公司治理ETF之績效探討—以上證180公司治理ETF為例

Abstract

自1997年亞洲金融風暴以來，公司治理（corporate governance）總是在重大的企業經營管理危機爆發後被人們所熱烈討論。根據麥肯錫顧問公司（McKinsey & Company）在2002年對全球超過200家機構投資者的調查，約八成的投資者願意為公司治理良好的公司支付較高的溢價，這項調查亦指出公司治理已經成為機構投資人重要的參考因素，且這個現象在新興市場特別明顯。 台灣方面為加強推廣公司治理，櫃買中心曾經在2007年研議推出公司治理指數股票型基金（exchange traded fund），可惜最後遲遲不見下文。大陸在這方面則顯得較為積極，首先在2008年1月2日，上海證券交易所和中證指數有限公司正式共同對外發佈「上證公司治理指數」。同年9月10日又聯手發佈「上証180公司治理指數」，並於2009年年底由交銀施羅德基金管理有限公司推出「上証180公司治理交易型開放式指數證券投資基金」（簡稱上證治理ETF），此基金也成為公司治理ETF的濫觴。 本研究旨在透過上證治理ETF的介紹，提供未來編製公司治理指數或相關金融商品之參考，並從報酬、風險、風險調整後報酬三個構面，檢視上證治理ETF過去四年的績效表現，比較對象則為上證綜合指數及其他ETF。過去資料顯示持有公司治理良好的投資組合能為投資人帶來較高的報酬，但在顯著水準α=0.05下，對上證180公司治理ETF與比較對象作兩兩的假設檢定，結果顯示彼此間的三個風險調整後報酬指標：夏普指標、崔納指標、簡森指標無差異，可能原因為非系統性風險的降低會增加月報酬率變動的一致性，以及上證治理ETF與比較對象成份股的重複性。

Since the 1997 Asian Financial Crisis, corporate governance has been discussed extensively especially after any major management scandal. According to the 2002 Global Investor Opinion Survey released by McKinsey & Company, more than 80% of investors say that they are willing to pay a premium for a well-governed company. This survey also indicates that corporate governance has been at the heart of investment decisions especially in emerging markets. To promote corporate governance, Taiwan's GreTai Securities Market planned to launch the corporate governance exchange traded fund (ETF) in 2007, but there was no further development after that. On the other hand, China seemed much more aggressive. First, on January 2 2008, the Shanghai Stock Exchange (SSE) and the China Securities Index Company Limited (CSI) jointly released the SSE Corporate Governance Index. Then, they announced to launch the SSE 180 Corporate Governance Index on September 10 of the same year. At the end of 2009, Bank of Communications Schroder Fund Management Co., Ltd. was authorized to issue the SSE 180 Corporate Governance ETF, and this ETF became the first corporate governance ETF in the world. The purpose of this research is to provide detailed information about the SSE 180 Corporate Governance ETF for future reference. Also, its performance in the past four years is evaluated from three aspects: return, risk, and risk-adjusted return. Its comparative samples are the SSE Composite Index and four other ETFs. The data indicate that the SSE 180 Corporate Governance ETF brought higher returns to its investors compared with its comparative samples. However, their means of Sharpe, Treynor, and Jensen indexes are not statistically significant at the 0.05 level of significance probably because of reduction of unsystematic risk and overlap in their constituents.