企業社會責任指數之投資組合最佳化─以臺灣永續指數為例

企業社會責任(Corporate Social Responsibility，簡稱CSR)意指企業在追求最大獲利的過程中，對自然環境及社會所需承擔的責任。在國外，企業社會責任型指數很早就開始發展。1999年發布的道瓊永續指數(Dow Jones Sustainability Index, DJSI)以環境(Environment)、社會(Society)與公司治理(Government)三面向，評判企業是否有「可持續性」，並能夠因應情勢調整經營策略並長期發展。臺灣社會近年來也越來越重視企業社會責任。2017年，臺灣證交所與富時羅素(FTSE Russell)即共同發布臺灣永續指數，且針對ESG三面向綜合評量上市公司之表現，篩選出其成分股，並採用自由流通市值加權法。然而，根據累積報酬率的比較，臺灣永續指數自2017年12月發布以來，績效表現並無明顯優於指標績效(臺灣50)。因此，如何就台灣永續指數之成分股建立超越指標績效的投資組合，是本研究之目的。本研究旨在透過三種投資組合優化方式─風險分散(Risk diversification)、風險最適(Risk optimal)與風險等價(Risk parity)，以臺灣永續指數之成分股重新建構投資組合。本文之數據資料皆來自臺灣經濟新報資料庫。結果指出本研究建構之三種投資組合，在樣本期間內皆有較好的績效表現，並且以風險分散最佳，風險最適其次，最後為風險等價。本研究之結果顯示投資企業社會責任型指數之最佳策略，能提供投資人多一種長期投資選股的準則，並為臺灣永續指數編製之政策目的提供部分支持。

關鍵字

企業社會責任型指數；社會責任投資；資產配置；投資組合；風險分散

並列摘要

Corporate Social Responsibility refers to the responsibility that companies need to assume while pursuing maximum profit. In foreign countries, CSR indexes has been developed very early. For example, the Dow Jones Sustainability Index (DJSI) which released in 1999, uses three aspects of Environment, Society and Corporate Governance to judge whether a company is "sustainable". Taiwanese society has paid more attention to corporate social responsibility these years. In 2017, Taiwan Stock Exchange (TWSE) and FTSE Russell released FTSE4Good TIP Taiwan ESG Index, which composed by companies that with good performances in ESG. However, based on the comparison of cumulative returns, the performance of Taiwan Sustainability Index has not been significantly better than Taiwan 50. Therefore, how to build an investment portfolio with the constituent stocks of FTSE4Good TIP Taiwan ESG Index that can exceed the performance of Taiwan 50 is the purpose. This research aims to rebuild the portfolio with the constituent stocks of FTSE4Good TIP Taiwan ESG Index through three portfolio optimization methods: risk diversification, risk optimal and risk parity. Data comes from Taiwan Economic Journal Database. Results point out that the three portfolios optimization methods all performance better than Taiwan50 during the sample period. Risk diversification is the best, followed by Risk optimal, and Risk parity the last. It shows that the best strategy for investing in corporate social responsibility indexes, which can provide investors with one more long-term investment selection and provide support for the policy purpose of compiling FTSE4Good TIP Taiwan ESG Index.