| 基于VaR的我国证券投资基金绩效评价方法 |
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| 引用本文： | 陈鹏.基于VaR的我国证券投资基金绩效评价方法[J].价值工程,2006,25(6):113-117. |
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| 作者姓名： | 陈鹏 |
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| 作者单位： | 山东经济学院,济南,250014 |
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| 摘 要： | 证券投资基金绩效的评价,不仅要考察基金的收益率,而且还要看它所承担的风险。投资基金绩效评价传统经典方法主要有特雷诺指数法、夏普指数法、詹森指数法及T-M模型、H-M模型。基于VaR的证券投资基金绩效评价方法——RAROC,这种经风险调整后的绩效评价方法能更客观、准确地反映证券投资基金的绩效。
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| 关 键 词： | 证券投资基金 绩效评价 VaR RAROC |
| 文章编号： | 1006-4311（2006）06-0113-05 |
The Methods of Evaluating Securities Investment Funds Performance Based on VaR |
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| Chen Peng.The Methods of Evaluating Securities Investment Funds Performance Based on VaR[J].Value Engineering,2006,25(6):113-117. |
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| Authors: | Chen Peng |
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| Institution: | Shandong Institute of Economics ,Jinan 250014, China |
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| Abstract: | In order to evaluate the performance of securities investment funds performance,we should take returns and risk into consideration simultaneously.The traditional tools of evaluation include Treynor's measureSharpe ratioJensen's measure and T-MH-M models.However,Risk Adjusted Return on Capital(RAROC),the methods of evaluation based on VaR(Value at Risk),can describe the performance of securities investment funds objectively and accurately. |
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| Keywords: | VaR RAROC |
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