THE SELECTION AND PERFORMANCE VALUATION FOR THE LISTED STOCKS PORTFOLIO IN TAIWAN SECURITY MARKET----THE APPLICATION OF SHARPE INDEX WITH VaR FORM

• Main Authors: Christian Sung, 宋孝聖
• Other Authors: Yu-Chen Tu
• Format: Others
• Language: zh-TW
• Published: 2001
• Online Access: http://ndltd.ncl.edu.tw/handle/97867780175246689643

碩士 === 銘傳大學 === 金融研究所 === 89 === Due to the violent volatility in the Taiwan stock market, the fund invested in the security market gradually have been replaced with the mutual fund. The most important thing for a fund manager is to beat index. So how to construct the mentioned portfolio is the first issue. The traditional method selecting assets by the ex post aspect seemed to be able to be replaced with the method that Sharpe (1994) offered by the ex ante aspect. Besides, the new risk measure , VaR (Value at Risk) has been adapted widely and seems to be better than former. Therefore, the study calculates the risk of Sharpe Ratio with VaR and variance and uses financial data from the component firms of Morgan Index in Taiwan during the period 1996-2000, the study will employ the two models under 32 different scenarios-- 4 sub-periods for calculating expected return, 2 benchmark portfolios and 4 different weights for the original asset allocation. The summary of salient findings are following： (1) While comparing with the original portfolio , the performance of the GSR(VaR) model is apparently better than the GSR model''s in the two conditions (market portfolio / market value / 10 days, market portfolio / equivalent / 5 days) only, but not apparently in the others. (2) In the order of the performance, the GSR model is far better than the GSR(VaR) model while considering the relationship between the prior term portfolio and benchmark, even between the present and prior term of portfolio. Basically the order is that the original portfolio''s is better than the GSR model''s, and the GSR model''s is better than GSR(VaR) model''s. (3) the performance of the portfolio reflect the effects of the two stages, (a) the selection of the assets (b) the real return of the selected assets. Because the numbers and the terms may not be the same for the two new portfolio by the two models, the range of the real returns among the assets will enhance the positive or the negative effect. (4) It''s no difference between the effects which are based on that the expected returns are postulated to the real returns by holding the different days. (5) The variables for the calculation of the Sharpe ratio by the GSR and GSR(VaR) model are caught by estimating. If they can''t be estimated precisely, the error would be made.