以美國 401(k) 退休金制度為例，探討台灣目標日期基金的報酬及未來發展性

Abstract

台灣正面臨勞工保險破產的議題，隨著大退休潮即將來臨，未來退休基金將負擔更多的壓力，又台灣退休基金長期由政府統一管理、投資運用，收益表現並不可觀，再加上全球面臨低薪環境與通膨壓力，使得國人自主投資的意識抬頭。美國採用401(k)雇主退休金制度，由勞工自主選擇投資標的以累積退休財富，目前目標日期基金成為美國長期投資的主流，本研究希望效法美國採用目標日期基金作為退休基金的預設選項，並觀察其報酬表現與流量情形，再比較與同家投信所發行之目標風險基金兩者的差異，說明目標日期基金適合投資的原因。 本研究採用國泰、貝萊德與富蘭克林華美投信所發行之境內基金資料，包含九檔目標日期基金與六檔目標風險基金。研究分成四個部分，第一，比較台灣退休基金與目標日期基金過去的績效表現；第二，透過Fama and French(1993)、Carhart(1997)與Fama and French (2015)模型衡量個別基金之超額報酬，同時納入債券指數報酬；第三，跑面板數據回歸模型，比較目標日期與目標風險基金兩者整體報酬與流量的差異；最後，假設不同資產配置路徑，包含線性、指數型與階梯式路徑調整資產比例，模擬三十五年後的投資報酬與累積財富。 結果顯示，台灣發行之目標日期基金表現不如退休基金，其與同投信發行之目標風險基金皆受市場指數報酬顯著影響，且大多不存在顯著超額報酬，我們無法觀察到目標日期基金有較突出的績效表現，不過其存在顯著的超額正流量，且過去報酬表現較好的基金，傾向會產生較高的流量，代表投資人對於此種基金具有較高的信心，願意投入更多資金。此外，市面上大多目標日期基金採用線性遞減的方式，減少風險性資產的投資比例，但實證結果發現，其累積財富的速度最慢，因此若能改以指數型路徑取代，將可望提升目標日期基金的績效表現。

The United States implements a 401(k) retirement savings plan where employees have the autonomy to choose their investment targets to accumulate wealth for retirement. Target-date funds have gained popularity as a long-term investment option within this system. This research investigates the viability of introducing target-date funds as the default option for Taiwanese pension funds. The study examines the performance and flows of target-date funds in comparison to other target-risk funds offered by the same investment management companies. The study utilizes data from nine target-date funds and six target-risk funds issued by Cathay, BlackRock, and Franklin Templeton SinoAm. It is divided into four sections : (1) a comparative analysis of the historical performance of Taiwanese pension funds and target-date funds; (2) an assessment of funds' excess returns using Fama and French (1993), Carhart (1997), and Fama and French (2015) models; (3) a panel data regression analysis to compare the flows of target-date and target-risk funds; and (4) a simulation of investment returns and accumulated wealth over a 35-year horizon under various asset allocation paths. The findings indicate that target-date funds underperformed pension funds in Taiwan. Both target-date and target-risk funds were significantly influenced by market index returns, with most funds exhibiting no excess returns. However, target-date funds showed significant positive flows, and those with a strong historical performance tended to attract higher flows, reflecting increased investor confidence. Additionally, the empirical results suggest that adopting an exponential path could enhance the performance of target-date funds.