Risk Measurement and Performance Evaluation of Equity Funds Based on ARMA-GARCH Family Model

• 作者: Duancui Yang Guoqiang Tang Jianwen Zhang Jingling Yang
• 来源期刊: 统计学期刊(英文)
• 学科: 经济
• 关键词: EQUITY FUNDS ARMA-GARCH FAMILY PM CVaR-RAROC
• 年，卷（期）: 2020,（2）
• 页码范围: 325-340
• 页数: 16页
• 分类号: F83

摘要

There are few comprehensive studies on risk measurement and performance evaluation of stock funds in China. This paper uses the ARMA-GARCH family model to analyze the volatility characteristics of equity funds under the t-distribution and Generalized error distribution (GED), and combines CVaR, PM (Second revised sharp ratio) and CVaR-RAROC (Revised RAROC) to comprehensively evaluate equity funds risk and performance. The empirical analysis of five equity funds in China from October 28, 2010 to May 17, 2019 shows that: Comprehensive evaluation of the risk and performance of equity funds can comprehensively and effectively examine the risks and returns of equity funds, helping investors, financial institutions and regulatory agencies to more fully understand the risks and performance of equity funds.