運用MCDM探討退休基金選擇代操投信公司的考量因素與決策－以台灣為例

Combined MCDM Method for Exploring The Considerations and Decisionsin Selecting Fiduciary Investment Trust Company of Labor Pension Funds：A Case Study in Taiwan

吳宇凡(Yu-Fan Wu)

指導教授 ： 李文雄

淡江大學/商管學院/企業管理學系碩士班/碩士(2014年)

https://doi.org/10.6846/TKU.2014.01017

摘要

隨著老年人口比例上升，預期退休人口也不斷增加，對於勞工退休基金（以下簡稱勞退基金）的管理也更加被重視，期望有更好的績效，而伴隨著諸多優點，國內政府開始採取「委外代操」的方式管理國內勞退基金，但效果不如預期，需要一個更佳的評選代操機構標準。本研究採用的MCDM法能找出各項因素的相對關係，並計算出各項因子權重，找出關鍵評選準則，並根據各項因子權重排列出方案的優劣順序，並做出最佳的決策，很適用於需要考量各項因素的委外代操評選決策。
　　首先，以共同基金績效為中心，透過回顧過去文獻找出哪幾項構面最常被學者所提及，從中我們找出了「受託機構概況」、「經理人能力與投資策略」、「公司治理」三項構面，並進一步的深入探討，找出了「機構內部資源」、「過去基金績效」、「公司財務表現」、「經理人能力」、「投資策略」、「道德規範」、「風險管理機制」七項次因子；隨後，進行專家問卷訪談回收16份有效問卷，應用DEMATEL法計算出各項準則的關聯性，發現「經理人能力」有最高的影響力，代表若欲改善其他準則可以優先改善此項，而「投資策略」擁有最大關聯性，表示此項為專家學者認為較重要的評選準則；再來應用DANP法求出各項準則權重，得出「投資策略」及「風險管理機制」有較高權重，而「財務概況」則相對其他準則來說較不被重視；最後應用VIKOR法進行三家投信的績效評估，得出C投信同時擁有最高總績效值及最低平均差距（gaps）為相對最佳決策。
　　本次研究結果推論，政府評選基金代操機構時，應該更加注重投信機構的策略執行及管理層面，而非財報或規模大小等機構本身營運狀況層面，因為一個良好的策略足以彌補內部資源不利的條件；同時，本研究證實MCDM能有效運用在評選代操機構上，為一優良的決策工具，且能用來做為改善績效的參考指標。

關鍵字

MCDM方法 ； 勞退基金 ； 委外代操 ； 投信機構評選

並列摘要

With the increase in the proportion of the elderly population,the population who expected to retire is also continue to increase,and also the Labor Pension Fund management is more valued.Expect to have better performance,the domestic government began to take "Outsourcing Fiduciary "approach in the management of domestic labor pension fund with many advantages. However,the effect is not as good as expected.We need a better standard whitch selection the fiduciary agency. MCDM method used in this study can identify the relative relationship between the factors,calculate the weight of each factor,identify the key selection criteria,and according to the factor weights to array the sequence of the programs.Finally,choose the best decisions.It is applicable to the outsourcing selection decisions that need various factors to be considered.
　　First,through past literature to find out which of several facets has been studied by scholars that based on the performance of mutual funds.We find out the "Trustee overview", "Manager capability and investment strategies", "Corporate governance" three dimensions,and further in-depth discussion to find out the "Internal resources", "Past fund performance","Financial performance", "Manager ability", "Investment strategy", "Ethics", "Risk management mechanism", seven minor factors. Subsequently,recover 16 valid questionnaires by expert questionnaire interviews,and application DEMATEL method to calculate the relevance of the criterions.We found that "Manager capability " has the highest influence, if you want to improve other criteria,you can priority to improve this criterion."Investment strategy" has the largest association, which represents the experts believe this is a more important selection criterion.Next,use the DANP method to calculate the weights of the criterions,found"Investment Strategy" and "Risk management mechanisms" have higher weights,and "Financial Review" has not being taken seriously which relatives other criterion.Finally,use the VIKOR method to evaluation performance of the three investment trusts.We found the C Investment Trust has both the highest value and the lowest average total performance gaps,which is the optimal decision relatively.
　　The results of this study inferences,when government selection the fund’s fiduciary agency should pay more attention to the implementation of strategies and management in investment trust, rather than the financial statements or the size of the scale themselves,such as the level of operating conditions. Because a good strategy is sufficient to compensate the unfavorable conditions of internal resources; Meanwhile,the study confirmed the MCDM method can used in the selection of fiduciary trust effectively.This is a good decision-making tools, and can be used as a reference index to improve performance.

並列關鍵字

MCDM methods ； Labor pension funds ； Fiduciary ； Investment trust selection

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