Simulation Analysis Of China's Pension Fund Investment Strategy

According to the latest annual report of Social Security Fund of China, thetotal asset of Social Security Fund has been over 170 billion RMB.Furthermore, in China, we are also aggressively pushing and leading thedevelopment of supplementary pension that is the second biggest part in ourpension system. World Bank expected that the asset of our pension fundwould be 1.8 trillion dollars in 2030. Meanwhile, our social security fund has abig capital gap more than 2.5 trillion RMB. How to narrow this gap and makeour pension system healthier, and how to make the huge capital more efficientby using modern investment management technique, is an urgent andimportant issue.According analysis method of modern investment theory, this thesisbegins studies from the demands of pension fund to portfolio management andmodern portfolio theory, and constructs a asset allocation model that issuitable for analyzing and establishing the investment strategy of our pensionfund. Basing on the quantitative analysis of better allocation among presentasset types, new allocation case after adding foreign asset and real estateinvestment, I explained that we can lower the risk and higher the risk adjustedlong-term return of our pension fund by allocating better and investing moreasset types.