Determinants of the Outsourcing Performance of Labor Pension Fund
Date Issued
2013
Date
2013
Author(s)
Lin, Ching-Wan
Abstract
Labor Pension Fund (LPF) has been set up on January 1, 2005. For the multi-purposes of professional management, diversifying investment risk, implementing asset allocation, and increasing investment profit, Labor Pension Fund undertook domestic discretionary operation on Aug. 21, 2007 at first time. As the size of Labor Pension Fund increases rapidly, the mandated percentage of the assets allocation of Labor Pension Fund gets higher year by year.
In this study, we investigate the factors that may influence the effectiveness of the discretionary investment of Labor Pension Fund. Our sample data is monthly, dated from Oct. 2007 to Jun. 2013. We estimate with Panel Data Model, investment trust enterprises, fund managers and investment strategy aspects to measure the discretionary investment of LPF. Our major empirical findings are as follows:
1. Investment trust enterprises：Inventors trust larger size, can gain economies of scale efficiency, enhance performance. However the larger the scale of investment trust is, the more easier to bring administrative jobs negligence. The punished number of investment trust enterprises is positively correlated with Jensen ratio, Sharp ratio and portfolio returns and returns TAIEX gap, i.e. three performance indicators, respectively.
2. Fund Managers：The fund managers’ seniority and turnover are negatively correlated with Jnsen ratio. It suggests that LPF investment contract may include specification of the manager during operation of the restrictions and replacements.
3. Investment Strategy：β coefficient is negatively correlated with the returns of investment portfolio, Jensen ratio and Sharp ratio, respectively. It suggests that LPF and fund manager should comply with the principles of security and steadiness. Buying turnover rate is positively correlated with the returns of investment portfolio, jensen ratio and sharp ratio, respectively. Selling turnover rate is negatively correlated with the returns of investment portfolio, and is positively correlated with portfolio returns and returns TAIEX gap. Our empirical findings show that the turnover rate can improve the investment performance, while it also increases the transaction cost.
Subjects
勞退基金
委託經營
績效
橫斷面時間序列分析法
Type
thesis
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