倫理基金績效評估與風險值之應用

Ethical Fund Performance Evaluation and the Application of Value at Risk

李中琪(Chung-Chi Lee)

指導教授 ： 胡為善

中原大學/商學院/企業管理研究所/碩士(2006年)

https://doi.org/10.6840/cycu200600423

摘要

隨著國際社會對企業責任越發重視，社會責任投資已然成為一股不可忽視的力量。本研究目的在探討以企業社會責任為選擇標的而組成的倫理基金，是否較其他基金組合有著更好的報酬率與較低的風險值。研究方法初期使用問卷分析法，由專業人士依照製造業以及服務業評選出最具社會責任以及不具社會責任的企業，組成倫理基金與非倫理基金，之後採取傳統基金績效的評估、風險值的衡量方式做研究，實証結果如下：
一、傳統基金績效的評估方面，使用Treynor、Sharpe、Jensen與修正後Jensen指標來衡量績效，結果顯示倫理基金與非倫理基金相比，顯著的有較好的績效，而服務業的績效皆為負值，顯示製造業仍是可以獲得較高的基金績效。
二、以風險值修正Sharpe指標後，製造業中的倫理基金績效較好，而CV值衡量的結果顯示每單位報酬率所承擔的風險也較小，顯示出倫理基金仍是較佳的選擇。
研究最後學生認為，倫理基金確實有值得投資的優勢在，專家建議在開始時仍以私募發行的方式最為適合；希望看到投資者、基金經理人與政府對社會責任的重視，並期許在台灣市場能早日看到倫理基金的成立。

關鍵字

企業社會責任 ； 倫理基金 ； 夏普指標 ； 傑森指標 ； 社會責任投資

並列摘要

Along with the emphasis on corporate social responsibility (CSR) from Occident during the past decades, the social responsibility (SR) investment has also become a conspicuous trend. Ethical fund is a kind of social responsibility investment, which is established based on a criteria to invest the companies which implement social responsibility. This study attempts to examine whether the “ethical fund” has a higher rate of return than that of the “unethical fund”, containing the companies which are deemed not to emphasize social responsibilities.
This work also explores the relationship between social responsibility and financial performance. First, the questionnaires were distributed to 154 financial experts to select 20 most socially responsible companies from the manufacturing industries and 10 most socially responsible companies from the non-manufacturing industries. The exports also chose 20 most socially irresponsible corporations from the manufacturing industries and 10 most socially irresponsible corporations from the non-manufacturing industries. Second, the traditional fund evaluation indices and the modified Sharp index are carried out for optimal analysis. The conclusions are summarized as follows:
1. This study compares the performance of the portfolio containing SR firms with that of non-SR firms by using Treynor, Sharpe, Jensen , and adjusted Jensen indices. The result shows that SR portfolio outperforms non-SR portfolio.
2. This work then uses Sharpe Index with Value-at-Risk (VaR) to measure the rate of return and the risk on investment, the findings indicate that Ethical funds outperformed the non-ethical funds and the ethical funds undertake lower risk than non-ethical funds.
3. According to the results based on the interviews with three experts, this work learns that, during the short-term period, the Ethical Fund should be established by private placement rather than by publicly listing.
4. In summary, ethical funds outperform unethical funds on both financial and social functions by employing four indices. This study also finds that the Ethical Fund has lower risk than non-ethical fund. This investigation also suggests that government shall emphasize on implementing SR investment and encourage the trust fund company and the security firms to issue ethical funds in order to promote the concept of social responsibility.

並列關鍵字

Treynor ； Sharp Index ； Social Responsibility ； Jensen Index ； Ethical Fund

參考文獻

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