| dc.contributor.advisor | 王儷玲 | zh_TW |
| dc.contributor.advisor | Wang, Li-Ling | en_US |
| dc.contributor.author (作者) | 張祐誠 | zh_TW |
| dc.contributor.author (作者) | Chang, Yu-Cheng | en_US |
| dc.creator (作者) | 張祐誠 | zh_TW |
| dc.creator (作者) | Chang, Yu-Cheng | en_US |
| dc.date (日期) | 2024 | en_US |
| dc.date.accessioned | 4-九月-2024 13:40:23 (UTC+8) | - |
| dc.date.available | 4-九月-2024 13:40:23 (UTC+8) | - |
| dc.date.issued (上傳時間) | 4-九月-2024 13:40:23 (UTC+8) | - |
| dc.identifier (其他 識別碼) | G0111358027 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/153065 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 風險管理與保險學系 | zh_TW |
| dc.description (描述) | 111358027 | zh_TW |
| dc.description.abstract (摘要) | 近年來永續投資已成為國際主流趨勢，而將投資組合納入 ESG 評分是否可以增加 投資報酬率，也成為學術界在研究 ESG 篩選機制與投資績效關聯性的主要議題。本研究 旨在探討 ESG 評級對 ETF 投資組合表現的影響，使用 2015 年至 2024 年晨星 ESG 評級資 料，針對 ETF 的永續評級及投資組合風險指數進行分類，並依規模排序，用 Portfolio Visualizer 進行投資組合模擬回測，分析夏普指數、年化報酬率、最大下跌幅度等統計指 標。研究方法是透過三個主題分類:晨星永續評級、ESG 風險分數、ESG 主題與非 ESG 主 題等，分析不同評級指標對 ETF 報酬率的影響。
研究結果顯示，主題一晨星永續評級中，五星評級 ETF 投資組合年化報酬率為 12.75%，優於三星(6.24%)及一星(7.17%)的投資組合。主題二 ESG 風險分數中，低 ESG 風險投資組合的年化報酬率為 8.21%，高於高 ESG 風險投資組合的 6.46%。主題三 ESG 主題中，ESG 主題 ETF 投資組合的永續評級越高，報酬率越好，而五星評級的年化 報酬率為 14.31%，優於四星(13.94%)及三星(7.84%)，但是也發現不具 ESG 主題的 ETF 在回報率和風險調整後回報上卻優於 ESG 主題的 ETF，同時也伴隨著更高的投資風 險和波動。
本研究實證分析結果發現，高 ESG 評級的 ETF 在長期回報及風險韌性方面展現出 顯著的優勢，特別是在市場波動期間，建議未來退休基金可以考慮納入 ESG 評級作為投 資組合篩選標準。退休基金管理者可以考慮將高 ESG 評級 ETF 作為核心投資組合的一部 分，以提升基金的穩健性和永續性。 | zh_TW |
| dc.description.abstract (摘要) | In recent years, sustainable investing has become a mainstream international trend. The question of whether incorporating ESG ratings into investment portfolios can enhance investment returns has become a major topic of academic research on the relationship between ESG screening mechanisms and investment performance. This study aims to explore the impact of ESG ratings on the performance of ETF investment portfolios, using Morningstar ESG rating data from 2015 to 2024. ETFs are classified based on their sustainability ratings and investment portfolio risk indices, sorted by scale, and analyzed using Portfolio Visualizer for portfolio simulation back- testing. Statistical indicators such as the Sharpe ratio, annualized return, and maximum drawdown are analyzed. The research methodology involves three thematic classifications: Morningstar sustainability ratings, ESG risk scores, and ESG-themed versus non-ESG-themed ETFs, to analyze the impact of different rating indicators on ETF returns.
The results show that, in the Morningstar sustainability rating theme (Theme 1), the annualized return of the five-star rated ETF portfolio is 12.75%, outperforming the three-star (6.24%) and one-star (7.17%) portfolios. In the ESG risk score theme (Theme 2), the annualized return of the low ESG risk portfolio is 8.21%, higher than the high ESG risk portfolio's 6.46%. In the ESG theme versus non-ESG theme (Theme 3), the higher the sustainability rating of the ESG- themed ETF portfolio, the better the returns, with the five-star rated portfolio achieving an annualized return of 14.31%, surpassing the four-star (13.94%) and three-star (7.84%) portfolios. However, it is also found that non-ESG-themed ETFs outperform ESG-themed ETFs in terms of returns and risk-adjusted returns, but they come with higher investment risks and volatility.
The empirical analysis results of this study reveal that high ESG-rated ETFs demonstrate significant advantages in terms of long-term returns and risk resilience, especially during market volatility. It is suggested that future pension funds consider incorporating ESG ratings as a standard for portfolio screening. Pension fund managers can consider making high ESG-rated ETFs a core part of their investment portfolios to enhance the stability and sustainability of the funds. | en_US |
| dc.description.tableofcontents | 第一章 緒論1
第一節 研究背景與動機 1
第二節 研究目的 2
第三節 研究流程 2
第二章 文獻回顧 4
第一節 ESG 投資 相關文獻 4
第二節 ESG 資產配置及績效相關文獻 5
第三節 退休基金與 ESG 投資相關文獻 5
第三章 研究設計 6
第一節 資料來源 6
第二節 研究方法 7
第三節 永續評級篩選指標說明 9
第四節 回測績效指標 22
第四章 回測結果與統計分析 25
第一節 主題一:使用晨星永續評級篩選 25
第二節 主題二:使用 ESG 風險評級進行篩選 33
第三節 主題三:ESG 概念 ETF 與一般 ETF 比較 42
第五章 結論與建議 51
參考文獻 53 | zh_TW |
| dc.format.extent | 1975762 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0111358027 | en_US |
| dc.subject (關鍵詞) | 永續投資 | zh_TW |
| dc.subject (關鍵詞) | 永續評級 | zh_TW |
| dc.subject (關鍵詞) | 投資績效 | zh_TW |
| dc.subject (關鍵詞) | 波動度 | zh_TW |
| dc.subject (關鍵詞) | ESG ETFs | zh_TW |
| dc.subject (關鍵詞) | ESG ETFs | en_US |
| dc.subject (關鍵詞) | sustainable investing | en_US |
| dc.subject (關鍵詞) | sustainability ratings | en_US |
| dc.subject (關鍵詞) | nvestment performance | en_US |
| dc.subject (關鍵詞) | volatility | en_US |
| dc.title (題名) | 退休基金整合 ESG 標的之資產配置分析 | zh_TW |
| dc.title (題名) | The Analysis of Pension Fund Asset Allocation Integrating ESG Investment | en_US |
| dc.type (資料類型) | thesis | en_US |
| dc.relation.reference (參考文獻) | 王儷玲、黃泓智、楊曉文、彭金隆(2023)。全方位退休理財與保險規劃。台北:台灣金融 研訓院
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