【摘要】 针对标准差衡量风险中的缺陷,本文考虑下方风险和收益波动的时变性,对计算Shapre值时的风险测度进行了调整。实证部分,应用传统的Sharpe比率、基于VaR的Sharpe比例和基于条件VaR的条件Sharpe值对中国证券市场上运作满3年的33只封闭式基金在2001-2003年间的业绩进行了检验,分析了基金控制风险和实现收益水平上的差异。更多还原

【Abstract】 Since there is some limitation for standard error to measure risk, we adjust the way of evaluating risk when applying Sharpe ratio, considering the downside risk and timing-varying of return volatility. Performance data of thirty-three closed-end funds from 2001 to 2003 period are empirically tested using traditional Sharpe ratio, Sharpe ratio adjusted by VaR and conditional Sharpe ratio adjusted by VaR to analyze the difference of funds in controlling risk and realizing return.更多还原