance evaluation system of investment funds needs to be improved;at the same time,for investors,due to inadequate reference indicators for investment and risk control,it is difficult to select investment funds that is suitable for them in traditional investment funds and quantitative investment funds,resulting in blind investment or too cautious to invest,to a large extent,causing losses to investors.Based on this,this paper combines the three theories that are efficiency market theory,portfolio theory and capital asset pricing theory.Firstly,reviewing the traditional methods of fund performance evaluation such as Sharp Index,Treynor Index and Jensen Index and fully analyzing the advantages and limitations of traditional fund evaluation methods.On the basis of the traditional Sharp Index,the VaR index is used to replace the standard deviation to describe the fund's risk,and a Sharp model based on VaR index(hereinafter referred to as VaR-Sharpe model)is constructed to make up for the insufficiency of the traditional fund performance evaluation method.Secondly,this paper uses VaR-Sharpe model to empirically analyze the performance of 40 domestic funds to compare and analyse quantitative investment funds with traditional investment funds from the perspectives of fund returns,risks and performances.Finally,this paper uses Kupiec's POF Tests to verify the scientificalness of the model results and the accuracy of the analyses results,and combined with the results of the model analyses to propose countermeasures and suggestions to help fund managers to better improve fund performance.It also facilitates investors to better understand the investment objects and make comparisons and choices between funds.In summary,the research's value and practical significance of this paper are mainly as follows:(1)For the fund manager,the analyses of the related indicators and the VaR-Sharpe model that is constructed in this paper which can help investors more clear about the risks faced by the fund.It has a positive effect on the improvement of the fund evaluation's scientificalness and effectiveness and the optimization of investment fund management strategies.(2)For investors,the VaR-Sharpe model and related indicators that are proposed in this paper help small and medium investors to identify the types of funds that they need and improve the correctness of investor fund selection,which can increase its “security” in the short-term market volatility,thereby increasing its probability of obtaining excess returns.(3)For fund supervision related departments,fund performance evaluation through VaR-Sharpe model can provide relevant information and reference data for these departments to more objectively understand the actual situation of financial companies.It also has important practical significance for regulating competition among fund managers and promoting the stability of the national financial industry and sustainable development.The main conclusions of this paper are as follows:(1)Traditional investment funds mainly rely on the subjective judgment of managers,while quantitative investment funds mainly rely on quantitative statistical analysis methods such as quantitative stock selection and quantitative timing.Therefore,quantitative investment funds are used in investment's strategies.There is an essential difference between it and traditional investment funds.(2)Through the return test(Kupiec's POF Tests),it is found that VaR can measure the fund's risk more accurately than the standard deviation,so the VaR-Sharpe model can measure the fund performance more scientifically than the traditional Sharp index;Compared with the traditional fund performance evaluation index,the VaR indicator can better characterize the risk of the investment fund,so the VaR-Sharpe model is more suitable used to evaluate the performance of the quantitative investment fund.(3)Both the return rate and risk of the quantitative investment fund are higher than the traditional investment fund,while the VaR-Sharpe model of the traditional investment fund is generally better than the quantitative investment fund,indicating that the Chinese market is still in a weak effective market.Quantitative model maturity is insufficient,and the quantitative investment fund yield is higher but faces greater risks,which leads to the current performance of traditional investment funds is temporarily better than quantitative investment funds.(4)For investors,traditional investment funds are more suitable for risk-averse investors because of their lower risk and better performance than quantitative investment funds,and quantitative investment funds are more suitable for risk-appropriate investment.