风险值的应用与台湾共同基金绩效指标之持续性.pdfVIP

風險值的應用與台灣共同基金績效指標之持續性 23 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 * ** 王佳真 徐辜元宏 Jai-Jen Wang Yuan-Hung Hsu Ku （Received Nov. 11, 2001 ；First Revised Nov. 7, 2003 ；Accepted Dec. 2, 2003 ） 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。 關鍵詞：風險值、績效評估三角形、擇時類、擇股類指標。 Abstract: 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. Keywords:Value at Risk (VaR), Performance Evaluation Triangle (PET), Treynor Mazuy Indicators, Chang Lewellen Indicators, Henriksson Indicators. * 私立景文技術學院財務金融系講師 Lecturer, Department of Finance, Jin Wen Institute of Technology ** 國立高雄第一科技大學金融營運系助理教授 Assistant Professor, Department of Financial Operations, National Kaoshiung First University of Science and Technology