This paper used the back and forward tests to examine the value at risk (VaR) measured as downside risk to modify the Sharpe and Jensen performance indexes. The empirical results show that fund of funds has a better performance by using the Monte Carlo simulation approach. The Sharpe indexes of stock funds were in the lead. We also found that revised Sharpe Indexes of VaR had similar values comparing to the Sharpe indexes. With considering the opportunity cost, the Jensen performance indexes differed from the Sharpe indexes. In general, the results of comparison for performances of fund of funds and other mutual funds show that the performance of fund of funds had generally fell behind Taiwan stock price index.