納入ESG基金對中長期基金投資組合效率性之影響

Abstract

ESG議題逐漸受到國人重視，也影響國人投資傾向；本論文針對國人在使用共同基金作為中長期投資時，納入ESG基金對中長期基金投資組合效率性之影響進行探討；尤其在全球人口老化嚴峻，退休金籌措迫在眉睫之際，中長期投資備受關注。本研究利用2021年6月臺灣基金管理公司所發行的共同基金，經過條件篩選出適合中長期投資之基金，輔以晨星(Morningstar)同期間，永續投資評級篩選出的四顆地球及五顆地球(以下簡稱為『ESG基金』)之基金為樣本，基金投資組合藉由納入不同的ESG基金投資比例、期間與規模等變數，利用Python執行投資組合資產配置及Efficient Frontier模型進行研究。實證結果顯示，基金投資組合納入ESG基金，尤其是規模大於五億元以上且成立超過三年以上的ESG基金，能使中長期投資組合的效率性提升，適合國人作為中長期投資(如退休金)之組合標的。There is a growing interest in the ESG issues in Taiwan which affects people’s medium to long-term investment tendencies. The purpose of this study was to assess the effect of including ESG funds in portfolios on medium to long-term portfolio efficiency. Especially with the global rise of the elderly population, retirement pension plans play an even more important role in people’s lives.This study conducts empirical studies by using the mutual funds issued by an asset management company in Taiwan in June 2021. Multiple dimensional conditions and the Morningstar ESG rating scores (four “Earths” or above) were applied in the sample selection process to find funds that are suitable for medium and long-term investment. Variables such as the investment ratio, period, and size of different ESG funds were incorporated in the selected investment portfolios, which were tested by the Efficient Frontier model analysis and Python with the portfolio asset allocation.The result shows that investing in ESG funds does make the medium to long-term performance more efficient and outstanding, especially for those with AUM (Assets Under Management) of more than 500 million NT dollars and have been established for more than three years. This study suggests that investing in ESG funds is suitable for a medium and long-term investment portfolio such as pensions for Taiwanese people.