Revised Sharpe Index for the Performance Evaluation of Securities Investment Funds
修正的Sharpe 指数及其在基金业绩评价中的应用

With the continuously establishment of new fund management corporations and the extension of fund issuance scale,the securities investment funds have exceeded the asset size of the security companies,insurers and privately offered funds and become the biggest and the most influential institutional investors in the Chinese domestic capital market.So it is more and more important to analyze and evaluate properly performance and risk of the funds.At present,Sharpe index is one of the most popular performance evaluation indexes.However,the traditional Sharpe index assumes that the yield rate sequence of portfolio obeys normal distribution and can't capture any skewness and heavy tail.So we use the asymmetric Laplace(AL) distribution to fit the yield rate sequence.One advantage of the asymmetric Laplace distribution is able to capture the skewness,kurtosis and heavy tail.Based on the standard deviation and VaR of asymmetric Laplace distribution,a modified Sharpe index is proposed.With an empirical analysis on the open-end fund data,we find the revised Sharpe index is valid.