The Research On Operation Efficiency Of The Entrusted Portfolios Of NSSF

National Social Security Fund (NSSF) is the national strategetic reserve against Chinese population's aging pinnacle. For the sake of the rigorous requirement for safety and liquidity, preserving and increasing the value of NSSF becomes its primary objective. And the implementing process ought to be based on standardized and effective means. From July 2003, NSSF set up the entrusted portfolios, and entrusted different funds management institutes to manage those disparate portfolios altogether accounting for nearly 40% of its asset. The original intention is to diversify investment risks. Based on interim reports of listed companies, the JuYuan analysis system made statistic research on investment of NSSF, and the result showed that NSSF ranked among the top 10 largest shareholders of liquidity A share of 202 listed companies. NSSF has become the significant institutional investor in Chinese capital market. As its investment scales gradually increases, its operation efficiency hasn't been boosted notably nevertheless. There are amounts of trickiness to be handled in investment management and risk elusion.Based on the role and function of NSSF in Chinese social security system, and its capital resource and asset allocation, the dissertation employs statistical tools of parameter correlation, multi-parameter regression, and makes quantitative research on issues of operation efficiency of NSSF from return and risk of portfolios entrusted by NSSF in Chapter 3 and 4, including contrast analysis of return against increasing scale, industry distribution of investment field, the trend of capitalization movement, and effective factors in stock selection. The results show that there are tough problems with portfolios entrusted by NSSF, including similar industry distribution, rare difference among portfolios, and high risk preference, etc. From the aspect of Principal-Agent in Chapter 5, the dissertation regards the Principal-Agent relation between the council of NSSF and Funds Management Institutes as dynamic adjustment process to fulfill their own utility functions, and makes research on the necessary factors in designing management contracts for entrusted investment using Bellman Equation and Itoh Theorem, and puts forward suggestions on improving operation efficiency of entrusted investment of NSSF.