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The National Social Security Fund Equity Portfolio Asset Allocation Analysis

Posted on:2012-09-02Degree:MasterType:Thesis
Country:ChinaCandidate:W YangFull Text:PDF
GTID:2219330335971121Subject:Social security
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Social security fund, an important component of economic life, is paid more attention in recent years, among which the preserve and increase of value are the main problems. From the recent years of social security fund investment, it can be seen that, except in 2004 and 2008, the social security fund investment yields are to a certain extent higher than the rate of inflation in other years, basically achieved higher value, which means that social-security fund preserved the value without increasing much. In 2004, rate of yields was 1.29% below the inflation rate, social security funds devalued; in 2008, the outcome was even worse, yields is lower than usual with negative yields, and inflation rate reached the peak, which was the most serious devaluation of social security fund. Social security fund invest in bank deposits and treasuries with large proportion, although the risk is very low, yields is very low too, which cannot meet the threats against the devaluation, can't realize the value of pension funds. If social security funds get pay crisis, unable to realize social security functions, it will certainly affect social stability and development. For making higher yields to realize the preserve and increase of social security funds value, we should increase the proportion of the investment risk assets. How investment managers allocate entrust assets reasonably and effectively, on the premise of social security fund safty, to pursuit maximal yields, is the research objective of this thesis.The stock investment of social security funds mainly entrust fund companies and securities companies to do the investment operation, with total management of 101 to 112—12 types of stock fund combination. Due to the different investment styles of portfolio, different investment managers make the asset allocation differently too. Different asset allocation features directly affect the yields and risk of combination. In this thesis, analysis of asset allocation features mainly includes two aspects:industry configuration features and stocks choosing features. Firstly by analyzing industry allocation features of 12 types of stock combination, from the macroscopic each portfolio in the industry choice preference was grasped. Then, through theβcoefficient, PE, EPS, from the microscopic specific stock choosing features was researched. Finally, by Sharpe and Treynor yields and risk of various combinations are analyzed, combining earnings risks of asset allocation features, yields and risk of various combinations are evaluated, the ways of stock investment asset allocation are put forward. Based on the numerical analysis and structural analysis, it is found that 106 stock combination realized high investment yield on the basis of effective control of risk. Making comprehensive analysis of industry configuration, stocks selection and earnings risk, following security principles of operating social security fund investment, this paper proposes asset allocation features suitable for social security fund stock investment:as for industry choice, stock investment of social security fund ought to choose basic industry less risky and influenced by market environment as the main investment industry;as for stock choosing, it ought to choose the stock with lowβcoefficient, low PE and high EPS as the main investment objects. At present, the research of asset allocation features by investment managers is not much; therefore, this paper will play a significant role in improving stock investment of social security fund and the current yield. Moreover, much data of social security fund collected in this paper will be helpful for other researchers.
Keywords/Search Tags:social security fund, stock mutual fund, Sharpe, Treynor
PDF Full Text Request
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