The Research On The Investment Portfolio Of National Social Security Fund

Aging population has been increasingly intensified in China, so that expenditures on endowment insurance fund are growing rapidly and the fund payment pressure increases quickly. Meanwhile, transition of endowment insurance causes the problem of “empty account” more severe, and payment risks of old-aged pension is transferred to the later generations which violated the essential point of sustainable development for the endowment insurance fund.In order to copy with payment crisis of the endowment insurance fund which is about to appear in the future, the national social security fund was born at the right moment in September 2000. It's similar to the nature of old-aged pension reserve fund in foreign countries. The reserve fund is established to respond pressure from aging population peak that the social security system may encounter in China. As it's still in accumulation process at current, it does not start payment.To make these funds continuously grow stronger, the State Council set up the National Council for Social Security Fund governed by itself directly in November 2001, mainly in charge of investment and operation of the national social security fund. From establishment date of the national social security fund to the end of 2014, its total scale has reached 1.535639 trillion Yuan. As a kind of social security fund with reserve nature, the most important issue is how to make efficient investments, so as to make it achieve the goal of maintaining and increasing value.The National Social Security Fund started investment in capital market since 2003 with its investment portfolio developing and improving constantly during the practices in a long time.However, due to the imperfect domestic capital market and the risky international capital market, current investment portfolio of the National Social Security Fund gradually falls behind the requirement of fund operating, i.e., preserving or increasing the value and sustainable development.This paper analyzed and concluded investment returns of the national social security fund on the basis of annual reports released by the website of the National Council for Social Security Fund from 2001 to 2014. By comparing with inflation rate, the one-year bank deposit interest rates, and the gross domestic product growth rate, it's found although the investment returns outperformed basic value maintaining goal of inflation rate, it still failed to fully share the achievements of economic development. Therefore, it's a long way to go to achieve value maintaining goal of the funds.The investment of the national social security fund shall realize profits as much as possible based on ensuring the fund safety. That how to take the investment portfolio and what kind of allocation proportion various investment tools shall take are very important for safety and yields of the funds. For research on the national social security fund investment portfolio,this paper applied the mean- variance model to conduct empirical study on returns and risk situation of the national social security fund investment portfolio, and provided suggestions on limitation of investment proportion of the National Social Security Fund. At last,combined related experience abroad, this paper offered reasonable suggestions for how to optimize investment portfolio and improve the investment efficiency of the National Social Security Fund.