中国主权财富基金投资——基于全球资产配置视角

The Investment of Chinese Sovereign Wealth Funds:Based on the Perspective of Global Asset Allocation

截至2011年底,我国外汇储备存量达到3.18万亿美元。要提高外汇储备投资收益,如何在全球范围内进行资产配置是值得研究和思考的问题。本文以现代投资组合理论为基础,选用10个世界主要国家或地区的证券市场指数,研究了时间跨度在1996年1月1日-2012年1月10日期间这些指数之间的相关性;在此基础上,结合我国战略发展目标,构建了中国主权财富基金投资模拟资产池,构建了最优投资组合。结果表明,在充分考虑资产的分散化和收益性的条件下,我国主权财富基金最优投资组合占比由大到小应分别为日经225指数、标普500指数、原油、美国国债和黄金。

In the end of 2011, China＇s foreign exchange reserves reached US$ 3.18 trillion. Therefore, it became more essential to improve the investment return on foreign exchange reserves and the first thing worth to think was the asset allocation globally. This paper, which was based on Modern Portfolio Theory, collected the Stock Market Index of ten major countries and regions and analyzed the correlation between the indices from January 1, 1996 to January 10, 2012. On this basis, combined with China＇s strategic development goals, this paper structured a Sovereign Wealth Fund Simulation Pool for China and gained an optimal portfolio. The results showed that, under the full consideration of decentralized assets and profitable conditions, the best China＇s SWF investment portfolio in descending order was as followed： the Nikkei 225 Index, Standard ＆ Poor＇s 500 Index, crude oil, U.S. Treasury bonds and gold.