China's Enterprise Annuity Fund Run Study

Occupational pension is an important part of multi-pillar pension scheme, which is still on the initial stage of development in China. Occupational pension as a crucial complement to Basic Pension contributes to social stability, corporate development and also capital market. Since the populations aging and the burden of social security being more and more serious, the development of occupational pension is concerned by government and the society fully. With the increasing of occupational pension's scale, the demand for occupational pension's hedge will be higher. To seek the effective investment of occupational pension fund is very important not only for the partner's interest, but also for occupational pension's sustainable development.This paper bases on the construction of supervision system and the investment operation of occupational pension. It explicates that the supervision system is the premise of investment operation. Meanwhile, the investment operation promotes the supervision system. In term of the quality and investing principle of occupational pension, the security is first-line, the profitability is secondary and the fluidness is the last one. By using the single index model, this paper establishes a goal program model in investment of occupational pension fund. To evade the system risk, stock index futures can be used in the stock portfolio of occupational pension. In order to achieve the best hedge effect, this paper proposes the best hedge strategy based on the minimum risk, and offers four models of the best hedge ratio which based on the minimum benefit-risk.This paper analyzes the investments of occupational pension of the first quarter in 2005. and it demonstrates the stock portfolio of occupational pension by the goal program model. At the same time, by using the 300 stock price of Shanghai-Shenzhen as the proxy variable of the 300 stock index future of Shanghai-Shenzhen, it demonstrates the stock portfolio of occupational pension by the best hedge ratio which based on the minimum benefit-risk. It provides the reference value for the occupational pension of the initial stage.In short, this paper analyzes the question of supervision system of occupational pension from macro-level, and discusses the hedge of occupational pension from micro-level. So it brings forward corresponding policy suggestions in the end.