Research On Occupational Pension Asset Allocation Performance In K Group

Occupational pension is not only the important part of our nation’s multilayerpension system, but also the important method of the corparate management andhuman resources management. Trust model has been adopted in most cases because ofits many advantages. With the increasing accumulation of the pension, how to keep andadd value of the pension is becoming more and more difficult. Some foreign studyshowed that the asset allocation contribution to the performance volatility is more than90%and the security choice contribution is very low. That means the ability of the assetallocation will decide the long term return of the pension.Centering on the setup of K group pension and through the optimization choice ofthe pension management model and related managing institution, we establish theframework of the pension management. According to the asset allocation tactics and theweekly return data from7investment companies, we calculate the Sharpe index fromthe different portfolios and in the different percentage of the assets and decompose thecontribution of the allocation, security choice and interact based on the Brinson model,and also put forward some optimization advice for the allocation of K group pension.The results show that the higher the percentage of the deposite, the higher the Sharpeindex. In terms of the asset allocation capability, all the managers are weaker. Thehigher returns greatly depend on the choice of bond and security. This will result inhigher volatility of the portfolio returns. So when the pension scale is becoming larger,the percentage of the deposite should be larger and the bond and security should be less.One hand，this tactics can prevent the pension return from the shock of the marketvolatility,on the other hand, the pension can obtain the higher return from theincreasing center of the rate. Due to the shorter samples period, the empirical study islimited.