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題 名 | 公務人員退撫基金績效評估與資產配置之研究=A Study on the Performance Evaluation and Resource Allocation of Civil Servants' Pension Fund |
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作 者 | 劉代洋; 林慧明; 劉娜延; | 書刊名 | 嘉南學報 |
卷 期 | 26 2000.11[民89.11] |
頁 次 | 頁335-344 |
分類號 | 573.43 |
關鍵詞 | 退輔基金; 績效評估; 保證收益; 資產配置; Pension funds; Performance evaluation; Guaranteed yields; Resource allocation; |
語 文 | 中文(Chinese) |
中文摘要 | 公務人員退撫基金之管理,攸關國家財政負擔及軍公教人員權益至深,退撫基金之運用績效如何,國內鮮少有論著加以評估,惟其績效之良莠,攸關政府負擔及軍公教人員實質所得之增減。而經營績效之優劣,主要在於基金投資策略之差異。在退撫基金對於操作績效重視,及基金運用辦法可能會作適度地放寬與修正之下,勢必將修正投資策略,如何為公務人員退撫基金量身釐訂可依循的投資策略,本研究以Sharpe指標法等績效評估工具,探討其基金制合績效。首先運用最低風險的資產組合或最大報酬率的資產組合之模式找出使變異數最小之投資組合及報酬率,接著固定要求之報酬率(但此報酬率須大於最小變異數投資組合之報酬率),然後求出使報酬率之最小變異數之投資組合。經過數認調整要求報酬率,即可求出數個效率投資組合,連接各投資組合點,即可求出無投資條件限制下之效率前緣(efficiency frontiers)。本研究主要結果彙總如下:(1)退撫基金平均實際報酬率大於法定報酬率(2)退撫基金平均實際報酬率大於市場報酬率(3)與市場共同基金相比,退撫基金投資績效在各種指標衡量下表現都不錯(4)退撫基金的資產配置應以股票及債券最佳。 |
英文摘要 | The purpose of this study is to investigate the funding management of mutual fund and pension fund system among foreign and domestic countries, to evaluate the investment performance and effectiveness of public pension fund, and to work on a simulation of the optimal asset portfolio and then make a solid recommendation in that regard. The scope covers both the monthly pension fund in the period form July'88 and the period before July'84 of both open and closed-end mutual fund. The statistical methodology including Sharpe indicator, Treynor indicator, Jenson indicator, and M.C.V indicator to measure the investment performance of public employee pension fund. In addition, Markowitz efficiency frontier analysis is applied for the optimal asset portfolio simulation. The major conclusions draw from this study are as follows: 1.The average realized rate of return is greater than that of legal rate of return of public employee pension fund. 2.The average realized rate of return is greater than market rate of return of public employee pension fund. 3.Relative to market mutual fund performance, almost all measured indicators present a better performance in public employee pension fund. 4.A mixture of investment in both stocks and bonds fulfills the target of the best asset portfolio of pubic employee pension fund. 5.The investment performance could to better by going more internationalized to diversify their asset portfolio. |
本系統中英文摘要資訊取自各篇刊載內容。