兼具 ESG 與低碳排理念之投資組合最佳化: 以台灣永續指數為例

Abstract

本研究主要探討「兼具ESG及低碳排精神」的投資組合是否具有更佳之績效表現。使用之資料來源分別為鉅亨網、台灣指數公司及指數內有涵蓋之企業出版的永續報告書。 首先，本研究以「FTSE台灣永續指數」做為主要研究對象，並採用「台灣ESG低碳50指數」為分組依據，以此分類出「兩指數皆入選組」及「僅入選FTSE台灣永續指數組」等兩個組別。再者，採用六種投資策略模型及四種成分股數量（10個、20個、30個及涵蓋全部成分股）之假設情境，探討於不同成分股數量之情境下，對各組之投資策略間進行績效上之比較，是否「兼具ESG及低碳排精神」的投資組合相較於「僅具ESG理念」的投資組合，可具有更佳之獲利表現。 研究結果顯示，個股數量為10、20及30個之情境下，兩者皆入選組於大部分的投資策略績效結果劣於僅入選FTSE台灣永續指數組，僅於個股數量涵蓋全部成分股之情境中，兩者皆入選組才於大部分之投資策略績效優於僅入選FTSE台灣永續指數組。依上述結果所示，代表「兼具ESG及低碳排精神」的投資組合無明顯證據證明其能比「僅具ESG理念」的投資組合具有更佳之獲利績效表現。 此外，本研究首創三維空間之效率前緣曲面圖，以提供投資者作為了解投資組合之碳排放量與波動率（標準差）及期望報酬率間之關係的新方法學。實證顯示，若投資組合之碳密度指標愈小，則波動率愈大且期望報酬率愈小，此代表若投資人之投資組合過度重視以低碳排作為選擇成分股之依據，無法幫助其有更好之獲利績效且將面臨較高之潛在投資風險。因此，投資者須思考如何在獲利與追求低碳精神間取得平衡。

The objective of our research was to discuss whether investment portfolios that incorporate both ESG (Environmental, Social, and Governance) and low-carbon principles demonstrate superior performance. The data sources used include Anue.com, Taiwan Index Plus Corporation, and sustainability reports published by companies included in the indices. Firstly, the main focus of this research is the " FTSE4Good TIP Taiwan ESG Index." The study categorizes portfolios into two groups based on the " Capital TIP Customized Taiwan ESG Low Carbon 50 Exchange Traded Fund ": portfolios that are constituents of both indices and portfolios that are solely constituents of the FTSE4Good TIP Taiwan ESG Index. Furthermore, the study examines six investment strategy models and four scenarios with varying numbers of constituent stocks (10, 20, 30, and all constituent stocks) to compare the performance of different investment strategies between the two groups. The aim is to determine if portfolios that incorporate both ESG and low-carbon principles exhibit better profitability compared to portfolios that solely focus on ESG concepts. The research findings reveal that in scenarios with 10, 20, and 30 constituent stocks, portfolios consisting of constituents from both indices generally underperform those composed solely of the FTSE4Good TIP Taiwan ESG Index. Only in the scenario with all constituent stocks included does the performance of portfolios consisting of constituents from both indices surpass the portfolios composed solely of the FTSE4Good TIP Taiwan ESG Index in most investment strategies. Based on the results, there is no significant evidence to suggest that portfolios incorporating both ESG and low-carbon principles outperform portfolios that solely focus on ESG concepts in terms of profitability. Additionally, this study introduces a three-dimensional efficient frontier surface graph as a novel methodology to help investors understand the relationship between portfolio carbon emission, volatility (standard deviation), and expected rate of return. The empirical evidence demonstrates that as the carbon density index of a portfolio decreases, volatility increases, and expected rate of return decreases. This indicates that if investors excessively prioritize low-carbon emissions as the basis for selecting constituent stocks, it may not lead to better profitability and could result in higher potential investment risks. Therefore, investors need to consider how to strike a balance between profitability and the pursuit of a low-carbon principle.