碩士 / 國立屏東科技大學 / 財務金融研究所 / 96 / As a result of financial globalization and internationalization, many securities investment trusts and consulting companies have issued kinds of mutual funds for overseas market investments. There are more than 500 on-shore funds in Taiwan, and the mutual funds become one of the most popular tools of investment. In another hand, off-shore funds are the mutual funds issued by the foreign mutual funds companies, approved by the FSC, and there are about 800 off-shore funds in Taiwan.
Investors can choose the mutual funds according to the periodical reports or the performance evaluation indexes. Among them, Sharp Index is the most popular one. This paper constructs VaR models for the same kind of international markets oriented mutual funds and off-shore mutual funds to modify the deviation of Sharp Index caused by using standard deviation to evaluate the risk of the assets. Next, we compare the performance with the international markets oriented mutual funds and off-shore ones as a referable information for investors.
The empirical results show that all the sample funds are not normally distributed so this paper uses historical simulation and Monte Carlo
simulation to compute the VaR. The VaR does affections to the performance evaluation for the mutual finds. The VaR computed by Monte Carlo simulation is more accurate for international markets oriented mutual funds; the historical simulation is better for off-shore mutual funds. Testing the two brackets of mutual funds by Mann-Whitney U test, it comes out that there is no difference between the performances of the international markets oriented and the off-shore mutual funds. The investors should consider their own abilities of risk undertaking, the performance evaluation indexes and the appendant fees before making investments.
| Identifer | oai:union.ndltd.org:TW/096NPUS5304011 |
| Date | January 2008 |
| Creators | Ya-Wen Jhan, 詹雅雯 |
| Contributors | Rern-Jay Hung, 洪仁杰 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 48 |
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