管理期貨基金應用於退休基金投資組合之探討

The Diversification Effects of Managed Futures Funds on Pension Funds

呂曉萍(Hsiao-Ping Lu)；徐淑芳(Shufang Hsu)；陳煒朋(Wei-Peng Chen)

管理期貨基金 ； 商品交易顧問 ； 勞工退休金 ； 投資組合 ； managed futures fund ； commodity trading advisors (CTAs) ； labor pension ； portfolio

保險專刊

34卷1期（2018 / 03 / 01）

1 - 33

繁體中文

勞退新制的運作方式是由雇主將員工退休金按月提撥至個人退休金專戶，資金由政府管理並以自營或委託方式操盤以獲取報酬率。當個人在符合法令規定年齡退休時，再以累積的退休金支應退休生活所需。制度設計上立意良善，但關鍵在於如何創造穩定高收益的資金累積。為了能達到此一目標，本研究透過實證分析探討將管理期貨基金配置於勞退基金投資組合，是否能夠改善勞退基金的投資績效。實證結果顯示，管理期貨基金的納入投資組合確實能夠有效提升投資組合效益，因此建議主管機關應考慮開放勞退基金投資限制，讓投資組合的設計更富彈性。

The New Labor Pension Scheme is a defined contribution system with fully portable individual accounts. Each member of the scheme must set up an individual retirement account at the Bureau of Labor Insurance. Employers contribute a percentage of employees' salaries to employee accounts. Benefits of the pension fund are paid as a lump sum or monthly payments when the workers retire. One of the critical issues for a pension fund is how to build a portfolio that will provide a sustainable income flow over the uncertain length and cost of the human lifecycle. This study investigates the diversification effects of managed futures funds on pension funds, showing managed futures funds can enhance the efficiency of pension fund portfolio. In summary, this study provides regulators with an important reference on the diversification effects of managed futures funds on pension funds and suggests that the Bureau of Labor Fund (BLF) should further relax investment restrictions on Labor Pension Funds.

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