風險值的應用與台灣共同基金績效指標之持續性

The Application of Value-at-Risk and the Persistence of Performance Indicators on Taiwan Mutual Funds

王佳眞(Jai-Jen Wang) ； 徐辜元宏(Yuan-Hong Hsu Ku)

《臺大管理論叢》 14卷2期 (2003/12) Pp. 23-47

https://doi.org/10.6226/NTURM2003.14.2.23

摘要

本文介紹與風險值有關的PET指標群意義，希望能夠提供管理者更為廣泛的績效分析觀點。其次，由18支「長壽型」股票型基金的PET指標值與投資期長關係圖，我們發現部分指標似乎呈現出一種績效排名的穩定性，這種持續特性一旦成立，歷史績效的評比結果就不僅僅是基金經理人歷史表現的天秤，也會成為投資者選擇未來標的基金之重要依據。因此本文計算與觀察台灣171支基金之14種績效指標值，並且發現了一些可供投資人在選用指標時的參考資訊。

關鍵字

風險值 ； 績效評估三角形 ； 擇時類 ； 擇股類指標

並列摘要

In order to elaborate different dimensions of mutual fund performance, this study details the concepts of PET associated with VaR in depth with 18 ”long-lived” stock funds. In addition, we find some persistent pattern as ranking the 18 funds’ performances. Because such persistence may connect with predicting effectiveness, we empirically test 14 indicators under various investing horizons and 3 VaR confidence levels by 3 correlation coefficients within 171 Taiwan mutual funds. And we find that the characteristics of persistence do exist, while they are mixed and complicated by different types of mutual funds. These findings may help investors on their fund investing decision making.

並列關鍵字

Value at Risk VaR ； Performance Evaluation Triangle PET ； Treynor & Mazuy Indicators ； Chang & Lewellen Indicators ； Henriksson Indicators