近年來,金融市場的陸續開放,國內基金市場陸續推出許多新商品,如平衡型基金、指數股票型基金、保本基金以及組合型基金,共同基金從單一基金商品時代走向組合基金時代。因此,本研究引進損失風險的觀念,以風險值(VaR)衡量下方風險(Downside Risk),應用在Sharpe指標和Jensen指標的績效衡量上。風險值的估算方面,本研究發現組合型基金以蒙地卡羅模擬法計算較佳;而股票型基金若其報酬率呈現常態分配則以變異數-共變異數法,否則則以蒙地卡羅法計算較佳;而債券型基金則以歷史模擬法較佳。並且採用回顧測試法、向前測試法及Z檢定來驗證風險值。整體績效評估方面,在Sharpe指標群中,股票型基金的績效排名領先於其他基金,主要原因是因為其報酬率較其他基金大,產生報酬主導排名;而在修正的Sharpe指標中以Sharpe Index of VaR(V1)的排名與Sharpe指標最接近。Jensen指標納入了指標市場的機會成本,使得其績效排名異於Sharpe指標。綜觀比較組合型基金與單一基金的整體績效,我國初次發行的組合型基金績效,整體而言均落後於大盤,結果不盡滿意。
Recently, financial market policy has been changed from protective trade to free trade market by Taiwan’s Securities and Future Bureaucracy(SFB). The mutual fund consisting of Balance Fund, Exchange Trade Fund, and Principal Guarantee Fund has expanded a combination of funds, namely Fund of Funds. Using VaR(Value at Risk)to measure downside risk, this paper applied in the Sharpe index and in the Jensen performance index. In value at risk aspects, the empirical results show that fund of funds has a better performance by the Monte Carlo simulation approach. If the rate of return for Stock Fund presented the normal distribution, it required to apply the Variance-Covariance approach. Otherwise, the Monte Carlo simulation will be better. Meanwhile, this paper uses the Back test, Front test and Z-score to examine the value at risk. We found that bond fund had a better performance by using the History simulation approach. In overall appraisal aspect, the Sharpe indexes of stock funds were in the lead above other funds because of higher rate of return. We found that revised Sharpe Indexes of VaR (V1) had similar ranks comparing to the Sharpe index. The Jensen performance index has bought into line with the opportunity cost that caused its achievements place, which differed from the Sharpe index. To compare fund of funds with the sole fund, the dissatisfied results show that this initial performance of fund of funds had generally fell behind Taiwan stock price index.