关键词: 退休基金,夏普指数,信息比率,风险值,压力测试

Abstract: We investigate the value at risk (VaR) and performance of Taiwan labor pension funds (both of the old and new systems) and the Hong Kong Mandatory Provident Fund (MPF) in the period of July 2007 to October 2010. In this paper, we use Sharpe Index and Information Ratio to measure the performance of pension fund returns; the results of both indicate that the performance of Hong Kong MPF is the best among the three. We then use the single-factor variance-covariance method, historical simulations and Monte Carlo simulations to estimate VaR; in addition, we measured the risks of global financial crisis by using historical stress tests. The results show that the VaR of Taiwan’s labor pension fund established under the old system is the biggest, and that with stress tests the VaR of Taiwan’s labor pension fund under the new system is the biggest.

Key words: retirement fund; Sharpe Ratio; information ratio; value at risk; stress testing