永續責任投資組合的績效、下行保護和主動與被動式策略之分析

An analysis of sustainable and responsible investment portfolios: Performance, downside protection, and active versus passive strategies

吳宗樺(Wu Zong-Hua)

指導教授 ： 湛可南

國立政治大學/商學院/財務管理學系/碩士(2020年)

https://doi.org/10.6814/NCCU202000547

摘要

本文以142個永續責任投資（SRI）基金建立投資組合瞭解其績效、下行保護和主動與被動式策略之影響。本文研究發現，第一，與指標績效相比永續責任投資(SRI)基金的表現不佳，而主動式SRI基金的績效優於被動式SRI基金，第二，被動式SRI基金具有下行保護之效，在經濟上揚階段，主動式SRI基金因選股而勝過被動式SRI基金的績效，但經濟衰退時期，被動式SRI基金的績效反而優於主動式SRI基金，第三，考量費用之後，主動式SRI基金的績效仍優於被動式基金，另外，SRI投資組合風格偏向將其資金著重於增長型股票，而減少於價值型或投資型股票，再者，SRI基金的主動與被動式策略之間的主要區別，在於低迷時期其超額報酬的高低與市場曝險的程度。由上述所見，SRI投資者為滿足SRI標準而付出代價，致使有SRI基金相對於傳統基金而言表現不佳的說法，此外，由於被動式SRI基金在經濟低迷時期提供下行保護，因此SRI基金在選擇投資策略時與傳統基金相反。

關鍵字

永續責任投資 ； 基金績效 ； 投資風格 ； 下行風險

並列摘要

We use a sample of 142 sustainable and responsible investment (SRI) funds as portfolios to compare the performance of SRI funds to the benchmark, to examine their characteristic of downside protection, and to study the choice of active versus passive strategies of SRI funds. We find that, compared to the benchmark, SRI funds underperform, and active SRI funds outperform passive SRI funds. We show that passive SRI funds have outstanding performance as downside protection. During the upturn periods, active SRI funds have better security selection to outperform passive SRI funds. However, during the downturn periods, passive SRI funds outperform active SRI funds. Furthermore, concerning expense fees, active SRI funds still perform better than passive SRI funds. The investment style of SRI funds tends more towards the growth-oriented stocks, and less towards value-oriented, or investment-oriented stocks. The main differences between the active-passive strategies in SRI funds lie in abnormal return and market exposure in the downturn periods. Our findings suggest that SRI investors pay a cost to meet SRI criteria, and advocate that the underperformance of SRI funds relative to conventional funds. Moreover, because passive SRI funds provide downside protection in the downturn periods, SRI funds are opposite to traditional funds in the choice of investment strategy.

並列關鍵字

SRI ； Fund performance ； Investment style ； Downside risk

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