面對高損失風險狀況時，投資人應當採用風險值模型來建構投資組合。風險值模型及觀察期間長短必須考量資料特性；但目前的研究卻對於不同投資組合採用相同風險值模型或是觀察期間。本研究針對不同類型基金以常態性檢測及回溯測試來決定最適風險值模型及視窗天數。考量市場投資人可能的基金投資行為探討四種不同類型基金(國內股票型、國外股票型、債券型及平衡型)的三種分組(績優、中等及較差)共12 種組合以適當風險值模型來檢視其績效與持續性。相較於以往的研究，本研究的研究方法將有助於投資人做出更正確的投資決策。
研究發現主要為(1)四種類型計48 檔樣本基金報酬率均不服從常態分配，(2)不同類型的基金其最適風險值模擬法及視窗天數不同，債券型的最適觀察期間較長(3)考量風險值的績效評比與以原始報酬率績效評比不同，(4)不同類型基金績效持續性不同，國內股票型及國外股票型基金的前後期等級相關性呈現負相關；平衡型及債券型基金的前後期等級相關性呈現正相關。

Facing high investment risk, investors shall evaluate the performance of their portfolio based on Value at Risk (VaR) model. To set up appropriate VaR model, the researchers must examine data characteristics and window period; but most current studies treat different portfolio with same VaR model and window period. Normal test and back test are implemented in this study to determine the optimal model and window period of different types of mutual funds. Four kinds of mutual funds (domestic, foreign, bond and balanced) and three level of performance (good, normal and bad) are considered. Contrasting to previous studies, this study can offer more accurate VaR model and window perod for investment decisions.
The main findings are (1) the return distributions of all the 48 sampled mutual funds do not fit normal distribution, (2) each type of mutual fund has a different optimal model and window period and bond fund needs the longest window period, (3) the rank of performance evaluation of mutual fund is different when based on either raw return or VaR, (4) the performance persistence of different type of mutual fund is not the same;
domestic equity fund and foreign equity fund show adverse change, bond fund and balanced fund show persistent performance.