Can The Trading Strategies Improve The Investment Performance Of Social Security Fund?

In recent years,policies such as gradual delay in retirement and strict collection of social security fees have led to the emergence of population and social security issues.According to the official statistics of the National Bureau of Statistics,by the end of 2017,China's elderly population aged 60 and over had reached 240 million,accounting for 17.3 percent of the country's total population,while the elderly population aged 65 and over was 160 million,accounting for 11.4 percent of the total population.The Statistical Bulletin of National Economic and Social Development in 2018 also showed that China's population aged 60 and over surpassed the population aged 0-15 for the first time.Moreover,due to the rapid decline in both fertility and mortality,the number and proportion of the elderly population will increase rapidly in the next two to three decades.According to estimates,in the 20 years from 2000 to 2020,the number of elderly people aged 65 and over in China will increase by 6 percent,and the next 20 years from 2020 to 2040 will increase by 13 percent.On March 21,2019,the topic of "6 provinces entering deep aging condition" was posted on Weibo,and the provinces of Liaoning,Shanghai,Shandong,Sichuan,Chongqing and Jiangsu were on the list.At the same time,a set of data in the 2019 Government Work Report raised concerns,"lower the share borne by employers for urban workers5 basic aged-care insurance,and localities may cut contributions down to 16 percent" and "continue to increase the basic retirement pension".This "one reduction and one increase" means that the payment is less and distribution is more.From the above-mentioned demographic structure changes and policy trends,it can be seen that the payment of pension is under tremendous pressure,which has obviously challenged the "social security fund sustainability" task proposed in the 2019 Government Work Report.Therefore,the "hematopoietic" function of enhancing the preservation and appreciation of social security fund has become a key task for the present and future.So,how to improve the investment performance of social security fund?In other words,what factors have impacts on its investment performance?Social security fond plays the role of "safety net" and "suppression valve" in economic and social development,and is the "life-supporting money" and"life-saving money" of the people.In order to better realize the value-maintained and value-added target,and meet the expectations of each social security fee payer,the National Social Security Fund entered the capital market in June 2003 by entrusted investment,forming an investment operation mode combining direct investment with entrusted investment.In the process of operations,social security fund investment managers' trading strategies are important factors that affecting the investment performance of social security fund.In the face of accusations such as "being unfavorable to capital market stability" or "leading to investment failure",it is necessary to conduct an in-depth research from the perspective of trading strategies'effects on investment performance,and give fair evaluations to different trading strategies from the behavioral finance according to research conclusions,namely make whether it will bring about the improvement of investment performance as the code of conduct for investment transactions.Therefore,considering the above background,this paper selects the representative social security fund stock investment as the research scope,from the perspective of the fund investment managers' trading behaviors,systematically analyzes and empirically tests the impacts of trading strategies on the investment performance of social security fund.This paper takes social security fund as the research object,selects the quarterly data of the Shanghai and Shenzhen A-share non-financial listed companies from 2003 to 2018 as sample data,judges whether the fund adopts trading strategies and the specific types of trading strategies based on whether the trading direction indicator and the individual stock performance indicator change in the same direction,and uses the return on investment as a direct measure of investment performance,systematically studies the logical relationship between trading strategies and investment performance under different circunstances through the combination of normative analysis and empirical test.The main research idea is as follows:Firstly,take an overall test of the impacts of trading strategies on investment performance of social security fund;Secondly,starting from the different characteristics of two investment orientations,national policy and market efficiency,discuss the impacts of trading strategies on investment performance of social security fond under the direct investment and entrusted investment;Finally,further examine whether the impacts of trading strategies on investment performance of social security fund are affected by market conditions under each investment mode.The conclusions of this paper are as follows:Firstly,in general,the momentum strategy reduces investment performance,and the contrarian strategy improves investment performance,that is,going with the trend reduces revenue,while moving against the trend brings income.Secondly,the inhibition effect of the momentum strategy on investment performance only exists in the entrusted investment,and the improvement effect of contrarian strategy on investment performance is significant in different modes.Thirdly,as far as the inhibition effect of the momentum strategy on investment performance is concerned,it is not significant in different market conditions under the direct investment mode,but it is effective in the different market conditions under the entrusted investment mode;in terms of the improvement effect of contrarian strategy on the investment performance,it is significant in the rising market under the direct investment,while it is not significant in the falling market,but this impact is always obvious in different market conditions under the entrusted investment mode.Fourthly,the momentum strategy improves short-term trading performance,but reduces long-term holding performance,and this effect is more obvious in the entrasted investment mode;while contrarian strategy has no stable impacts on short-term trading performance,but can significantly improve long-term holding performance.The innovations in this paper are summarized into the following three points:Firstly,the research object.Most of the existing researches on the relationship between trading strategies and investment performance are carried out from the perspective of institutional investors as a whole or a certain type of institutional investors.This paper selects social security fund as research object,which is an innovation about the research subject.Secondly,the research contents.First of all,with the theme of the impacts of the trading strategies on the investment performance of social security fund,this paper enriches the related researches on the economic consequences of investment behaviors,and expands the discussion on the factors affecting the investment performance of social security fund as well;What's more,considering that there are two different investment modes of social security fund,and the investment managers'institutional attributes are different under each mode,based on the difference of investment orientation,this paper analyzes the different effects of trading strategies on investment performance under direct investment and entrusted investment from the perspective of value investment and follow-up transaction.Compared with the discussions on the different modes in existing researches,this analysis is more in-depth.Last but not least,in further research,this paper distinguishes the market situation,and this division is based on a single investment mode,which can get the net impacts of the market environment on the effects of trading strategies.Compared with previous studies,the research conclusions may be more reliable.Thirdly,the research methods.This paper takes the social security fund holding companies as research sample,judges whether their stock holders adopt trading strategies,and based on this,explores the impacts of trading strategies on investment performance under different circumstances.There may be some problems,such as the existence of causal relationship between trading strategies and investment performance,the omission of variables,and the performance of the stocks which the social security fund investment managers adopt certain trading strategies on may be better.To this end,the CMP-based instramental variable method and the propensity score matching method(PSM)are used respectively.Compared with the existing researches,in which the two-stage least squares method(2SLS)is always adopted,and the application about whether social security fund holds shares,the uses of research methods in this paper are relatively original.The insufficiency of this paper mainly includes the following three aspects:Firstly,due to the requirements of policies in security market,China's social security fond investment information is announced quarterly,and the announcement contents are always limited to the data of the top ten bulk-holding shares,the investment information on specific trading days in the same quarter and the holding data of non-top ten bulk-holding shares are almost in the "black box",which limits the choice of research samples and leads to the lack of accuracy to a certain extent.Secondly,this paper conducts related researches on whether to adopt the momentum strategy and whether to adopt the constrain strategy as the main explanatory variables,this method make it possible to avoid the possible bias in the calculation of the trading strategy variables in terms of multiplication and division,but it is also reduce the accuracy of the study to some extent.Finally,with reference to the prdor literature,this paper divides investment performance into short-term trading performance and long-term holding performance by a quarterly standard,but this kind of division is not supported by sufficient theoretical basis and practical experience.For social security fund investment transactrion,how to define the length of the period is not vary clear.It can be seen that this is also the research direction in the future.