風險值觀念逐漸受到重視，風險值作為是銀行或其他金融機構在資本適足性準備上是否適當的參考依據外，亦可作為選擇投資方案的工具。過去文獻在共同基金績效方面並無統一的衡量模式，大都是探討基金的持續性以及績效，較少文獻將風險值代入基金績效做評估，本文實證資料範圍自2004年至2007年之台灣股票型共同基金日淨值。本文欲探討台灣股票型共同基金風險值，採用ARMA-GARCH模型，以蒙地卡羅模擬法估計基金風險值，將各檔基金風險值應用於Sharpe修正指標，並以回溯測試（Back Test）和失敗比率(Uncovered Loss Ratio)來驗證風險值準確度，最後比較以風險值取代標準差的績效指標是否能改善傳統績效指標。實證結果發現，共同基金報酬率的分配並非呈現常態分配，傳統基金績效指標將會出現偏誤，故有修正績效指標的必要性。將修正過後的Sharpe 指標與傳統指標相比較，發現納入風險值觀念後的指標排名與傳統績效排名情況有所差異，證實風險值確實影響基金績效評估。 This concept of VaR has received much attention in the literature. VaR was proposed as a basis for assessing the capital adequacy of banks or other financial organizations as well as a tool for selecting among investment plans. There is currently no consensus model for evaluating mutual fund performance in the literature. Most authors discussed performance persistence, but seldom included VaR in assessment of fund performance. This paper compiles the daily prices of Taiwanese equity mutual funds from 2004 to 2007 and applies ARMA-GARCH model to evaluate the VaR of Taiwanese equity mutual funds. We use Monte Carlo simulation method to estimate the VaR. The VaR for each fund was then used in the calculation of the revised Sharpe ratio, and examined back testing and calculating the uncovered loss ratio (ULR). Finally, we compare and examine whether VaR is a more accurate index of fund performance than traditional fund performance. The results of the analysis show that the return rates of mutual funds are abnormally distributed which cause an deviation in the traditional performance indices. However, the performance rankings obtained from the revised Sharpe index including VaR were different from that estimated by traditional indices, which this demonstrates that VaR has a real impact on assessment of fund performance.
