Research On Investment Behavior Of China’s Social Security Fund

2000 approved by the CPC Central Committee, the State Council set up a "National Social Security Fund", 2003 Social Security Fund may invest in the stock market, its asset size of 20 billion since its inception expanded to 1.53 trillion by the end of 2014’s. Social Security Fund’s overall investment income from the perspective of a high level of social security fund profit growth, the annual investment rate of return in 2007 peaked at 43.19%, the average annual yield reached 8.38%, 2.42% higher than the average annual inflation rate nearly six percentage points, in the Chinese capital market is not yet mature, the social security fund still has a good ability to grab profits. Given the government-backed social security fund, which was given the "national team" in the world, has become the benchmark market investments; in addition, a large-scale social security fund of funds operations, the investment behavior of China’s capital market will result in a greater impact, so institutional and individual investors will pay close attention to the dynamic investment of social security funds.This paper selects the investment behavior of the National Social Security Fund for the study, based on theoretical research, its portfolio in recent years, data on the stock market as the basis, Social Security Fund’s portfolio by CAPM model risk and earnings, and further when the Social Security Fund selected from a comprehensive analysis of investment behavior under different economic cycles of social security funds and the ability of both stock-picking ability. Empirical analysis of the first model were calculated according to ITM M value of social security funds in bull and bear markets early and late holdings, according to the model adopted conclusions determine the specific momentum in various stages of social security funds or reverse policy; on this basis, the use of description statistical analysis of the social security fund industry in recent years, and the characteristics Awkwardness research, through a more intuitive market indicators- earnings and beta analysis to guide investment behavior.The innovation of this paper, the following three aspects: Firstly, the angle relatively new topic. For the basic pension insurance fund will soon enter the market topic, conduct research investment of social security funds into the market has not only theoretical aspects of their significance, but also for institutions and individuals to invest played a certain degree of guidance; secondly, in particular Social Security Fund Investment process behavior combines a comprehensive survey of technical and fundamental research structure is more complete; and finally, in the process of selecting a specific reference index price-earnings ratio and beta coefficient analysis, the paper compares the Shanghai Composite Index and Shenzhen Component Index and the CSI 300 index, and ultimately select the most relevant and the Social Security Fund in Shanghai and Shenzhen 300 Index as a control, the conclusion is closer to reality.The thesis finally reached the following conclusions:First, under the current circumstances the national social security fund should be used to diversify investment strategies, building bonds, bank deposits and stock market reasonable proportion of the portfolio, within a certain range of the social security fund investment risk in the stock market can not only reduce portfolio risk but also improve portfolio returns.Second, the social security funds with different investment strategies in different economic background, need to find the right entry and exit timing depending on the economic cycle. Contrarian strategies used primarily for the end of bull and bear markets; momentum strategies are mainly used in the early bull and bear markets.Third, social security funds have a more significant feature in the investment industry’s choice: a high degree of industry concentration and are heavy industry and stage of economic development to adapt. Machinery and equipment manufacturing industry is basically in the first Awkwardness status, delivery, utilities, public utilities also occupies an important position, but specific to the various stages of development are heavy industry nor immutable, significant investment in market-oriented adjustments can promptly identify the wind direction the industry to adjust. In addition, in the bull market in the investment industry with respect to the bear market will tend to disperse.Fourth, the social security fund Awkwardness earnings and beta coefficients showed significant variation. Awkwardness an upward trend in the overall price-earnings ratio, which is not simply the value of the investment are also high-growth investment tendencies. From late to early bull market bear market, Awkwardness stocks with higher betas majority; from the late bull market to a bear market early, Awkwardness at a lower beta stocks based.