勞退基金績效一直為勞工及政府所關注，新制勞工退休基金開辦以來首先其因績效不佳受外界批評，又受到委託操作經理人舞弊事件之影響，勞退基金在監理及專業形象遭受質疑。本研究探討勞退基金在相對報酬委外操作上，捨棄加權股價指數委以台灣就業99指數做為目標指標下，其指標是否為良好指標。另分析比較各家受託投信其績效來源與基金投資風格、選股能力、擇時能力是否有關聯性。 實證結果發現： 一、台灣就業99指數在績效上無明顯優於加權股價指數，但風險指標較加權股價指數為低。 二、各委託投信績效，顯示其績效來源與Tracking-error、投資風格及選股能力有關聯性，績效整體平均較佳之投信其風險指標、Tracking-error及Jensen’s Alpha數值相對較佳。 三、投資風格分析，績效較佳投信及較差投信在投資風格上各自有相似配置。顯示基金績效與投資風格具關聯性。 四、擇時能力分析則顯示在分析期間基金並不具有擇時能力。;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.
