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標題: | 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 The Performance and Development of Target-Date Funds in Taiwan with Reference to the 401(k) Plan |
作者: | 徐士芳 Shih-Fang Hsu |
指導教授: | 邱顯比 Shean-Bii Chiu |
關鍵字: | 目標日期基金,目標風險基金,超額報酬,流量,指數型配置, target-date,target-risk,returns,flows,exponential glide path, |
出版年 : | 2023 |
學位: | 碩士 |
摘要: | 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. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/87820 |
DOI: | 10.6342/NTU202300969 |
全文授權: | 同意授權(限校園內公開) |
顯示於系所單位: | 財務金融學系 |
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