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Study On Asset Allocation Of The Life-Cycle Funds

Posted on:2017-09-08Degree:MasterType:Thesis
Country:ChinaCandidate:R LiangFull Text:PDF
GTID:2349330491964098Subject:Financial
Abstract/Summary:PDF Full Text Request
According to the data showed in China Industrial Information Network, by the end of 2014, the population which was aged 60 and above in China exceeded 212 million, accounting for 15.5% of the total; it is expected that the population peak of age 60 and above in China will reach 473 million in 2050, making up a significant share of 36.5% of the total population. Thus, it can be seen that China’s aging population problem is aggravating, and the pressure of pension gap will continue to increase. Currently, China’s basic old-age pension insurance is only available for buying government bonds, or being deposited in the bank, and its advantage is that the funds is safe and secure, while the value increasing is difficult to achieve; in the past few years, the rate of return was lower than the CPI, which was a devaluation in fact, therefore, the reform of pension insurance system is extremely urgent, and life-cycle funds is considered as a breakthrough in pension reform. However, the control about the risks of traditional life-cycle funds are based on risk assets position, which was no longer reliable during market volatility. Such as the financial crisis in 2008,a large number of traditional life-cycle funds still contained stock position, which make people suffer huge losses. And this is an impossible burden on the investor whose purpose is pension.That we can find new method to predefine the risk of life-cycle funds and adjust asset allocation strategy appears to be very important.As a result, to solve the defect of predefining the risk of life-cycle funds by risk asset position, this paper uses the way of VaR to replace it.This way can predefine the risk of fund assets combination and adjust the allocation proportion of assets combination. Firstly, the paper made a statement about the domestic and foreign scholars’study on life-cycle funds; then, made an overview about the life-cycle funds, described its generation, development and product design ideas as well as the status of life-cycle funds in China; after that, the paper carried out a research about lifecycle funds’asset allocation, introduced VaR concept and calculation, and accordingly configured the initial assets and adjusted subsequent asset allocation ratio; at last, by taking the life-cycle funds issued by H funds company as an example, the paper proposed an adaptive and referential design plan for its key elements, then used Monte Carlo simulation, calculated asset allocation proportion of the portfolio under given holding period, confidence level and VaR conditions, conducted the study about the life-cycle fund’s leveling effect on fund net value assets during configuring the asset in a broader category based on VaR, then made a comparison about the risk-return of H company’s life cycle and traditional life cycle, and then offer the conclusions and recommendations.It is discovered from an empirical analysis that compared with simple stock asset decrease, VaR-based diminishing balance adjustmentcan well stabilize the fund net val ue fluctuations and better protect investors’assets under the situation of market drastic fluct uation, which is of positive reference significance to the operation of life-cycle funds in Chin a and at the same time, provide important reference for the optimization of life-cycle funds.
Keywords/Search Tags:Life Cycle Fund, Assets Position, VaR, MonteCarlo
PDF Full Text Request
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