臺灣博碩士論文加值系統

近年來共同基金規模逐漸擴大且類型逐漸變多，各種類型共同基金之風險不一，但傳統績效衡量指標在考慮風險時都是以報酬標準差做代表，但標準差並不能衡量投資人所真正關心的下方風險，因此本篇論文以利用四種風險值模型對九種類型共同基金計算風險值，並進行回溯測試，找出各類型共同基金之最適風險值預測模型，結果具對近期報酬資訊較著重的EWMA模型及HW模型表現較佳。致於在多、空頭時期之下各風險值的預估績效又有迥然不同的表現，在多頭時期下，各風險值模型皆高估了風險值，且各風險值模型失敗次數之獨立性有不錯表現;而在空頭時期下，各風險值模型皆低估了風險值，且失敗次數獨立性表現較差。在多頭時期下，各類型共同基金之最佳風險值模型皆為HW模型，;而在空頭時期下，四種風險值模型表則較平均，都有其適用之共同基金類型。
在利用各共同基金類型之最適風險值下去計算各種不同的績效評估模型下，發現績效最佳的共同基金類型為上市價值型，而最差的為跨國全球。利用最適風險值模型來進行各項績效評估，在多頭時期表現最要的仍為上市一般型，最差的則為跨國日本；在空頭時期，績效最佳的為跨國日本，表現最差的則不明顯。各類型共同基金在多頭時期及空頭時期之績效表現有些釭滬t相關，但不顯著，只有一個績效指標達顯著性。
在績效持績性上，各評估指標表現都不甚佳，甚至有反轉的現象發生，也就是說前期績效佳之共同基金類型，後期會績效會變差，而績效差的會變佳。

Recently the scale of mutual fund has expanded, of which the genre is multiple. Each genre has its’ own risk nature. However the traditional performance index uses standard deviation when considering risk. This article aims to use VaR (Value at Risk) in place of standard deviation to stand for the downside risk that the investors are truly concerned of.
In this article, we use four VaR model to measure the VaRs of nine kinds of mutual fund group. After implementing the back testing, we find the best VaR model of each to measure the performances. In the whole period, the VaR models focusing more on recent data seem to have better outcomes. If we divide the whole period into bull phase and bear phase, the results are different. In the bull phase, all VaR models overestimate VaR, and the HW results to be the best model of all mutual fund groups, and all VaR models pass the failure independence testing. In the bear phase, however, almost all VaR models underestimate VaR, and every VaR model has its’ own suitable mutual fund group, and the VaR models that doesn’t have the volatility renewing function couldn’t pass the failure independence testing.
We used five different performance indices to measure the performance of each mutual fund group and find the listed value-oriented mutual fund group to be the unanimous best-performing group and the global mutual fund to be the unanimous worst-performing group. In the bull phase the best-performing group is still listed value-oriented mutual fund group, and the worst-performing group is Japan-oriented mutual fund. In the bear phase, however, the best-performing group is Japan-oriented mutual fund, and the worst-performing group is unclear. The performances in bull and bear phase are sort of negative-correlated, but only one performance index is significant.
The before and after performances are not significantly positively correlated, which means the performance is reversal.

目錄
第一章 緒論 1
第一節　研究背景與動機 1
第二節 研究目的 2
第三節 研究架構與流程 3
第二章 文獻探討 4
第一節 風險值發展與應用 4
第二節 共同基金績效衡量方法 8
第三章 研究方法 11
第一節 資料來源與研究期間 11
第二節 風險值計算方法 12
第三節 風險值驗證 19
第四節　共同基金績效評估模型及其預測性 21
第四章 實證分析 24
第一節 樣本資料分析 24
第二節 風險值之估計與驗證分析 24
第三節 共同基金績效評估指標之運用與分析 27
第五章 結論與建議 29
參考文獻 43

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