The Research Of The Risk And Return Of The Stock Fund Of Social Guarantee Fund

As one of the biggest institutional investors, each operation by NationalSocial Security Fund (NSSF) is noticed by almost all sides of capitalmarket. Because of outstanding investment performance, huge asset andlow risk‐bearing capability, the investment of NSSF is always consideredas market investment vane. However, it may face a lot of problems, too,which among them, the priority is the issue about maintaining andadding the value of the fund. As fast as the progress of the aging in ourcountry, the expenditure of the fund raised quickly that the financialallowance relied on government can barely meet the need of satisfyingthe social guarantee fund, if only the more efficient investment runningtowards the fund can pay the increasing need by gaining more profits.Nevertheless, the rate of inflation has been increased quickly these years,and the issue about maintaining and adding the value of the fund alsogrows quickly, so it is not possible to meet the need of the basic profitrate of the fund by merely the deposits in the bank which has lower riskand lower profits rate as well as the national debts investment. At thissituation, if the fund cannot make a comparatively higher profit, it mustbe harmful to the stability of the society as well as development of thesociety. So the fund must be invested in a wide channel, in order to make more profit. Now in China, the stock market has undoubtfully been anefficient way to increase the yield of investment. But when it providesmore profit, it also bring the huge risk of the investment. Then that howto select the stock, and how to control the risk when increasing the yieldis becoming more and more important.The operation of selling stock by NSSF has little influence and it hasshort term effect of just one season after selling operation, i.e., the stocksold by NSSF falls relatively to stock index after one season of sellingoperation by NSSF.This paper concludes the configure character of the stock through theanalyzing and comparing the configure character of the social securityfund stock and investigated the effectiveness of different risk and returnratios of Social Security Fund. After testing the model with Social SecurityFund data, I established the most fitted GARCH RAROC method andimplemented the model on the data from January 1st, 2004 toDecember 31st, 2009. Comparing the RAROC of Social Security Fund withthat of Shanghai and Shenzhen Index, the Social Security Fund performswell and exhibits stability through the half year term and the seasonalterm.