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退休基金國內資產最適配置之研究 —以勞工保險基金為例

THESIS ABSTRACT SENIOR PUBLIC ADMINSTRATION COLLEGE OF MANAGEMENT NATIONAL TAIWAN UNIVERSITY

指導教授 : 洪茂蔚

摘要


本文著重於勞工保險基金國內投資業務之最適資產配置實證研究,期以作為退休基金管理單位進行資產配置規劃之參考。在不同景氣期間下,假設各投資資產設限比重不同條件之四種基金型態模式,以平均數-變異數方式規劃投資組合預期報酬率與其風險之關係、並劃出各假設模式之效率前緣線,而資產配置以「單位風險報酬」最大化為目標並輔以VaR為限制式,求解出最佳化之投資組合。 依本研究實證分析結果,說明如下: 一、取樣資料基本分析: (一)不同景氣時期之各項資產的基本資料分析發現:取樣期間在全循環期與景氣擴張期時,股票類(金融保險類股與其他16類股除外)為高收益高風險性質之資產,於景氣收縮期則呈現低收益高風險特性。在全循環期與景氣擴張期「單位風險報酬」最高之資產為金融債券,而景氣收縮期「單位風險報酬」最高之資產則為政府公債。 (二)不同景氣時期各資產間相關係數:各景氣時期固定收益型資產間都呈現高度相關、各類型股票間之相關性則較低。全循環期與景氣擴張期時,鋼鐵類股與各類固定收益型資產之間有較高之負相關,故加入鋼鐵類股可有效降低投資組合之風險。 二、 不同景氣時期下假設各基金型態模式之實證結果顯示: (一)各景氣時期之「投資資產未限制比重」模式之投資組合標準差、預期報酬及效率前緣:景氣收縮期之投資組合標準差與預期報酬率之全距較其他二時期小。而效率前緣在景氣擴張期較全循環期呈現往左上方偏移,顯示景氣擴張期的投資組合,在同一風險下可獲得更高的預期報酬。 (二)各景氣時期不同基金模式之最佳投資組合:「投資資產未限制比重」模式及「債券型」模式在各時期之投資組合偏重於債券。「股票型」模式之投資組合在全循環期及景氣擴張期時,各股票類中以塑膠類股最高;景氣收縮期則全部配置於電子類股。「平衡型」模式在各景氣時期之最高配置比重為公司債。 三、風險值(VaR)在資產配置應用之實證結果顯示: (一)本研究VaR之計算係以報酬率方式表達,在各景氣時期「股票型」與「平衡型」模式之VaR均為負數。而「投資資產未限制比重」模式及「債券型」模式之VaR則為正數,投資組合預期報酬相對較低,顯示此二種基金模式若略提高風險時,可獲取更高預期報酬。 (二)「投資資產未限制比重」模式及「債券型」模式VaR趨近於0時之最佳投資組合:全循環期與景氣擴張期時因允許承受較多風險,故會增加股票投資比重,使得投資組合預期報酬率與標準差均增加,「單位風險報酬」也因此降低。景氣收縮期則因股票預期報酬原本就為負報酬率,故發生投資組合預期報酬率減少與標準差增加的現象。 四、勞保基金資產配置可行性之實證顯示: (一)突破現行法規之最適資產配置分析:不同景氣狀態下,固定收益型資產之投資比重配置於上限,而金融類股及其他(16類股綜合)類股之投資比重則配置於下限。全循環期時隨著定期存款投資比重遞減,塑膠類、汽車類及電子類股投資比重遞增,景氣擴張期時則塑膠類、鋼鐵類及電子類股投資比重遞增;其中鋼鐵類股在景氣擴張期之投資比重較全循環期更加明顯,此點與在取樣資料相關性分析時所作的推論,獲得進一步證實。整體而言,在不同景氣期間,隨著定期存款投資比重遞減的過程中,投資組合預期報酬均逐漸增加,惟其風險增加速度更快。 (二)依現行法規之最適資產配置分析:考量勞保基金投資法令規範恐難於短期內修訂及參酌英、美保險業近年來持有股票之比重大幅下降之趨勢,實有必要了解在目前投資規範下之最適資產配置;經本文實證發現:於全循環期與景氣擴張期二時期求得之最適資產配置,債券部位佔總資產高達94%以上。若進一步允許風險值(VaR)趨近於0,適度增加風險以期獲取更高報酬,實證顯示全循環期與景氣擴張期之債券投資部位略降,惟仍達82%以上,其中全循環期之股票類股比重由2.7%增加至9.8%,且由原配置在鋼鐵類股增加塑膠類股有分散類股之效果;而景氣擴張期之股票部位由比重3.4%,經調整VaR值後,比重增加至15.5%,分別配置在鋼鐵類、金融保險、電子及塑膠等四類股以鋼鐵類股比重較高。

並列摘要


THESIS ABSTRACT SENIOR PUBLIC ADMINSTRATION COLLEGE OF MANAGEMENT NATIONAL TAIWAN UNIVERSITY NAME:Lee, Ruey-Ji MONTH/YEAR:JUNE,2005 ADVISER:Hung, Mao-Wei TITLE:Study on the optimal asset allocation portfolio in the local investment environment of the Labor Insurance The article is to present a factual research study on the optimal asset allocation portfolio in the local investment environment of the Labor Insurance Fund. The article may be considered as an asset allocation investment reference for the financial supervisory authority in pension fund investment management. In the various stages of the economic cycles, assuming that there are four types of funds, each with its respective asset mix, while employing the mean-variance method in forming the portfolios’ expected return and risk, thereby constructing the four different type of efficient frontiers. With the optimal asset allocation strategy is to maximize total return from per unit of risk, aid by Value at Risk (VaR) as a constraint, thus forming the optimal investment portfolio. Based on outcome of the research analysis, as following, 1. Sample analysis A. Sample analysis of various asset classes at the various stages of economics cycle had reviewed: In our sampling period and over the period of a complete economic cycle, equity has exhibited the characteristic of a high risk-high return asset, whilst under a period of an economic contraction cycle, equity has displayed a characteristics of a high risk-low return asset. Analysis also showed that over a period of a complete economic cycle, and that of an expansion cycle, corporate bond has been the asset with highest rate of return to risk, and under a period of contraction cycle, government bond has been the asset that demonstrated highest rate of return to risk. B. The correlation of various asset classes at various stages of economic cycles: In the various stages of economic cycles, asset with fixed income characteristic has demonstrated high correlation, while the correlation amongst equity assets has been relative low. In a period of on expansion cycle and in period of a complete economic cycle, steel sector has demonstrated negative correlation with that of fixed income assets, as a result the addition of steel stocks should lower the overall risk of a investment portfolio. 2. Analysis of the different type of funds under the various economic cycles reviewed: A. The portfolio’s standard deviation, expected return and efficient frontier of the “no-constrain in asset mix” portfolio in the various stages of economics cycle: In a period of economic contraction cycle, the deviation of the portfolio’s standard deviation and its expected return are lesser than that in the other two stages. Whilst the efficient frontier in an expansion cycle will tend to move upper leftward, compared to the efficient frontier in a period of a complete economic cycle period. The implication is that given a specific risk level, the expected return of a portfolio should be relative higher in an expansion cycle compared to that of the other various cycles. B. The best investment portfolio in the various stages of economics cycles. . At the various of stages of economic cycles, the “no-constrain in asset mix” portfolio and the bond portfolio have favored fixed income assets. Whilst the equity portfolio has favored the plastic sector in period of a complete economic cycle, as well as in a period of an expansion cycle. In period of contraction cycle the equity portfolio has favored the technology sector. Corporate bond retain the highest weight in a balanced portfolio, in regardless of which stage of economic cycle. 3. The application of Value at Risk (VaR) in asset allocation: A. The denotation of VaR is in the form rate of return. In the various stages of economic cycle, both the equity portfolio and balance portfolio has demonstrated negative VaR. Whereas, the ”no-constraint” portfolio and bond portfolio has shown positive VaR, and the portfolios’ expected return were relatively lower. This also implies that if the risk level is increased then higher expected return can be generated for both the ”no-constraint” portfolio and bond portfolio. B. The best investment portfolios when both VaRs of the ”no-constraint” portfolio and bond portfolio is near zero. In the period of a complete economic cycle, and also in the period of a expansion cycle, the equity weight is likely allow to increase, thereby increase the expected return and standard deviation of the portfolio. This also lowers the rate of return to risk. In the period of a contraction cycle, and the fact that expected return is likely to be negative, this will result in expected return to decline and increase in standard deviation. 4. Practical application of the asset allocation strategy by the Labor Insurance Fund reviewed that: A. The optimal asset allocation strategy, which is not subjected to the current rules and regulations, imposed the authority. In the various stages of economic cycles, the weight of fixed income assets should be at maximum level, while the weight of financial stocks and others stocks should be kept at minimum level. In period of a whole economic cycle, the weight of cash deposit should be reduced, while weight of plastic, steel, auto and technology sectors should then be increased. The effect of the steel sector weight is more apparent in period of an expansion cycle compared to that in a period of a whole economic cycle. The hypothesis was further confirmed during the course of data sampling. Overall, in the various stages of the economic cycles, as the weight of cash deposit decreases, the expected return of portfolio amplify, while the overall risk raises as well. B. The optimal asset allocation strategy, which is subjected to the current rules and regulations, imposed the authority. Taking into considerations that there are no quick fixed to the current Labor Insurance investment regulations and also recognize the recent trend of increase disinvestments of equity assets by insurance companies in both United States and United Kingdom, there is a need to understand and identify the optimal investment portfolio, in the presence of the current legal constraints. This article has identified that in the period of a whole economic cycle and in period of an expansion cycle, the optimal investment portfolio would have a fixed income asset weight of 94% or more. Furthermore, if we are to allow VaR to close to zero, and increase risk tolerance in order to seize higher return, the research identified that the required reduction in fixed income weight is minor, at 82% or more. As a result the equity weight in the optimal portfolio should then be increased from 2.7% to 9.8%, by adding mainly the steel sector, which already has a weight in the optimal portfolio. Increasing weights of the plastic sector should also add diversification to the equity position. In the period of a expansion cycle, the equity weight of the optimal portfolio should then increase from 3.4%, adjusting the VaR, to 15.5%, with weight increase mainly going into the steel, insurance, technology, and plastic sectors. The steel sector should have the largest weighting among the four sectors.

參考文獻


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被引用紀錄


翁尚怡(2011)。勞保基金資產配置之研究〔碩士論文,淡江大學〕。華藝線上圖書館。https://doi.org/10.6846%2fTKU.2011.00187
劉妙惠(2010)。以目標日期基金作為退休理財策略之評估〔碩士論文,國立臺灣大學〕。華藝線上圖書館。https://doi.org/10.6342%2fNTU.2010.00637

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