| Summary: | 碩士 === 國立屏東科技大學 === 財務金融研究所 === 95 === Balanced funds have become one of the popular financial investment tools in recent years. However, ordinary investors are not familiar with the risk of investing balanced funds. Therefore, it is necessary to build a popular index to assess the risk of investment. In theory, the traditional indexes base on the assumption of normality to the rates of return. The assessment deviation happens when distribution on the returns are not normally distributed. As a result, this paper took domestic balanced funds as objects of study. It is found that rates of balanced funds are not normally distributed. This paper utilized the characteristic of VaR to valuates downside risk and applied performance evaluation of balanced funds to modify the biases of using traditional indexes under normal distribution assumption. Furthermore, the accuracy of VaR model was examined by back test.
The empirical results shows that after introducing the VaR into the performance evaluation indexes, the rankings of funds have changed compared to those by traditional ones. At the aspect of accuracy of VaR models, it has been found that the Historical Simulation Approach performs better than other models when assessing the risk of balanced funds.
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