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| Title: | 退休基金整合 ESG 標的之資產配置分析
The Analysis of Pension Fund Asset Allocation Integrating ESG Investment |
| Authors: | 張祐誠
Chang, Yu-Cheng |
| Contributors: | 王儷玲
Wang, Li-Ling
張祐誠
Chang, Yu-Cheng |
| Keywords: | 永續投資
永續評級
投資績效
波動度
ESG ETFs
ESG ETFs
sustainable investing
sustainability ratings
nvestment performance
volatility |
| Date: | 2024 |
| Issue Date: | 2024-09-04 13:40:23 (UTC+8) |
| Abstract: | 近年來永續投資已成為國際主流趨勢，而將投資組合納入 ESG 評分是否可以增加 投資報酬率，也成為學術界在研究 ESG 篩選機制與投資績效關聯性的主要議題。本研究 旨在探討 ESG 評級對 ETF 投資組合表現的影響，使用 2015 年至 2024 年晨星 ESG 評級資 料，針對 ETF 的永續評級及投資組合風險指數進行分類，並依規模排序，用 Portfolio Visualizer 進行投資組合模擬回測，分析夏普指數、年化報酬率、最大下跌幅度等統計指 標。研究方法是透過三個主題分類:晨星永續評級、ESG 風險分數、ESG 主題與非 ESG 主 題等，分析不同評級指標對 ETF 報酬率的影響。
研究結果顯示，主題一晨星永續評級中，五星評級 ETF 投資組合年化報酬率為 12.75%，優於三星(6.24%)及一星(7.17%)的投資組合。主題二 ESG 風險分數中，低 ESG 風險投資組合的年化報酬率為 8.21%，高於高 ESG 風險投資組合的 6.46%。主題三 ESG 主題中，ESG 主題 ETF 投資組合的永續評級越高，報酬率越好，而五星評級的年化 報酬率為 14.31%，優於四星(13.94%)及三星(7.84%)，但是也發現不具 ESG 主題的 ETF 在回報率和風險調整後回報上卻優於 ESG 主題的 ETF，同時也伴隨著更高的投資風 險和波動。
本研究實證分析結果發現，高 ESG 評級的 ETF 在長期回報及風險韌性方面展現出 顯著的優勢，特別是在市場波動期間，建議未來退休基金可以考慮納入 ESG 評級作為投 資組合篩選標準。退休基金管理者可以考慮將高 ESG 評級 ETF 作為核心投資組合的一部 分，以提升基金的穩健性和永續性。
In recent years, sustainable investing has become a mainstream international trend. The question of whether incorporating ESG ratings into investment portfolios can enhance investment returns has become a major topic of academic research on the relationship between ESG screening mechanisms and investment performance. This study aims to explore the impact of ESG ratings on the performance of ETF investment portfolios, using Morningstar ESG rating data from 2015 to 2024. ETFs are classified based on their sustainability ratings and investment portfolio risk indices, sorted by scale, and analyzed using Portfolio Visualizer for portfolio simulation back- testing. Statistical indicators such as the Sharpe ratio, annualized return, and maximum drawdown are analyzed. The research methodology involves three thematic classifications: Morningstar sustainability ratings, ESG risk scores, and ESG-themed versus non-ESG-themed ETFs, to analyze the impact of different rating indicators on ETF returns.
The results show that, in the Morningstar sustainability rating theme (Theme 1), the annualized return of the five-star rated ETF portfolio is 12.75%, outperforming the three-star (6.24%) and one-star (7.17%) portfolios. In the ESG risk score theme (Theme 2), the annualized return of the low ESG risk portfolio is 8.21%, higher than the high ESG risk portfolio's 6.46%. In the ESG theme versus non-ESG theme (Theme 3), the higher the sustainability rating of the ESG- themed ETF portfolio, the better the returns, with the five-star rated portfolio achieving an annualized return of 14.31%, surpassing the four-star (13.94%) and three-star (7.84%) portfolios. However, it is also found that non-ESG-themed ETFs outperform ESG-themed ETFs in terms of returns and risk-adjusted returns, but they come with higher investment risks and volatility.
The empirical analysis results of this study reveal that high ESG-rated ETFs demonstrate significant advantages in terms of long-term returns and risk resilience, especially during market volatility. It is suggested that future pension funds consider incorporating ESG ratings as a standard for portfolio screening. Pension fund managers can consider making high ESG-rated ETFs a core part of their investment portfolios to enhance the stability and sustainability of the funds. |
| Reference: | 王儷玲、黃泓智、楊曉文、彭金隆(2023)。全方位退休理財與保險規劃。台北:台灣金融 研訓院
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Thinking Ahead Institute. (2024). Global Pension Assets Study. Thinking Ahead Institute.
Lee, L.-E. (2023). Measuring ESG impact and integration: Challenges and insights. Journal of Sustainable Finance & Investment, 13(1), 45-60.
Morningstar, Inc. (2021). Morningstar Sustainability Rating Methodology. |
| Description: | 碩士
國立政治大學
風險管理與保險學系
111358027 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0111358027 |
| Data Type: | thesis |
| Appears in Collections: | [風險管理與保險學系] 學位論文
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