中文摘要
　　共同基金是投資人常利用的投資理財工具，但投資人衡量是否投資基金時，所考量的大都以報酬率為出發點，鮮少以風險的面向去衡量基金的風險。然而本研究擬運用風險值（VAR），將風險值應用在共同基金績效評比上，用來改善夏普比率在報酬率非常態分配下的缺點，作為基金績效評估時輔助參考之用。
　　本研究，針對國內上市股票型基金與債劵型基金採樣，進行常態性檢定的測試，再將風險值三項指標分別為Sharpe Index、Sharpe Index of VAR、Sharpe Index of RbVAR應用在共同基金的績效評估。並採用Basle Committee於1996年所提議使用的回溯測試分析風險值的正確性。
　　實証結果發現，共同基金報酬率的分配並非呈現常態分配，出現高峰態與厚尾現象之偏誤，有修正的必要。將修正過後的Sharpe指標再帶入風險值的意義後，發現加入風險值觀念後的指標排名亦出現不同於原始指標排名的情況，證實風險值對基金的績效評估影響確有改變。而在風險值估計的驗證上，本研究以歷史模擬法所計算出的風險值進行評估，結果發現，風險值模型可以被接受，歷史模擬法可準確驗證。

Abstract
　The mutual fund has become major tool of investment for general public. However, most investors select mutual funds based upon their rates of return; the value at risk (VAR) for the fund has often been ignored during investor’s decision process. It is necessary to establish a popular index to evaluate fund’s performance with considering its risk. Sharpe Index measurement of fund performance based upon the assumption of normality to the rates of return. 　The index will produce bias result and need to be corrected if such assumption will be violated.
　This reserch, using normality test on sample mutual fund, finds that the distribution on the rates of returns is not normally distributed, but with fat tailed and leptokurtic. This proves that traditional index on mutual fund needs to be modified with using the new tool, VAR.
　From Sharpe Index, this reserch substitute traditional risk measurement by VAR and use back test to gauge the accuracy of VAR estimated by historical simulation method. The result shows that the historical simulation method provides better estimation due to the normality assumption has been violated by the distribution of return rates. In addition, these empirical data cover the period of bearish market, proper correction for the listing of fund performance should also be adopted.

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