基于VaR和ES调整的Sharpe比率及在基金评价中的实证研究

传统Sharpe比率将投资收益的标准差作为风险的度量,而实证研究中更关注基金的损失风险而非全部风险,这是收益标准差所无法准确刻画的。针对传统Sharpe比率的这一缺点,本文考虑了用于度量下方风险的指标风险价值VaR(Value at Risk)和预期不足ES(Expected Shortfall)来替代投资收益的标准差,从而对传统Sharpe比率进行了调整。这里对VaR和ES进行计算时,运用了经验非参数估计和非参数平滑核估计两种方法。此外,本文还考虑了基金收益随时间波动的动态性,用广义自回归异方差GARCH模型对收益波动进行模拟,考察动态的VaR和ES,在实践中以动态的VaR和ES评价风险收益更加灵活。在实证研究中,本文用传统的Sharpe比率、基于VaR和ES的Sharpe比率以及基于条件VaR和条件ES的条件Sharpe比率对国内证券市场上所有26只封闭式基金在2005-2009年间的业绩进行了实证分析,分析了基金在不同指标下所体现的风险控制能力和收益水平的差别,并基于不同指标对所有基金进行了排名。此外,本文还运用协整检验考察基金收益率与市场基准指数是否存在联动关系,检验证明两者并不存在长期的均衡关系。

Adjusting Sharpe Ratio by VaR or ES and Its Appliacation in Fund Performance

Sharpe ratio,the extra yield adjusted by investment risk,is one of the most popular fund performance evaluation indexes in fiannce.Traditional Sharpe ratio takes investment standard deviation as the risk measure,however,it is more interested to focus on the downside risk instead of whole investment risk.So standard deviation is no longer appropriate.We adjust the way of evaluating risk by VaR (Value at Risk)and ES(Expected Shortfall)with empirical nonparametric and nonparametric smooth kernel estimating method.Besides,we also consider the time-varying of return volatility and simulated the volatility by GARCH model,then we get time-varying VaR and ES that are more appealing and powerful in evaluating the performance of funds.In the empirical studies,five indexes of traditional Sharp ratio,Sharpe ratio adjusted by VaR(and ES)and dynamic Sharpe ratio adjusted by time-varying VaR(and time-varying ES)are employed to analyze the risk and return of all close-end funds in China from 2005 to 2009.Besides,cointegration test shows that there is no long-term dependence between funds yields and benchmark yields.