Net asset value of fund units = (total assets-total liabilities)/total number of fund units
Cumulative net value of the fund: refers to the sum of the latest net value of the fund and the dividend performance since its establishment, which reflects the cumulative income since the establishment of the fund (minus the face value of one yuan as the actual income), and can more intuitively and comprehensively reflect the historical performance of the fund during its operation. Combined with the operation time of the fund, it can more accurately reflect the real performance level of the fund. Generally speaking, the higher the cumulative net value, the better the fund performance. The latest net value should mainly provide a real-time transaction price reference. When choosing a fund, investors should not only look at the latest net value, but also avoid "greedy and cheap". Dividends can reflect the fund's profitability to a certain extent, but mainly reflect the fund's income realization ability. Dividend performance can actually be reflected by accumulated net worth. Therefore, from the perspective of investor fund performance comparison, the accumulated net value of the fund should be a more important indicator than the latest net value and dividends.
The quality of a fund can't be simply judged by unit net value, accumulated net value, growth value and growth rate!
It should be seen from the income and risk coefficient together!
Risk coefficient is an index to evaluate fund risk, which is usually expressed by three items: standard deviation, beta coefficient and Sharp index. Beginners only need to master the following principles: the smaller the "standard deviation", the smaller the fluctuation risk (because the standard deviation is an index to measure the fluctuation degree of fund return); The "beta coefficient" is less than 1, and the risk is smaller (because the beta coefficient is an index to measure the sensitivity of fund return and relative index return, for example, the beta coefficient of the whole market is 1, and if the net value of the fund fluctuates more than 1, the risk of fund fluctuation is higher than that of the whole market); The higher the "Sharp Index", the better (because the Sharp Index is an indicator to measure the extra return per unit risk of the fund. The higher the index, the higher the return of the fund after considering risk factors, and the more favorable it is for investors.
Standard deviation, also known as fluctuation range, refers to the deviation between the weekly (or monthly) return rate of the fund and the average weekly (or monthly) return rate in the past period. The greater the fluctuation of fund weekly income, the greater the standard deviation. For example, the weekly return rate of Fund A in the past 52 weeks is 1%, so its standard deviation is 0. The weekly return rate of fund B is constantly changing, 5% one week, 25% the next week and -7% the next week, so the standard deviation of fund B is greater than that of fund A. If fund C loses 1% every week, its standard deviation is also 0.
The standard deviation of a single fund itself cannot show its risk level, so investors should compare the standard deviation of the fund with similar funds or performance evaluation benchmarks. If the standard deviation of a fund is 25%, is the fluctuation level high or low? If the standard deviation of other similar funds is mostly 20%, then the fluctuation level of 25% is relatively high. For another example, you can find that the returns of the two funds are similar, but the fluctuation level is obviously different. It is important for people who don't like fluctuations to understand this. After all, not everyone is suitable for taking an express train.
"Beta coefficient" is a statistical concept, a numerical value between+1 and-1, which reflects the performance of an investment object relative to the broader market. The greater its absolute value, the greater the change of its income relative to the broader market; The smaller the absolute value, the smaller the change range relative to the market. If it is negative, it means that the direction of change is opposite to that of the broader market: if the broader market goes up, it will fall, and if the broader market falls, it will rise. Because the purpose of investing in investment funds is to obtain financial services from experts, so as to obtain better performance in the market than passive investment, this index can be used as an index to examine the ability of fund managers to reduce the risk of investment fluctuation.
When calculating the beta coefficient, besides the performance data of the fund, it also needs to be used as an indicator to reflect the market performance.
β coefficient application:
Beta coefficient reflects the sensitivity of individual stocks to market (or broader market) changes, that is, the correlation between individual stocks and broader market or "stock" in popular parlance. Securities with different beta coefficients can be selected according to the market trend forecast to obtain additional income, which is especially suitable for band operation. When a big bull market or a non-rising stage of the market is predicted with confidence, you should choose those securities with high beta coefficient, which will multiply the market yield and bring you high returns. On the contrary, when a bear market comes or a certain decline stage of the market comes, you should adjust your investment structure and choose those securities with low beta coefficient to resist market risks and avoid losses. In order to avoid non-systematic risks, we can choose those securities with the same or similar beta coefficient for portfolio under the corresponding market trend. For example, the beta coefficient of a stock is 1.3, which means that when the market rises 1%, it may rise by 65433. But if the beta coefficient of a stock is-1.3%, it means that when the market rises 1%, it may fall 1.3%. Similarly, if the market falls by 1%, it may rise by 1.3%.
The higher net growth rate of the fund may be obtained under the condition of taking higher risks, so it is not comprehensive to evaluate the performance of the fund only according to the net growth rate. The performance, income and risk of the fund should be considered, and Sharp ratio is an index that can consider both income and risk. Sharp ratio, also known as Sharp index, is the Nobel Prize winner William? 6? 1 sharp was first put forward in 1966, and now it has become the most commonly used standardized index to measure fund performance in the world.
Calculation of Sharp Ratio and Its Significance
The calculation of Sharp ratio is very simple. The Sharp ratio of the fund can be obtained by subtracting the risk-free interest rate from the average value of the fund's net growth rate and then dividing it by the standard deviation of the fund's net growth rate. It reflects the extent to which the net growth rate of unit venture fund exceeds the risk-free rate of return. If the Sharp ratio is positive, it means that the average net growth rate of the fund during the measurement period exceeds the risk-free interest rate. In the case that the interest rate of bank deposits in the same period is risk-free interest rate, it means that investment funds are superior to bank deposits. The greater the Sharp ratio, the higher the risk return of fund unit risk.
The theoretical basis of ranking fund performance with Sharp ratio is that investors can borrow at risk-free interest rate, so that under the same risk, funds with high Sharp ratio can always get higher investment income than funds with low Sharp ratio by determining appropriate financing ratio. For example, if there are two funds A and B, the average annual net growth rate of Fund A is 20%, the standard deviation is 10%, the average annual net growth rate of Fund B is 15%, the standard deviation is 5%, and the average annual risk-free interest rate is 5%, then the Sharp ratios of Fund A and Fund B are 1.5 and 2, respectively. If the same amount of capital is invested in B (the financing ratio is 1: 1), then the standard deviation of B will be expanded by 1 times, reaching the same level as A, but at this time, the net growth rate of B is equal to 25% (that is, 2 # 15%). More commonly used are monthly Sharp ratio and annual Sharp ratio.
Measuring the Performance of China Fund with Sharp Ratio
The sharp ratio is generally calculated by the net growth rate of 36 months and the short-term treasury bond interest rate of 3 months internationally. However, because China's securities investment funds only publish their net value once a week, the development history is short, and only a few funds have 36 months' net value data, so in the calculation of Sharp ratio, we take the latest monthly net value growth rate of 12 months as the calculation basis. In addition, because China has not yet issued short-term government bonds, the 28-day bond repurchase rate of Shanghai Stock Exchange is adopted in the choice of risk-free rate of return.
Here we have calculated the Sharp ratio of 30 funds from 20001October 27th to 20061October 26th, 5438+0, 10 (see attached table). It is found that the monthly Sharp ratio of all funds is negative, indicating that the investment performance of funds is not as good as that of government bond repurchase. When the Sharp ratio is negative, sorting by size is meaningless.
The average monthly net growth rate of the fund is an absolute index to measure the performance of the fund. Judging from this indicator, the fund Xinghua, the fund Tongzhi and the fund Xinghe are the best, while the fund Jinghong, the fund open source and the fund Hanxing are the worst. It can be seen that except for the monthly average net growth rate of Xinghua Fund and Tongzhi Fund, the monthly average net growth rate of the other 28 funds is negative, indicating that the overall investment performance of the funds is not satisfactory.
Taking the standard deviation as a measure of fund risk, the net value volatility of fund Yuhua, fund Tongzhi and fund Xinghe is the lowest and the risk is the smallest, while the net value volatility of fund Jinyuan, fund Taihe and fund open source is the highest and the risk is the greatest.
The spearman rank correlation coefficient between the monthly average net growth rate and the standard deviation of 30 funds is -0.54, which shows that the return of funds has a strong negative correlation with risk, that is, the greater the risk, the lower the net growth rate of funds. This relationship is contrary to the normal risk-return relationship, which shows that China's securities investment funds are not an effective portfolio on average, and the portfolio efficiency is poor.
Problems needing attention in the application of Sharp ratio
Although the calculation of Sharp ratio is very simple, it is still necessary to pay attention to the applicability of Sharp ratio in specific applications: 1, the standard deviation risk adjustment of returns, and its implicit assumption is that the portfolio under investigation constitutes all the investments of investors. Therefore, the Sharp ratio can only be used as an important basis for considering buying a certain fund among many funds. 2. It is also considered inappropriate to use standard deviation as a risk indicator. 3. The effectiveness of Sharp ratio also depends on the assumption that you can borrow at the same risk-free interest rate; 4. Sharp ratio has no benchmark, so its size itself is meaningless, and it is only valuable when compared with other combinations; 5. Sharp ratio is linear, but on the effective frontier, the conversion between risk and return is not linear. Therefore, the Sharp Index is biased in measuring the performance of funds with large standard deviation; 6. Sharp ratio does not consider the correlation between combinations, so there is a big problem in constructing combinations simply according to Sharp value; 7. Sharp ratio, like many other indicators, measures the historical performance of the fund, so it is impossible to simply conduct future operations based on the historical performance of the fund. 8. In calculation, there is another stability problem of Sharp Index: the calculation result of Sharp Index is related to the choice of time span and time interval of income calculation.
Although there are many limitations and problems mentioned above, Sharp ratio has been widely used in practice because of its simple calculation and no need for too many assumptions.
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