Chinese Funded Pension Fund's Investment And Operation Research

The paper of"funded Pension Fund's Investment Operations and Research"is the study of funded pension fund's investment operations in theory and practice. Funded pension fund in this paper refer to the fund in individual pension fund accounts and the national social security fund.Our country is implementing the part accumulation system which combines the PASY system and fully funded system .Characteristics of the system of funded pension funds are fixed income support, pension fund beneficiaries get their retirement pay according to their individual accounts accumulation of service, in a sense, it is a kind of personal savings.So to ensure that this part of the hedge funds value-added, effective against inflationary pressures becomes a top priority. And with the aging population and the problem of hidden debt growing, increasing the value and investment in their operations becomes an important issue. Pension fund investment's success is directly related to the solvency of pension insurance, and even to the entire social security system reform.Paper describes characteristics of the existing pension fund's investment tools which have spread the risk and increase profitability. Funded Pension Fund's existing capital market instruments are stocks, securities investment funds, financial bond, corporate bonds, government bonds, bank deposits. The stock is a "high risk, high return" investment tool, especially in the case of Chinese capital market imperfections.In the short term as the capital market volatility, stock price volatility is great, but from a long view, through the stock market analysis in developed countries, in the long term, especially in the more than 20 years, the investment risk is less than the bond investment risks, while the average yield is more than bond proceeds. In the long term, the stock is an important investment tool. Government bond is a low risk,low return investment instruments, from the pension fund's investment security point of view, in the case of underdeveloped capital markets, investment in a certain proportion of govermemt bond is necessary. From the risks and benefits , the investment fund is a better investment tool for the funded pension fund. The risk of Corporate bonds and financial bonds is less than that of stocks, while the risk is more than that of the government bond. The returns range between them.Granger analysis between the earning rate of the instruments in the capital market and the yield rate of the funded pension fund shows that stocks and investment funds for pension fund investment yield the greatest impact.Govermemt bond investment rate of return on pension funds also have some impact.Financial bond and corporate bond have no impact, mainly because of the small size of the two bonds in the capital market. The simulation analysis of optimal asset allocation made in the exiting capital market can be drawn to such a conclusion: the existing capital market instruments achieve the goal of improving the yield of the investment and the goal of risk diversification. Through the history of asset allocation and investment portfolio of funded pension fund , such a conclusion can be drawn: Personal accounts pension fund investments in their existing model is not able to increase the value, the national social security Fund's investment in their existing model achieve the preservation and appreciation. But its investment portfolio returns will have great fluctuations when the capital market changes.In order to further to increase the value of its investment, exploring a new kind of investment operation model becames the thesis key.In order to ensure the smooth investment operation of pension funds, the supervision of pension fund investment operations become an important task. The paper analyze the conditions of the supervision of pension funds investment operation, then give the problems of the supervision of pension fund .At last the paper analyze the causes of such problems.The main part of the paper is the pension fund investment choice. First the paper analyze what are the other investment channels and instruments that can play the role of risk diversification and improve the revenue besides the existing investment channels. they are the financial deriviatives and asset securities products under the capital investment direction,the foreigen investment direction and the infrastructure investment direction. We can obtain that the infrastructure investment matches the investment of funded pension fund by comparing the investment risk and return,investment horizon,and the investment access way .And the relevance of these infrastructure investment tools and capital market are not very closed, and they are the choices of pension fund investment tools.On this basis, the investment of pension funds in different asset allocation model can be made .The simulation analysis of the optimal asset allocation are divided into a static asset allocation and multi-stage dynamic asset allocation . At the same time, the paper does the research of the effect of the investment operation in different investment modles .For personal account fund, the investment rate of return and the target replacement rate are the subjects of study. For the national social security fund, the rate of return and debt ratio are the subjects of research .we concluded that: in the static asset allocation model, the new built investment model based on the exiting capital market is better than the original Socail Security inveatment model; the model of investment both in capital markets and in infrastructure is superior to the only capital market investment model. In multi-stage dynamic asset allocation model, "Medium risk, high return" investment model is better than "low risk, low return" investment model; "Medium risk, high return" investment model is better than the static asset allocation model. Therefore, both the national social security fund or the individual pension fund should select the "medium risk, high return" investment model.The last part of paper research makes an inductive conclusion, and give the recommendation for the investment operations of pension funds and investment supervision problems.