The Analysis Of Performance Evaluation And Attribution On Equity Investment Of The National Social Security Fund

China established the National Social Security Fund in 2000,as the country's long-term strategic reserves.After 17 years of investment and operation,the National Social Security Fund has achieved an average annual investment rate of 8.37%.But if taking into account the inflation factors and the risks they bear,the fund assets are still facing the problem of value-added.The National Social Security Fund Council uses the commissioned portfolio management approach on the domestic client.Stock portfolio funds and bond portfolio funds accounted for a large proportion of the National Social Security Fund entrusted investment.The stock investment has large risk and needs to entrust professional managers to invest in the market.The performance of stock investment is directly related to the safety of the National Social Security Fund and the vital interests of each national.So the performance evaluation on stock investment is particularly important.It not only can directly reflect the investment operation,but also can provide a method for the Council to evaluate the work of commissions and to strengthen its management in the future.Based on the above background,this paper takes the stock investment data of the social security fund portfolio managed by the councils and 16 entrusted institutions from 2003 to 2016 as the research object,and evaluates their investment returns in the past 14 years.While fully evaluating its benefits and risks,we compare its performance with the performance of the public offering of fund,and analyse the effect of its trading model of short-term and long-term on its investment efficiency.Firstly,in the overall performance evaluation of the National Social Security Fund,the Carhart four-factor model is used to calculate the excess return of the National Social Security Fund as well as the excess returns of the council and the entrusted institutions.The result shows that the stock investment of the social security fund can obtain significant excess returns.The performance of the investment in the entrusted institutions is higher than that of the direct investment performance of the council,and most of the commissioning institutions can obtain significant excess returns.That is to say,most of the excess returns in the stock investment of the National Social Security Fund comes from the entrusted investment.Most of the commissioning agencies perform high-quality management of the social security fund.The stock investment of Social Security Fund bears market risk and tends to invest in small-cap stocks and stocks with high growth.So it should manage risks appropriately while investing.Secondly,this paper further studies the possible sources of excess income of the National Social Security Fund.On one hand,the Carhart four-factor model is used to adjust the yield of the public offering of fund of commissioning agencies,and the original income and the excess return of the entrusted investment and public-offering investment are compared.The results show that,regardless of the original rate of return or the risk-adjusted excess return,the investment efficiency of commissioning agencies should be higher than the investment efficiency of the public offering of fund.And there is no evidence that good efficiency of the public offering of fund can lead to higher commissioned investment performance when we add the return of the public offering of fund into four-factor model.On the other hand,this paper further uses the concept of turnover rate to construct the index of transaction rate based on the turnover of the hand.And the short-term transaction is separated from the long-term holding rate,so we can measure contribution of the short-term yield and the long-term yield to excess returns of portfolios.The study found that the proceeds from short-term transactions contributed more to the excess returns of the National Social Security Fund portfolio than long-term transactions.The empirical research of this paper does not study the national social security fund portfolio from the aspects of the timing ability and stock picking ability of each entrusted institution,but uses the classical fund performance evaluation model-the four factors model to adjust the original income.The coefficient is well,and the method has a certain practicality in the national social security fund portfolio investment performance evaluation.At the same time,this paper constructs the return on transaction in short term and return on holding in long term based on turnover rate,divides the investment rate of return into two parts of short-term and long-term,and considers the influence of transaction style on performance.However,there maybe have any shortcomings of this article.Because the National Social Security Fund will not disclose the net asset portfolio,we can only obtain investment returns data in an indirect way.Due to the limitations of obtaining data,there maybe some mistakes between calculating return and real return.