組合型基金下方風險與績效評估－以修正後Sharpe和Jensen指標為証

Evaluation of the Down-Side Risk and Performance of Fund of Funds-The Study of Sharpe and Jensen Indexs of Value at Risk (VaR)

10.30104/CYMR.200706.0005

陳若暉(Jo-Hui Chen)；黃玉芳(Yu-Fang Huang)

組合型基金 ； 風險值 ； 夏普指標 ； Fund of Funds ； VaR ； Sharpe Index

中原企管評論

5卷1期（2007 / 06 / 01）

87 - 110

繁體中文

本研究以風險值(VaR)衡量下方風險，應用在Sharpe指標和Jensen指標的績效衡量，採用回顧測試法及向前測試法來驗證風險值，發現組合型基金以蒙地卡羅模擬法計算風險值較佳。在Sharpe指標群中，股票型基金的績效領先；而在修正的Sharpe指標中以風險值－Sharpe指標(V1)與Sharpe指標的績效最接近。Jensen指標納入指標市場的機會成本，使得其績效異於Sharpe指標。綜觀比較組合型基金與單一基金的整體績效，組合型基金績效均落後於大盤。

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.

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