生命週期基金與全球平衡型基金投資組合探討與績效研究

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题名:	生命週期基金與全球平衡型基金投資組合探討與績效研究
作者:	何美慧;Ho,Mei-Hui
贡献者:	財務金融學系在職專班
关键词:	生命週期基金;平衡型基金;資產配置;夏普指數;Life-cycle funds;Balanced funds;Asset allocation;Sharp Ratio
日期:	2016-07-27
上传时间:	2016-10-13 13:51:50 (UTC+8)
出版者:	國立中央大學
摘要:	隨著高齡化社會來臨時，退休金規劃是許多人重視的議題，但民眾在缺乏足夠的投資經驗及對理財工具的不熟悉下，往往不知如何做選擇，因而錯過了投資的黃金期。本研究之主要目的在於了解生命週期基金與平衡型基金何為較佳的退休理財策略，以國內核備之全球平衡型基金與生命週期基金分析比較，並藉由模擬方式比較目標日期基金與平衡型基金，因著投資組合配置不同對風險與報酬的差異。研究選取MSCI世界指數、Barclays Capital全球綜合債券指數年報酬率進行模擬分析，推估過去三十五年的投資組合報酬率。基金設計方式，首先依照投資者風險偏好區分為積極型、穩健型、保守型，再依目標日期基金滑行路徑進行調整，在此將設定為固定斜率配置方式，而平衡型基金則是維持股債固定比例的方式配置。以夏普指標與標準差來衡量目標日期基金與平衡型基金的績效，結果發現，多數期間以目標日期基金之配置的方式績效較佳，且愈屆臨退休年齡可降低投資組合的風險，此一特性也正符合眾多退休投資者資產需達較安穩的目的。 ;With the arrival of an aging society, retirement pension planning becomes an important topic for many people. However, often times, people do not know how to make their choices due to their lack of sufficient investment experience and unfamiliarity with the financial instruments. As a result, they miss the golden opportunity for investment. The main purpose of this study is to understand why the life-cycle fund and balanced fund are the preferred retirement fiscal strategies, by comparing the analyses between the global balanced fund and the life-cycle fund that have been domestically pre-approved and archived for future reference. In addition, a comparison was done between the target-date fund and the balanced fund, using a simulation method, to determine the differences between the two in terms of risk and reward, due to different portfolio allocations. This study chose the annual rates of return for the MSCI World Index and the Barclays Capital Global Aggregate Bond Index to conduct a simulation analysis in order to speculate the portfolio rate of return over the past thirty-five years. The approach for the fund design was to first divide it into aggressive, stable and conservative portfolio types based on the investors’ risk appetite. They were then adjusted based on the target-date fund glide path, which in this case was set to a fixed-slope allocation method; while the balanced fund was to maintain a stocks and bonds fixed-ratio method of allocation. The Sharpe Ratio and the starndard deviation were used to measure the performances of the target-date fund and the balanced fund. The results revealed that, the target-date fund allocation method performed better most of the time, and the risk of the portfolio can be lowered as the retirement age approaches. This particular feature also meets the objective of needing the asset to be more stable for numerous retirement investors.
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