絕對報酬策略應用於附保證變額年金之績效評估

Abstract

在現今的金融環境及台灣邁向高齡化社會狀況下，附保證變額年金應是相當適合一般民眾作為退休理財規劃的金融商品。對一般大眾而言，保險公司提供最低退休生活保障並同時享有參與資本市場多頭之機會。另一方面，對保險公司而言，此商品也是一個全新的挑戰，因其風險性質顯然與過去商品截然不同，是以如何建立此類型保單投資組合之管理策略即成關鍵。 附保證變額年金商品之特性，即保留參與資本市場多頭的機會，因此在適當時期須將資產配置於高風險高報酬之部位(一般來說是股票)，同時因附保證條款之故，又須謹慎的控制投資組合的下檔風險，因此絕對報酬策略相當適合應用於附保證變額年金的投資組合管理。 本文以標準的CPPI、動態風險乘數的CPPI、標準的TIPP、動態風險乘數的TIPP、CM與shortfall risk-based strategy等六個絕對報酬策略作為研究範圍，並採用S&P 500 TR index、U.S. long-term treasury、Libor 1 month USD rate作為資產標的，第一步先以單純投資組合作實證資料之測試，第二步以實證資料測試投資組合應用於附保證變額年金，第三步則以模擬資料測試投資組合應用於附保證變額年金。 測試的結果主要如下 1. 在單純投資組合測試，shortfall risk-based strategy為最佳的策略。 2. CPPI在實證測試，因資產價值遠高於要保額度，而發生失去保護下檔風險能力。 3. TIPP為相對低風險低報酬的策略 4. CPPI與TIPP的效果受到投入市場時間點的影響極大。 5. 保險公司應分散附保證變額年金的到期年度。 6. 在模擬資料，TIPP為相對最佳的策略。

Variable annuity with guarantee should quite suit the common people who plan their retirement under present financial environment and the situation that Taiwan becomes an aging society. Insurance company provides policy holders the lowest retirement safeguard and simultaneously gives the opportunity of the participation in bull market. On the other hand, speaking of the insurance company, this commodity is also a brand-new challenge, because its risk quality was obviously entirely different with the past commodity. Therefore how to establish portfolio management becomes the key. The characteristic of variable annuity with guarantee is keeping the opportunity of participation in bull market, so in the suitable time investors must allocate portfolio in high risky and high rewording asset (generally speaking be stock). However because of guarantee insurer must carefully control downside risk of portfolio. Therefore absolute return strategies quite suit variable annuity with guarantee. The range of the study include standard CPPI, dynamic risk multiplicator CPPI, standard TIPP, dynamic risk multiplicator TIPP, CM and shortfall risk-based strategy and we use S& P 500 TR index, U.S long-term treasury and Libor 1 month USD rate as target assets. First step we use real data to test pure portfolio. Second step we use real data to test portfolio applying to variable annuity. Third step we use simulation data to test portfolio applying to variable annuity. The results as follows： 1. In the pure portfolio test shortfall risk-based strategy is the best strategy. 2. In the real data CPPI can’t prevent downside risk because portfolio value is much higher than floor. 3. Compare to other strategies TIPP is lower risky and lower rewording. 4. The effect of CPPI and TIPP is significant affected by the start point of investment horizon. 5. Insurance company should disperse maturity of variable annuity with guarantee. 6. In the simulation data TIPP is the best strategy.