ESG議題逐漸受到國人重視，也影響國人投資傾向；本論文針對國人在使用共同基金作為中長期投資時，納入ESG基金對中長期基金投資組合效率性之影響進行探討；尤其在全球人口老化嚴峻，退休金籌措迫在眉睫之際，中長期投資備受關注。
本研究利用2021年6月臺灣基金管理公司所發行的共同基金，經過條件篩選出適合中長期投資之基金，輔以晨星(Morningstar)同期間，永續投資評級篩選出的四顆地球及五顆地球(以下簡稱為『ESG基金』)之基金為樣本，基金投資組合藉由納入不同的ESG基金投資比例、期間與規模等變數，利用Python執行投資組合資產配置及Efficient Frontier模型進行研究。
實證結果顯示，基金投資組合納入ESG基金，尤其是規模大於五億元以上且成立超過三年以上的ESG基金，能使中長期投資組合的效率性提升，適合國人作為中長期投資(如退休金)之組合標的。

There is a growing interest in the ESG issues in Taiwan which affects people’s medium to long-term investment tendencies. The purpose of this study was to assess the effect of including ESG funds in portfolios on medium to long-term portfolio efficiency. Especially with the global rise of the elderly population, retirement pension plans play an even more important role in people’s lives.
This study conducts empirical studies by using the mutual funds issued by an asset management company in Taiwan in June 2021. Multiple dimensional conditions and the Morningstar ESG rating scores (four “Earths” or above) were applied in the sample selection process to find funds that are suitable for medium and long-term investment. Variables such as the investment ratio, period, and size of different ESG funds were incorporated in the selected investment portfolios, which were tested by the Efficient Frontier model analysis and Python with the portfolio asset allocation.
The result shows that investing in ESG funds does make the medium to long-term performance more efficient and outstanding, especially for those with AUM (Assets Under Management) of more than 500 million NT dollars and have been established for more than three years. This study suggests that investing in ESG funds is suitable for a medium and long-term investment portfolio such as pensions for Taiwanese people.

王麗玲、余惠芳、王健驊、楊婷羽 (2009)。投資理財退休規劃之實證分析。會計與財金研究，2(2)，48-68。
王儷玲、黃泓智、陳彥志、鄭惠恒 (2019)。 Financial Effects and Intergenerational Inequity of Pension Reform in Taiwan/臺灣年金制度改革的財務影響與世代不均問題。Tai Da Guan Li Lun Cong，29(2)。
行政院年金改革辦公室 (2013)。「年金制度國際比較」。資料來源：https://ws.ndc.gov.tw/Download.ashx?u=LzAwMS9hZG1pbmlzdHJhdG9yLzI3L3JlbGZpbGUvNjcxNC84NDQ2L2YwMjhlNDI5LTM0MmMtNDU4ZS1iOGEwLTg5OGE4MjE0MjA5YS5wZGY%3D&n=5bm06YeR5Yi25bqm5ZyL6Zqb5q%2BU6LyDKDIwMTMpLnBkZg%3D%3D&icon=..pdf。(最後瀏覽日期：2021年11月13日)
余啟名 (2017)。淺論 [公教人員退休資遣撫卹] 新制潛藏的社會風險。臺灣教育評論月刊，6(11)，31-34。
吳明儒 (1997)。臺灣未來企業退休金制度改革之分析。社會政策與社會工作學刊，1(2)，137-188。
李豫、柯傑瑞 (2013)。中國養老保險制度改革與借鑒：美國企業年金制度和資本市場實踐。浙江金融，(6)，63-69。
金融監督管理委員會 (2021)。發布環境、社會與治理(ESG)相關主題證券投資信託基金(下稱投信基金)之資訊揭露事項審查監理原則。資料來源:https://www.fsc.gov.tw/ch/home.jsp?id=96&parentpath=0,2&mcustomize=news_view.jsp&dataserno=202107060002&dtable=News。(最後瀏覽日期：2021年11月13日)
金融監督管理委員會 (2022)。發布「證券期貨業永續發展轉型執行策略」。資料來源:https://www.sfb.gov.tw/ch/home.jsp?id=95&parentpath=0,2&mcustomize=multimessage_view.jsp&dataserno=202203080002&dtable=News (最後瀏覽日期：2022年3月15日)
洪維駿 (2020)。探討影響台灣中老年人口使用長照 2.0 服務之因素。成功大學經濟學系學位論文，1-74。
倪衍森、李仁在、李方瑋 (2010)。建構共同基金投資組合之研究：開放式股票型基金為例。臺灣企業績效學刊，4(1)，45-65。
張士傑、陳絳珠 (2001)。企業退休基金之多期最適提撥與資產配置。管理評論，20(3)，21-51。
張瑞婷 (2021)。永續金融大躍進! 海水退潮時的真實世界-解析歐盟的永續金融揭露規範 (Sustainable Finance Disclosure Regulation,\" SFDR\") 與對臺灣企業的影響與建議。內部稽核，(114)，10-15。
莊翔宇 (2021)。軍公教退撫制度改革大法官釋憲爭議之研究。
許家驊 (2017)。公立學校教職員退休資遣撫卹條例實施後對公立學校教育人員及教育生態之可能影響與省思。臺灣教育評論月刊，6(11)，1-9。
陳信木、吳怡銘 (2019)。我國邁向超高齡社會之人口與家戶結構變遷趨勢及其政策意涵。國土及公共治理季刊，7(1)，6-23。
陳鈞閎 (2018)。臺灣年金改革與退休基金管理。國立虎尾科技大學學報，34(3)，19-31。
黃正忠、 許資宜 、 謝孟哲 (2016)。責任投資與ESG揭露。證券服務，654，50-53。
黃正忠、林泉興、林群燁 (2020)。永續指數成分股篩選方法面面觀。會計研究月刊，(411)，87-93。
黃正忠、林泉興、謝孟哲、林哲亘 (2020)。投資等級的 ESG 商品大觀。會計研究月刊，(420)，100-106。
黃帥升 (2021)。歐盟永續金融揭露規範 (SFDR) 之內涵與衝擊因應。會計研究月刊，(427)，72-77。
黃錦川、朱美珍、留秀娟 (2011)。國內組合型基金之風險與效率前緣分析。輔仁管理評論，18(2)，103-120。
銓敍部退撫 (2017)。公務人員年金改革內涵介紹 (三讀通過版)。資料來源：https://ws.ndc.gov.tw/Download.ashx?u=LzAwMS9hZG1pbmlzdHJhdG9yLzI3L3JlbGZpbGUvMC8xMDU5NS80MjBjYTliNi0wMzM0LTRlZWYtODEyYi1hZjZlYmU0ZmMyODkucGRm&n=5YWs5YuZ5Lq65ZOh5bm06YeR5pS56Z2p5YWn5ra15LuL57S577yI56uL5rOV6Zmi5LiJ6K6A6YCa6YGO54mI77yJLnBkZg%3d%3d&icon=..pdf。(最後瀏覽日：2021年11月13日)
劉宗聖、黃昭棠、林育如、陳雅雯、柯宜呈、林欽偉、林春江、沈佩君、余小綾、陳亭亭、蘇育瑱、廖漢章、許若淇、吳苡辰、張晟豪 (2019)。退休360度全攻略(一版)。新北市：經濟日報。
蔡鳳凰 (2018)。長壽時代來臨，翻轉退休準備思維。經濟前瞻，(180)，124-128。
鄭天澤、陳莉貞、郭怡君 (2021)。資產管理人才培育與產業發展基金委託專題研究。2021基金投資人投資行為與偏好問卷調查分析。台北市：財團法人中華民國證券期貨發展基金會。
鄭天澤、葉淑玲、陳榮德、郭怡君 (2018)。資產管理人才培育與產業發展基金委託專題研究。2017基金投資人投資行為與偏好問卷調查分析。台北市：財團法人中華民國證券暨期貨市場發展基金會。
簡又新 (2019)。躍升中的臺灣企業永續發展。東吳經濟商學學報，(99)，1-14。
魏旻萱 (2021)。ESG基金之持股狀況對基金流量及基金績效之影響。國立政治大學財務管理學系學位論文。
Alda, M. (2021). The environmental, social, and governance (ESG) dimension of firms in which social responsible investment (SRI) and conventional pension funds invest: The mainstream SRI and the ESG inclusion. Journal of Cleaner Production, 298, 126812.
Alessandrini, F., & Jondeau, E. (2021). Optimal strategies for ESG portfolios. The Journal of Portfolio Management, 47(6), 114-138.
Alonso-García, J., Boado-Penas, M. D. C., & Devolder, P. (2018). Adequacy, fairness and sustainability of pay-as-you-go-pension-systems: defined benefit versus defined contribution. The European Journal of Finance, 24(13), 1100-1122.
Anson, M., D. Spalding, K. Kwait, and J. Delano. (2020). The Sustainability Conundrum. The Journal of Portfolio Management, 46 (4): 124-137.
Bollen, N. P. (2007). Mutual fund attributes and investor behavior. Journal of Financial and Quantitative Analysis, 42(3), 683-708.
Cesarone, F., Martino, M. L., & Carleo, A. (2022). Does ESG impact really enhances portfolio profitability?. Available at SSRN 4007413.
Chand, M., & Markova, G. (2019). The European Union's aging population: Challenges for human resource management. Thunderbird International Business Review, 61(3), 519-529.
Chen, R., Xu, P., Song, P., Wang, M., & He, J. (2019). China has faster pace than Japan in population aging in next 25 years. Bioscience trends, 13(4), 287-291.
Cheung, W., Fung, S., & Tsai, S. C. (2009). The impacts of managerial and institutional ownership on firm performance: The role of stock price informativeness and corporate governance. Corporate Ownership and Control, 6(4), 115.
Crace, L., & Gehman, J. (2022). WHAT REALLY EXPLAINS ESG PERFORMANCE? DISENTANGLING THE ASYMMETRICAL DRIVERS OF THE TRIPLE BOTTOM LINE.
Cristea, M. S., Pirtea, M. G., Suciu, M. C., & Noja, G. G. (2022). Workforce Participation, Ageing, and Economic Welfare: New Empirical Evidence on Complex Patterns across the European Union. Complexity, 2022.
Cristea, M., & Mitrică, A. (2016). Global ageing: Do privately managed pension funds represent a long term alternative for the Romanian pension system? Empirical research. Romanian Journal of Political Science, 16(1), 63-106.
Curtis, Q., Fisch, J. E., & Robertson, A. (2021). Do ESG Mutual Funds Deliver on Their Promises?. U of Penn, Inst for Law & Econ Research Paper, (21-17).
De Spiegeleer, J., Höcht, S., Jakubowski, D., Reyners, S., & Schoutens, W. (2021). ESG: A new dimension in portfolio allocation. Journal of Sustainable Finance & Investment, 1-41.
Diouf, D., Hebb, T., & Touré, E. H. (2016). Exploring factors that influence social retail investors’ decisions: Evidence from Desjardins fund. Journal of Business Ethics, 134(1), 45-67.
Dumitrescu, A., Jarvinen, J., & Zakriya, M. (2021). Hidden Gem or Fool's Gold: Can Passive ESG ETFs Outperform the Benchmarks?. Available at SSRN 3992745.
Durán-Santomil, P., Otero-González, L., Correia-Domingues, R. H., & Reboredo, J. C. (2019). Does sustainability score impact mutual fund performance?. Sustainability, 11(10), 2972.
Eccles, R. G., Ioannou, I., & Serafeim, G. (2014). The impact of corporate sustainability on organizational processes and performance. Management science, 60(11), 2835-2857.
Fabian, N., Homanen, M., Pedersen, N., & Slebos, M. (2021). Private Retirement Systems and Sustainability: Insights from Australia, the UK, and the US.
Fox, M. (2021). ESG Investing: May ERISA Plan Fiduciaries Consider Environmental, Social, and Governance Factors When Making Investment Decisions?.
Geczy, C., Guerard, J., & Samonov, M. (2018). Efficient SRI/ESG Portfolios.
Gillan, S. L., Koch, A., & Starks, L. T. (2021). Firms and social responsibility: A review of ESG and CSR research in corporate finance. Journal of Corporate Finance, 101889.
IFC(International Finance Corporation). (2004).Who Cares Wins.資料來源：https://www.ifc.org/wps/wcm/connect/9eeb7982-3705-407a-a631-586b31dab000/IFC_Breif_whocares_online.pdf?MOD=AJPERES&CACHEID=ROOTWORKSPACE-9eeb7982-3705-407a-a631-586b31dab000-jkD12B5。(最後瀏覽日：2021年11月13日)
Jain, M., Sharma, G. D., & Srivastava, M. (2019). Can sustainable investment yield better financial returns: A comparative study of ESG indices and MSCI indices. Risks, 7(1), 15.
Jeffrey D. Sachs & Lisa E. Sachs. (2021). Business alignment for the “Decade of Action”. Journal of International Business Policy, 4：22–27.
Jeppson, N. H., Ruddy, J. A., & Salerno, D. F. (2018). Defining and quantifying the pension liabilities of government entities in the united states. Journal of Corporate Accounting & Finance, 29(1), 98-106.
Kan, R., & Zhou, G. (2008), March. Tests of mean-variance spanning. In AFA 2001 New Orleans Meetings, OLIN Working Paper (No. 99-05).
Klement, J. (2018). Does ESG Matter for Asset Allocation?. Available at SSRN 3213134.
Lee, L. E. (2021). What Does ESG Investing Really Mean? Measuring Materiality.
Morningstar Research, (2019). Morningstar Sustainability Rating, 1-4.
Naffa, H., & Fain, M. (2020). Performance measurement of ESG-themed megatrend investments in global equity markets using pure factor portfolios methodology. Plos one, 15(12), e0244225.
Nakajima, T. (2021). ESG Investment. In ESG Investment in the Global Economy (pp. 1-19). Springer, Singapore.
Nam, U. V., & Winijmongkolsin, T. UNFPA Executive Director Ms. Thoraya Obaid’s address to the Second World Assembly on Ageing in Madrid in 2002.
Nigri, A., Barbi, E., & Levantesi, S. (2022). The relay for human longevity: country-specific contributions to the increase of the best-practice life expectancy. Quality & Quantity, 1-13.
Nofsinger, J., & Varma, A. (2014). Socially responsible funds and market crises. Journal of Banking & Finance, 48, 180-193.
OECD (2013), Pensions At A Glance 2013：OECD and G20 Indicators, OECD Publishing.
OECD (2019), Pensions At A Glance 2019：OECD and G20 Indicators, OECD Publishing.
Otsuka, A. (2020). CAN THE WORLD’S LARGEST PENSION FUND, JAPAN’S GPIF, BE A RESPONSIBLE STEWARD? STEWARDSHIP RESPONSIBILITY AS ASSET OWNER. Journal of Governance and Regulation/Volume, 9(1).
Ouchen, A. (2021). Is the ESG portfolio less turbulent than a market benchmark portfolio?. Risk Management, 1-33.
Raimo, N., Caragnano, A., Zito, M., Vitolla, F., & Mariani, M. (2021). Extending the benefits of ESG disclosure: The effect on the cost of debt financing. Corporate Social Responsibility and Environmental Management.
Resnick, S., & Fuller, J. C. (2022). ESG Issues Elevated to the Board Room in Spate of 2022 Changes to Regulatory Rules and Benchmarks. Board Leadership, 2022(179), 4-6.
Sharfman, B. S. (2020). Comment Letter to DOL: ESG Investing Under ERISA. Available at SSRN 3664048.
Sharfman, B. S. (2020). Now Is the Time to Designate Proxy Advisors as Fiduciaries under ERISA. Stan. JL Bus. & Fin., 25, 1.
Sharma, P., Pachynski, R. K., Narayan, V., Fléchon, A., Gravis, G., Galsky, M. D., Mahammedi, H., Patnaik, A., Subudhi, S. K., Ciprotti, M., Simsek, B., Saci, A., Hu, Y., Han, G. C., & Fizazi, K. (2020). Nivolumab Plus Ipilimumab for Metastatic Castration-Resistant Prostate Cancer: Preliminary Analysis of Patients in the CheckMate 650 Trial. Cancer cell, 38(4), 489–499.e3. https://doi.org/10.1016/j.ccell.2020.08.007
Splinter, D. (2017). State pension contributions and fiscal stress. Journal of Pension Economics & Finance, 16(1), 65-80.
Stewart, M., Redonda, A., Galassao, V., Mazur, M., & Whittaker, M. (2020). Taxation in Aging Societies: Increasing the Effectiveness and Fairness of Pension Systems.
Tsai, S. C. (2008). Information asymmetry and corporate investment decisions: A dynamic approach. Financial Review, 43(2), 241-271.
Umar Z., Kenourgios D., Papathanasiou S. (2020).The static and dynamic connectedness of environmental, social, and governance investments: International evidence. Economic Modelling, 93, 112-124.
Van Binsbergen, J. H., Broeders, D., De Jong, M., & Koijen, R. S. (2014). Collective pension schemes and individual choice. Journal of Pension Economics & Finance, 13(2), 210-225.
Van Tulder, R., Rodrigues, S. B., Mirza, H., & Sexsmith, K. (2021). The UN’s sustainable development goals: Can multinational enterprises lead the decade of action?. Journal of International Business Policy, 1-21.
Varmaz, A., Fieberg, C., & Poddig, T. (2021). Portfolio optimization for sustainable investments. Available at SSRN 3859616.
Winegarden, W. (2019). Environmental, Social, and Governance (ESG) Investing: An Evaluation of the Evidence. Pacific Research Institute. Available at: https://www. pacificresearch. org/wp-content/uploads/2019/05/ESG_Funds_F_web. pdf.