Based On The Revised Sharpe Ratio And Evaluated The Performance Of UBS Silver Futures

The futures investment fund is an investment tool to invest in the futures market.Its operating mechanism is similar to that of the securities investment fund,which can provide more investment options for investors.However,there are a large number of private futures investment funds in the market of China,there is only one flund for the public futures investment fund for small and medium investors-the silver futures of UBS.The performance evaluation of the fund is beneficial to the analysis of the initial state of the futures investment fund entering the market,and providing some experience for the future investment fund of the futures market.This paper selects two branches of the three types,which are mixed,stock and stock index,each of which is early in issue,and one of the funds for the same period with the silver futures of UBS and UBS,to evaluate the performance of the fund.The main work of this article is as follows:First,I study the current situation of futures investment funds,select the appropriate evaluation model-Sharpe ratio,and modify the Sharpe ratio.The basic theories of EGARCH model,VaR model and Sharpe ratio need to be used.Secondly,I use EGARCH model to build a dynamic VaR model.Calculate the absolute VaR value to measure the risk of the fund.The dynamic VaR is substituted by the Sharpe ratio model to replace the standard deviation,and the Sharpe ratio is dynamically revised.The modified dynamic Sharpe ratio,the average dynamic Sharpe ratio and the N daily average dynamic Sharpe ratio are used to evaluate the performance of the fund,to observe the change trend,and to analyze the contrast performance of the fund by comparing the outstanding days and ratios of the fund to calculate the excellent probability and increase the persuasiveness.Third,we select the data of each fund for two years,and make a descriptive statistics on the logarithmic return sequence.The form is a peak and thick tail,so the assumption obeys the generalized error distribution(GED)to establish the EGARCH model.The dynamic VaR ratio,the average dynamic Sharpe ratio and the average dynamic Sharpe ratio of N are calculated by the dynamic EGARCH-GED model,and the performance evaluation is carried out.It is found that the risk of the silver futures of UBS is smaller than that of the six funds,which is less influenced by the stock market following the change of the futures market.It is a futures market fund suitable for small and medium investors to invest their assets in different markets and thus diversify risks.