The Performance Appraisal Of The Stock Portfolio Of National Social Security Fund

National social security fund is the social security fund collected by the central government. It is an important strategic reserve of our country, which is mainly used to supplement the social security needs for the summit peak of aged tendency of population. As the whole world steps into the age of aging, the research into social security development has become a hot-discussed and difficult issue in modern financial researches. Its key problem is how to realize the inflation-proofing and appreciation of social security fund. Stock investment is a kind of relatively high yield investment and an effective way to realize the inflation-proofing and appreciation of social security fund. However, high yield usually coexists with high risks. Investment performance appraisal is an important link to measure investment management. Systematic analysis on social security stock investment not only emphasizes the management and supervision functions of social security fund council but also have a warning effect on the irregular investment actions of some funds.The main contents of this thesis are as follows:First, it systematically presents the basic theory and appraisal method of fund performance appraisal and roughly introduces the general situation of the current national social security fund. Then the author compiles the price index for each stock-type portfolio with the collected data according to the compilation principle of national security fund and does a sample analysis with A-share index of the stock market of Shanghai and Shenzhen as benchmark portfolio.The major findings are:The overall performance of each portfolio is better than the benchmark portfolio; Treynor index is not applicable in the performance appraisal process of social security stock-typed portfolio; The sample analysis based on RAROC index demonstrates that each social security stock-type portfolio does not have strong anti-dropping features during the observation period (Only half of stock-type portfolio’s RAROC value overpasses that of benchmark portfolio); With the help of T-M model、H-M Model and adopting GMM methods to do sample analysis of social security fund performance appraisals resources, the article found that each portfolio shows positive security selecting ability during the observation period, but it does not demonstrate outstanding timing selection ability. At last, this article makes some policy suggestions based on the result of sample analysis.