勞退基金委外績效影響因素之研究

Abstract

新制勞退基金自2005年1月1日開辦以來，隨著規模迅速累積，為達專業管理、分散基金風險、提昇效率及增加收益等多重目標，於2007年8月21日辦理第一批次國內委託經營業務，現階段委託經營佔資產配置比例乃逐年提高。 本研究運用新制勞退基金2007年10月至2013年6月國內委託經營計5年9個月月資料為個案研究，以橫斷面時間序列分析法模型（Panel Data Model），分別由投信面向、經理人面向及策略面向等三類，探討影響勞退基金委託經營績效之因素。實證結果如下： 1. 投信面向：投信規模愈大，可產生規模經濟之效益，有助提昇績效，惟投信規模愈大，愈容易產生行政作業疏失，所以投信遭懲處次數與Jensen指標、Sharp指標及與大盤差距等三項績效指標均呈正相關。 2. 經理人面向：經理人年資及異動次數均與與Jensen指標呈負向關係，建議勞退可於投資契約納入規範經理人之操作期間限制及更換次數。 3. 策略面向：β係數與投資組合報酬率、Jensen指標及Sharp指標均為負相關，建議勞退及基金經理人退休基金之投資運用，應著重安全穩健；而買進週轉率與投資組合報酬率、Jensen指標與Sharp指標呈正相關；賣出週轉率於投資組合報酬率則呈負相關，與大盤之差距呈正相關。實證結果顯示，週轉率愈高，雖可改善投資績效，惟亦提高交易成本。

Labor Pension Fund (LPF) has been set up on January 1, 2005. For the multi-purposes of professional management, diversifying investment risk, implementing asset allocation, and increasing investment profit, Labor Pension Fund undertook domestic discretionary operation on Aug. 21, 2007 at first time. As the size of Labor Pension Fund increases rapidly, the mandated percentage of the assets allocation of Labor Pension Fund gets higher year by year. In this study, we investigate the factors that may influence the effectiveness of the discretionary investment of Labor Pension Fund. Our sample data is monthly, dated from Oct. 2007 to Jun. 2013. We estimate with Panel Data Model, investment trust enterprises, fund managers and investment strategy aspects to measure the discretionary investment of LPF. Our major empirical findings are as follows: 1. Investment trust enterprises：Inventors trust larger size, can gain economies of scale efficiency, enhance performance. However the larger the scale of investment trust is, the more easier to bring administrative jobs negligence. The punished number of investment trust enterprises is positively correlated with Jensen ratio, Sharp ratio and portfolio returns and returns TAIEX gap, i.e. three performance indicators, respectively. 2. Fund Managers：The fund managers’ seniority and turnover are negatively correlated with Jnsen ratio. It suggests that LPF investment contract may include specification of the manager during operation of the restrictions and replacements. 3. Investment Strategy：β coefficient is negatively correlated with the returns of investment portfolio, Jensen ratio and Sharp ratio, respectively. It suggests that LPF and fund manager should comply with the principles of security and steadiness. Buying turnover rate is positively correlated with the returns of investment portfolio, jensen ratio and sharp ratio, respectively. Selling turnover rate is negatively correlated with the returns of investment portfolio, and is positively correlated with portfolio returns and returns TAIEX gap. Our empirical findings show that the turnover rate can improve the investment performance, while it also increases the transaction cost.