Screening Criteria and Optimal Investment Portfolio for Taiwan Eco-Fund

• Main Authors: Hsiu-Chuan Li, 李秀娟
• Other Authors: Shih-Mo Lin
• Format: Others
• Language: zh-TW
• Published: 2002
• Online Access: http://ndltd.ncl.edu.tw/handle/36309203041537977022

碩士 === 中原大學 === 國際貿易研究所 === 90 === In recent years, the growing awareness of environmental protection and the diversified development of financial products have stimulated the integration of personal judgment and concerns for the society into the investment decisions by general investors. All of these have made eco-fund and social responsible investing the trend of global investment. However, for Taiwan it still lacks a set of righteous and objective screening criteria that can screen out suitable targets of portfolios with satisfactory performance. This study, therefore, aims at establishing a set of screening criteria for Taiwan eco-fund based on company questionnaire and publicly available information. These criteria are then used to screen out the investment targets from listed companies and form the portfolios based on the computed optimal investment weights by linear programming. Finally, we evaluate the performance of the simulated portfolios and report the results for fund managers and researchers for making investment decisions and using as a reference for further study on Taiwan eco-fund. Our empirical results reveal that the portfolios established based on our environmental and financial screening criteria have less risk than most of the funds in the market, no matter how long the holding period is considered. Even though the eco-fund portfolios perform less well with shorter holding periods, their performance became much better than others in longer holding periods, implying that eco-fund is more appropriate for long-term investment. Moreover, the performance of eco-fund will be the best with a weight of 35% for environmental side of criteria in the overall screening criteria. And even the screening outcomes are different when the weight for environment is set to between 40% and 65%, the optimal portfolio will be the same. All the above results suggest that eco-fund might find a position in Taiwan, and if the fund managers can take the environmental performance of firms into account when making investment decisions, they could reach a double-win situation with not only good portfolio performance but also helping the society to attain good environmental performance.