Research On The Development,Design And Asset Allocation Of Life-Cycle Funds

Since it's birth in the 1990s,the Life-cycle Fund has grown rapidly and is now popular in many countries around the world.The life-cycle fund has made outstanding contributions to the development of pensions.At present,China's aging problem is serious,the pension is facing long-term pressure to increase the gap.The reform of the pension system has long been put on the agenda.Although the development of China's life-cycle fund has just started,the introduction of life-cycle funds into our pension system is considered a good breakthrough in China's pension reform.In this paper,the life-cycle fund as the theme,research and discussion of the development of life-cycle funds,Glide Path design and asset allocation waiting for a series of content.This paper hopes to further study the investment value of product design and asset allocation of life-cycle fund and provide new ideas and methods for pension fund investment.This article first introduces several classic life cycle asset allocation theory.Including the BSM life-cycle model proposed by Bodie,Morton,Samuelson(1992)and the GKV life-cycle model proposed by Gomes,Kotlikoff,Viceira(2008).The former belongs to the model with analytic solution,and the latter belongs to the model with numerical solution.This paper introduces the development of the life-cycle fund since its birth,focusing on the development of the life-cycle fund in the United States,as well as the related life-cycle index,the US 401(K)plan and so on.Then,this paper studies the product design of the life-cycle fund,analyzes the design idea of the life-cycle fund,which is divided into three levels:the design of the down track,the allocation of the assets and the choice of the investment tool.And tried to design four life-cycle fund products with different Glide Path.And its yield was measured.The results of the yield shown that these four product design have achieved good income,can significantly exceed the performance benchmark three-year deposit rate of return,we can see that the life-cycle fund for the realization of the pension fund value-added has a great Effectiveness.Finally,based on Vanguard's life cycle-fund and three life-cycle funds that have been issued in China,this paper analyzes their respective Glide Path design,large asset allocation and investment instrument options waiting for a series of problems.And they were compared and found that the two ideas in the design and ideas are relatively close,but in some other areas there are still some differences.Some conclusions are drawn from the comparison,and the feasibility of the development of China's life-cycle fund is given.