TITLE:
Risk Measurement and Performance Evaluation of Equity Funds Based on ARMA-GARCH Family Model
AUTHORS:
Jingling Yang, Guoqiang Tang, Duancui Yang, Jianwen Zhang
KEYWORDS:
Equity Funds, ARMA-GARCH Family, PM, CVaR-RAROC
JOURNAL NAME:
Open Journal of Statistics,
Vol.10 No.2,
April
29,
2020
ABSTRACT: 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.