| The essay studies the investment performance evaluation of pension funds. Now in order to increase or keep value, more and more pension funds invest their capital into the capital market. As a large institution, its management is different from other funds. Pension funds pay more attention to its security, because the debt is the only reason that pension funds exit. Pension funds must guarantee its payable ability in order to stabilize the society. So the investment performance evaluation of pension funds is not the same as that of normal funds. How to evaluate the performance properly is necessary.The introduction of the essay tells the background, investigating meaning and frame, etc. chapter 2 is mainly to analyze some problems about pension funds investment performance, such as investment regulations, investment tools, investment strategy and factors that influence the performance. Chapter 3 is the review of related theories. Chapter 4 and chapter 5 are important parts. Chapter 4 analyzes the returns and risk. It analyzes the surplus return, tracking error, correlation coefficient between single asset and the asset composition, and it uses the relative risk premium index to evaluate the investment performance of pension funds. Chapter 5 uses funded rate and surplus of pension funds to the performance. Based on the two indexes, the essay analyzes the optimized model of investment composition and concludes a new index, asset-debt risk premium index. Chapter 6 is the conclusions. It summarizes the whole essay and makes several suggestions to improve the performance of pension funds investment.The innovations of the essay is the following: (1) It suggests a way to make a basic asset composition(2) Guided by ALM of the asset orientation, it investigates the way to adjust the performance according to the risk and analyzes its surplus return and analyzes the relative risk premium.(3)By analyzing the correlation coefficient between the single asset and asset composition. It explains the relationship between changes of single asset and that of total risk.(4)Guided by ALM of the debt orientation, the essay uses funded rate and surplus in the performance evaluation, embodies the principle of that safety is the first and analyzes the asset-debt risk premium. |
PDF Full Text Request