勞退基金社會責任投資與委託經營績效之探討

Abstract

本文探討勞退基金在社會責任投資政策下，各類型委託帳戶之績效表現及擇時選股能力。勞動基金運用局在其投資政策書中揭示，在收益為前提下，國內投資將評估採用相關社會責任指數，作為委託經營之指標，而2011年起，新制勞工退休基金已陸續選用臺灣就業99報酬指數、臺灣高薪100報酬指數及臺灣永續報酬指數作為委託經營指標，符合其社會責任投資政策，然而能否增益基金報酬？本研究比較渠等指數發布以來，相較同期臺灣加權股價報酬指數表現，並以2011年7月至2020年6月新制勞工退休基金國內委託經營月報酬率資料，探討各類型委託帳戶之績效表現與擇時選股能力。實證結果顯示： 1、臺灣永續報酬指數在報酬率、標準差、Treynor Ratio與Sharpe Ratio，均優於同期臺股加權報酬指數，且普遍優於同期臺灣就業99與高薪100報酬指數，為良好指標；臺灣高薪100報酬指數則具有較低波動特色；臺灣就業99報酬指數相較市場大盤呈現低報酬高波動現象。 2、新制勞工退休基金國內委託各類型帳戶平均報酬率普遍未超越市場大盤，且均無法獲取高於市場指標之超額報酬，但報酬率波動度較市場指標低。 3、採用臺灣就業99、高薪100及永續報酬指數等指標之委託經營帳戶，無論是報酬率、超額報酬率、Treynor Ratio、Sharpe Ratio及Information Ratio，均優於同期絕對報酬型帳戶，爰勞退基金於委託經營加入渠等三項社會責任指數為報酬指標之策略，有助增益基金收益並提高超額報酬。 4、臺灣就業99、高薪100及永續報酬型帳戶之報酬率標準差與追蹤誤差，普遍高於同期絕對報酬型帳戶，承擔較高之報酬波動風險。另外，渠等間彼此比較，則以永續報酬型帳戶呈現較高報酬且較低波動，同期績效表現最優。 5、以Jensen Index及Treynor Mazuy模型進行實證，全體、絕對報酬型及永續報酬型帳戶具有顯著擇時能力；但全體委託帳戶顯著不具選股能力。

This study is to investigate the performance, market timing and selectivity ability of the Labor Pension Fund under social responsibility investment policy in Taiwan. Following the investment policy of Bureau of Labor Funds, domestic investment should consider taking Social Responsibility Index as benchmark in delegated investment under the premise of profiting. Since 2011, Labor Pension Fund has taken Taiwan RAFI EMP 99 Index, Taiwan HC 100 Index, and F4G TIP TW ESG Index as benchmarks, and implemented the policy. However, can such a policy increase profit? This study compares these index with the TAIEX Index in the same period, exploring the performance, market timing and selectivity ability of delegated funds which choose different Index as benchmarks. The major findings indicate that: 1.The financial performance of the F4G TIP TW ESG Index, a fine index, was higher than that of the TAIEX Index with respect to return ratio, standard deviation, Treynor Ratio, and Sharpe Ratio, predominantly outperforming Taiwan RAFI EMP 99 Index and Taiwan HC 100 Index. Taiwan HC 100 Index featured in its low volatility in return ratio. Taiwan RAFI EMP 99 Index showed low return ratio but high volatility. 2.The average return ratio of all delegated funds could not surpass that of TAIEX Index in general, the excess return was also lower. And the volatility was lower, too. 3.The funds taking Taiwan RAFI EMP 99 Index, Taiwan HC 100 Index, and F4G TIP TW ESG Index as benchmarks outperformed the absolute return funds in the same period with respect to return ratio, excess return ratio, Treynor Ratio, Sharpe Ratio, and Information Ratio. Thus, the strategy of using these Index as benchmarks in delegated funds could increase profits and surge the excess return. 4.The standard deviation of return ratio and Tracking error of funds taking Taiwan RAFI EMP 99 Index, Taiwan HC 100 Index, and F4G TIP TW ESG Index as benchmarks were predominantly higher than those of the absolute return funds. Besides, comparing among themselves, the fund taking F4G TIP TW ESG Index as benchmark had the higher return ratio and lower volatility, thus, showed better performance. 5.Testified by the Jensen Index and Treynor Mazuy model, all funds, absolute return funds, and sustainable funds showed significant market timing ability in general. However, all kinds of funds significantly had no selectivity ability.