ESG策略之投資績效評估

Abstract

本研究對ESG投資(Environmental, Social and Governance)進行深入探討，由於永續投資觀念逐漸到重視，如PRI及社會責任投資的興起，我們認為ESG投資在未來極具發展潛力。因此本研究由「ESG投資是否犧牲投資績效？」、「從報酬和風險表現來看ESG基金中長期而言，是否具有投資價值？」來探討其投資績效。 本研究選出四檔ESG基金及其配對基金和標竿指數，並利用Lipper及Bloomberg蒐集績效數據（累積報酬率、年化報酬率、年化標準差、Sharpe ratio、Beta值），來比較各組在短、中、長期之績效表現。而根據本研究結果，ESG投資在短、中、長期大致上皆犧牲投資績效，由於ESG之篩選標準使其報酬率通常較低。至於風險，在短期內的比較無明顯結果，中長期而言，ESG基金則普遍風險較低，具一定的投資價值。 本研究結果顯現ESG投資之未來發展潛力，尤其於中長期具有投資價值，因此建議國內退休基金可採用ESG投資之觀念，可具有中長期風險較低、較穩定和形象正面等優勢。

The purpose of this research is to conduct an in-depth study on ESG (Environmental, Social and Governance) investment. While the concept of sustainable investment is gaining increasing attention, including for example the emergence of PRI and Social Responsibility Investment, we believe ESG Investment is of great future potential. The research will explore ESG investment performance from two perspectives. One is whether ESG Investment encompasses the sacrifice of investment performance, while the other is, in consideration of the risks and returns, whether it is worthwhile to invest in ESG in the medium and long term. For this study, four ESG funds have been selected, along with their matching funds and benchmark indexes. Relevant performance data (including cumulative return, annualized return rate, annualized standard deviation, Sharpe ratio and Beta value) are collected through Lipper and Bloomberg for comparing the short, medium and long term performance of each group. Research outcomes show that, whether with respect to long, medium or short term returns, ESG investment typically lead to the sacrifice of performance. The reason is that ESG screening criteria generally result in the selection of funds with lower return rates. With regard to risks, no significant findings were identified in the short term. In the medium and long term, however, ESG funds normally carry lower risks. They are therefore worthy of investment to a certain extent. Based on the results of the research, ESG Investment exhibits potential for future growth and is worthy of investment particularly in the medium and long term. Domestic pension funds are therefore recommended to incorporate ESG Investment concepts into their strategies so as to gain the advantages of lower risk in the medium and long term, higher stability, and positive image.