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    題名: 臺灣公務人員退休撫卹基金的績效分析與投資政策之探討
    其他題名: Analysis of the public service pension fund portfolio performance and its investment policy
    台灣公務人員退休撫卹基金的績效分析與投資政策之探討
    作者: 簡湘穎;Chien, Hsiang-Ying
    貢獻者: 淡江大學管理科學研究所碩士班
    陳登源;Chen, Deng-Yuan
    關鍵詞: 台灣公務人員退撫基金;績效歸因分析;投資政策;積極投資活動;Public Service Pension Fund;Performance Attribution Analysis;investment policy;Active Investment Decisions
    日期: 2011
    上傳時間: 2011-12-28 18:16:10 (UTC+8)
    摘要: 退休基金投資哲學實屬長期性的投資策略,但在長期下存在許多無法預期的事件;這些不確定事件使我們的預期報酬率產生偏離。因此,如果基金管理單位可以發現最重要的績效影響因素,並據此調整,對退休基金的管理和績效可能會有很大的改善與提升;故本研究針對該基金進行績效分析,探討其決定因素。此外,退休基金管理單位的投資政策與實際資產配置並沒有相互一致,加上本研究期間為金融危機時期,造成實際投資績效與目標報酬率的落差更形擴大;故本研究提出修正投資策略的方案:假設目標報酬率完全等同於市場實際報酬率。
    本研究資料來自公務人員退撫基金自民國97年~99年,共計36個月期的績效表,根據Brinson, Hood and Beebower(1986)報酬分析架構(本研究稱之為BHB模式),將投資活動報酬分為四個象限:(Ⅰ)投資政策報酬(消極的投資組合指標)、(Ⅱ)投資政策及擇時策略報酬、(Ⅲ)投資政策及證劵選擇策略報酬和(Ⅳ)實際投資組合報酬;並再將BHB模式稍作修改,是為修正的BHB模式。研究結果包含以兩個不同模式為架構的分析結果,每個模式皆包含月資料與年資料。研究發現,採用年資料和修訂的BHB模式為分析基礎所得之投資政策(Ⅰ)、投資政策及擇時策略(Ⅱ)解釋實際投資組合報酬變動分別為99.82%、99.19%;而使用月資料時,不論採用BHB模式或是修訂的BHB模式,投資政策(Ⅰ)、投資政策及擇時策略(Ⅱ)均對實際投資組合報酬變動沒有顯著的解釋能力;顯示觀察期間較長,且在修訂的BHB模式之分析架構下,投資政策為影響基金報酬變動的重要因素。
    本研究建議,相關管理機構若能針對投資政策徹底檢討,審慎訂定投資政策並確切落實,長期而言,退撫基金的管理會更有效率。
    The pension fund investment philosophy is a long-term investment strategy in which there are many unpredictable events. And these uncertain events will immediately make our expected rate of return heavily biased. Therefore, if the pension fund organization can find the most important affecting performance factors and make modifications, it is possibly to improve and upgrade to the pension fund management and its performance. The purpose of this study is the analysis of the fund performance and to explore its determinants. In addition, the pension fund management organization of its investment policies and the actual asset allocation are not consistent with each other, and this study is the period of the financial crisis, resulting in the actual investment performance and the target of return drop even more expanded. Therefore, this study proposes a modified investment strategy, in which the target rates of return are assumed to be exactly the same as that of the real market benchmark rates.
    The data periods is between 2008and 2010, a total of 36 months of the performance table. According to Brinson, Hood and Beebower (1986) framework for return accountability (It is called BHB Model in this study.), the investment return is divided into four quadrants. Quadrant Ⅰ represents investment policy return, Quadrant Ⅱ represents investment policy and timing return, Quadrant Ⅲ represents investment policy and security selection return; Quadrant Ⅳ represents actual portfolio return. And then, BHB model makes some modifications, it is the “Modified BHB Model.” The results contain two different model-based analyses, each model is included monthly and annual data. The study presents that analysis based on using the annual data and Modified BHB Model, investment policy (Ⅰ), investment policy and timing (Ⅱ) explain variation in the actual portfolio return is 99.82% and 99.19%; the use of monthly data, regardless of BHB Model or Modified BHB Model, investment policy (Ⅰ), investment policy and timing (Ⅱ) on variations in the actual portfolio return are no significant explanatory power. It shows that determinants of variations in fund returns are investment policy in longer observation period and the analysis framework of Modified BHB Model.
    This study suggests that if the relevant organizations can review investment policy thoroughly, carefully set and exactly implement it; in the long run, the management of the pension fund will be more efficient.
    顯示於類別:[管理科學學系暨研究所] 學位論文

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