社會責任指數與邪惡指數投資績效

隨著環保意識的提升，大家對於「社會責任」議題逐漸重視，然而投著者對於標地物則是持有不同的態度。「社會責任指數」指出投資者會以注重勞資關係、尊重人權、重視環保、生產安全有益產品及減少資源耗竭的公司證券為其投資標的。「邪惡指數」則是專門投資菸草、酒類、賭博、軍火等相關證券。本研究以貝它係數、標準差、夏普指數及一年年均報酬率、三年年均報酬率、五年年均報酬率加以分析。統合彙整以上的分析數據，找出相對表現較佳的基金商品，並採用變異數、歷史模擬法與蒙地卡羅模擬法計算出風險值，提供給投資人參考投資方向。以來看，ISE邪惡指數的數值較大，其值為0.009331，而Clvrt社會責任指數的數值較小為-0.000390，表示ISE邪惡指數報酬超越大盤之預期報酬最佳。就而言，Clvrt社會責任指數之值1.097230，表示S&P 500整體股價指數上漲100％時，Clvrt社會責任指數的價格將同時上漲109.723％；ISE邪惡指數基金之值0.785525，表示整體股價指數上漲100％時，ISE邪惡指數基金的價格將同時上漲78.55％。在空頭時期，Clvrt社會責任指數與ISE邪惡指數之年化報酬率介於-11.986％∼-10.376％，年化標準差介於6.35％∼6.66％，貝它指數介於0.72∼1.12，夏普指數介於-0.1968∼-0.3837，風險值介於4.67％∼4.97％；在多頭時期，Clvrt社會責任基金與ISE邪惡指數基金之年化報酬率介於10.03％∼24.24％，年化標準差介於2.74％∼3.29％，貝它指數介於0.91∼1.0738，夏普指數介0.2039∼0.4825，風險值2.089％∼2.097％。以風險值來看，在空頭市場與多頭市場皆是以ISE邪惡指數較Clvrt社會責任指數良好。

關鍵字

社會責任指數；邪惡指數；風險值

並列摘要

With the enhancement of environmental awareness of all the "social responsibility" and that gradually importance, however, the subject of investors to invest is a different attitude. "Index of social responsibility," pointed out that investors will focus on labor-management relations, respect for human rights, attention to environmental protection and reduce the depletion of natural resources for its investment in securities of companies subject, while the "evil index" is devoted to investment in tobacco, alcohol, arms and other related securities aggregate index. The purpose of this study were beta coefficient, standard deviation, Sharpe index and an average annual rate of return a year or three years at an average annual rate of return analysis. Integration to aggregate data from the above analysis to identify a better index of the relative performance of commodities, and the use of variance, historical simulation and Monte Carlo simulation method to calculate VaR, provided to investors, investment direction reference. In the short period of time, Clvrt social responsibility evil ISE index and the average annual index return between -28.5% -12.8%, the annual standard deviation of between 22% ~ 23%, the risk value is between 0.1314 ~ 0.1963; in the long period of time , Clvrt Social Responsibility Fund and evil ISE index funds at an average annual rate of return of between 9.64% ~ 22% of the standard deviation was between 9.5% ~ 11.4%, the risk value is between 0.0410 ~ 0.0949.