The National Social Security Fund's Investment Operations

Public pension reserve fund is a long-term strategy reserve fund established under the context that many countries will confront the future challenge of financial payment of social pension, therefore, the investment management has a fundamental impact on the national social security system's sustainable operation and development. With the advent of more serious challenges of population aging in the coming decades, china's pension fund financial gap has become wider and wider, how to invest social security fund efficiently, reasonably, and make investment management strategy, and enhance the investment performance of the fund, harvest more profit for our country, which has become a very pratical and pressing issue in the social security career.From 2001 to 2006, the asset return of social security fund was just little higher than inflation, but it got a fat profit of 40% in 2007, and make a deficit in 2008, have a profit of 16% in 2009.Although its annual investment return is 7.74 percent higher than annual inflation, the investment profit are mainly from the performance of 2006.2007 and 2009. Excessive reliance of stock market represents its weak asset allocation, irrational asset structure and unsatisfied risk control problem.Firstly, this paper defines the concept of public pension reserve fund, discusses social security theory, asset allocation theory and the principal-agent theory concerning social security fund investment, in order to seek theory support for the national social security fund investment operation. Then we introduces the national social security fund investment objectives, policies, domain and the types of assets, and how some OECD countries design their public pension reserve fund investment management.Secondly, this paper examine the market environment and the organization and carry deep analysis by comparing the national social security fund returns, the Shanghai composite index, the 10-year Treasury interest rates and five benchmark interest rates, therefore analyzes the real profit situation of the fund. According to the analysis of the securities market of our country, we expounds the overall investment environment of social security funds, and probes into the influence of organizational structure of the social security fund board on investment operation.Again, the author respectively use strategic asset allocation theory to inspect the asset allocation of national social security fund, through various categories like Treynor index, Sharpe index and Jensen index to inspect multiple stock portfolio investment performance, and using GARCH-VaR model analysis for social security fund's heavy warehouse strands to examine risk control, seeking to make quantitative analysis for the risk profile of the national social security fund investment.