總體壓力測試量化寬鬆退場評估臺灣債券型基金的市場風險與績效

A Macro Stress Test of the Impact of Ending QE On the Market Risk and Performance of Taiwan’s Bond Mutual Fund

吳子祥(Zi-Xiang Wu)

指導教授 ： 馮立功

國立中正大學/管理學院/經濟系國際經濟研究所/碩士(2015年)

摘要

本研究的主要目的是透過臺灣金融變數對美國量化寬鬆退場的衝擊反應，對臺灣固定收益型基金進行總體壓力測試，實證方法上採用向量誤差修正模型以檢視美國量化寬鬆退場對臺灣金融變數的影響，另一方面，以資產訂價模型建立以基金淨值做為市場風險因子而以臺灣公債指數做為驅動風險因子引擎。

本研究以四種不同的方法計算風險值並加以驗證，四種方法分別為Delta-Normal法、歷史模擬法、移動窗口法及蒙地卡羅模擬法等四種方法計算之，而風險值的計算主要依據共同基金淨值報酬率，之後利用回溯測試法來驗證所計算出來的風險值。

在計算績效評估指標本研究採用Shape指標、Sortino指標、Information指標。其中Shape指標是最常被使用做為基金績效衡量工具。但Shape指標以標準差當作風險依據並不完全貼近真實風險，因為其同時考慮上漲與下跌的波動，惟投資人擔心的卻是價格下跌的風險，若以標準差來衡量風險值無法真實捕捉下行風險(Downside Risk)，故本研究考慮其餘兩種指標，希望能夠正確的衡量出基金的績效。

關鍵字

固定收益型基金 ； 衝擊反應 ； 市場風險 ； 績效評估

並列摘要

The main purpose of this study was to pass through Taiwan's financial variables on US quantitative easing of impulse response function, Taiwan's fixed-income funds overall stress testing, using vector error correction model on empirical methods to view the US quantitative easing of Taiwan's financial variables. On the other hand, using asset pricing model to net asset value as the market risk factor and Taiwan bond index as a risk factor driving the engine.

In this study, four different methods to calculate risk values ​​and verified, four methods were Delta-Normal method, historical simulation method, moving window method and Monte Carlo simulation method, and the risk value calculated mainly based mutual fund net rate of return, after using back-testing method to verify the calculated risk value.

In the calculation of performance in this study, we use four index such as Shape Index, Sortino index, Information indicators. Shape index which is most commonly used as fund performance measurement tools but Shape index using standard deviation be the risk is not close to the real. Because it considers the fluctuation of rise and fall, investors worried about the falling prices, terms of standard deviation to measure risk values ​​can not truly capture Downside risks. This study considers the other two indicators, hoping to correctly measure the performance of the Fund.

參考文獻

3.Beder, T,(1995),“VaR：Seductive but dangerous”Financial Analysts Journal, pp.12-24.

4.Boudoukh, Richardson, J., and Whitelaw, R.,(1997),“Investigation of a Class of Volatility Estimators ”, The Journal of Derivatives 4 ,63-71

5.Bookstaber, R(1997),“Global Risk Management: Are We Missing the Point?,” Journal of PortfolioManagement, 102–107

10.Dowd. K.,(1999),“A Value at Risk Approach to Risk-Return Analysis”, The Journal of Portfolio Management , summer, 60-67.

11.D’Vari,R., and Sosa,J.C.,(2000), “Value at Risk Estimates for BradyBond Portfolios”, The Journal of Fixed Income, Dec, 7-23