Evaluation of Chinese money funds´ performance

This paper evaluates the performance of nineteen sample funds for the period from 2007 to 2011 using three indices for measurement. Generally, Sharpe Index is the best measurement to evaluate the Chinese funds performance, but it still has some limitations while the averages of returns are not normally distributed. In order to solve this problem, we modified the traditional Sharpe Index into the Sharpe Index modified with VaR method. Furthermore, we also applied Cornish-Fisher expansion into VaR calculation to get better results. In order to assess whether the VaR methods used to evaluate the funds performance are reliable or not, we also conducted the back test. The back test used to assess the accuracy of VaR model modified with Cornish-Fisher expansion approach is the back test using the Traffic Light method and Kupiec´s method, and the result of back testing reveals that the VaR model modified with Cornish-Fisher expansion approach could generate accurate risk estimation to the majority of sample funds. After analyzing the data collected, this paper observes that the most outstanding fund from nineteen samples of Chinese money funds according to adjusted Sharpe Index with VaR method is the Da Mo Hua Xin Huo Bi fund.