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頁籤選單縮合
題名 | 債券型基金風險值於績效評估之應用=The Application of VaR on the Performance Ecaluation for Bond Fund in Taiwan |
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作者 | 王慧娟; 鎮明常; 許彩珊; Wang, Hui-chuan; Cheng, Ming-chang; Hsu, Vivian Chang; |
期刊 | 醒吾學報 |
出版日期 | 20070300 |
卷期 | 33 2007.03[民96.03] |
頁次 | 頁103-146 |
分類號 | 561.76 |
語文 | chi |
關鍵詞 | 債券型基金; 風險值; 變異數-共變異數法; 歷史模擬法; 蒙地卡羅模擬法; 回溯測試; Bond fund; Value at risk; VaR; BRVaR; Sharpe index; Delta-normal method; Historical simulation; Monte Carlo simulation method; Back test; |
中文摘要 | 債券型基金近年佔臺灣整體基金規模總額高達七成,是國內基金市場的主要投資商品,但是一般投資者卻認為其收益穩定、安全而對其風險認識不清,因此必須建立一個指標來評估投資債券型基金的風險。眾多的績效指標中,以Sharpe指標最常為投資人所使用,然而傳統的風險評估是建立在標準差觀念之上,標準差將上漲的波動和下跌的波動均列入風險考量,若將下方風險的指標運用在績效評估上則更能適當的貼近並且反應市場風險,因此,本研究以風險值取代Sharpe指標中的標準差,並加入標竿市場的相對風險值,試圖改善Sharpe指標以傳統標準差來衡量風險而無法衡量到下跌風險及改善其於報酬呈現非常態分配時的偏誤,此外,本研究針對投資國內之債券型基金特性再進行比較其差異性,作為投資人評估基金績效時輔助參考之用。 |
英文摘要 | Bond fund has become the major investment instrument in Taiwan. More than 70 percent of Taiwan mutual fund are bond fund in recent years. Most investors prefer bond fund than other investment instruments due to its income stability. However, its risk level has been easily neglected by investors. The purpose of this paper is to established an index to evaluate the risk level of Bond fund in Taiwan. In the past, Sharpe Index has been the most popular index used by investors. However, the level of risk which was measured by the Sharpe index was based upon the standard deviation. Standard deviation consider both upside and downside risk at the same time. If we can only consider downside risk, the evaluation of bond fund risk which caused by the market risk can be more properly reflect on its index. So, it this research, we use Value at Risk at Risk (VaR) as substitute for the traditional standard deviation. In the mean time, we add the relative VaR to improve our measurement for the downside risk which the Sharp Index can not do due the distribution of return is not normally distributed. In addition, we compare Taiwan bond fund performance and risk level and provide them as domestic investors' reference. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。