摘要(英) |
The investment performance of the Taiwan labor pension fund has attracted continuing attention of the labors and the government. Since the new labor pension system launched, the poor investment performance has been criticized severely, yet the revealing of the delegated manager fraud further deteriorated the professional image and supervisory ability of the labor pension fund.
This study investigates whether Taiwan RAFI EMP 99 Index is a better relative performance benchmark than TAIEX index for Taiwan labor pension fund’s delegating investment business. It also tries to analyze the correlations between the performance and the characteristics of each delegated fund, such as investment style, stock picking ability, and the market timing ability.
The empirical results show that first, the performance of the Taiwan RAFI EMP 99 Index does not outperform the TAIEX index significantly, but the risk indicators were lower. Second, the performance of each delegated fund is correlated with its tracking-error, investment style, and stock picking ability. Specially, the lower the risk indicators, tracking-error, and the Jensen′s Alpha value is, the better the performance shows. Third, the investment style within the same relative performance group is quite similar, supporting that the investment style is related to the investment performance. Finally, none of the delegated funds demonstrated market timing ability in this analysis period. |
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三、網路資源
1.勞動基金運用局,網址:http://www.blf.gov.tw/。
2.中華民國退休基金協會,網址:http://www.pension.org.tw/tc/index.asp。
3.中華民國勞動部,網址:http://www.mol.gov.tw/。
4.社團法人中華民國企業永續發展協會,網址:http://www.bcsd.org.tw/。
5.經濟部中小企業處,網址:http://www.moeasmea.gov.tw/mp.asp?mp=1。
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