Initial Evaluation of the Risk and Performance of Fund of Funds in Taiwan

• Main Authors: Yu-Fang Huang, 黃玉芳
• Other Authors: Jo-Hui Chen
• Format: Others
• Language: zh-TW
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/6n8sd7

碩士 === 中原大學 === 企業管理研究所 === 92 === Recently, financial market policy has been changed from protective trade to free trade market by Taiwan’s Securities and Future Bureaucracy（SFB）. The mutual fund consisting of Balance Fund, Exchange Trade Fund, and Principal Guarantee Fund has expanded a combination of funds, namely Fund of Funds. Using VaR（Value at Risk）to measure downside risk, this paper applied in the Sharpe index and in the Jensen performance index. In value at risk aspects, the empirical results show that fund of funds has a better performance by the Monte Carlo simulation approach. If the rate of return for Stock Fund presented the normal distribution, it required to apply the Variance-Covariance approach. Otherwise, the Monte Carlo simulation will be better. Meanwhile, this paper uses the Back test, Front test and Z-score to examine the value at risk. We found that bond fund had a better performance by using the History simulation approach. In overall appraisal aspect, the Sharpe indexes of stock funds were in the lead above other funds because of higher rate of return. We found that revised Sharpe Indexes of VaR (V1) had similar ranks comparing to the Sharpe index. The Jensen performance index has bought into line with the opportunity cost that caused its achievements place, which differed from the Sharpe index. To compare fund of funds with the sole fund, the dissatisfied results show that this initial performance of fund of funds had generally fell behind Taiwan stock price index.