基于业绩量化评价体系的养老基金投资管理人选拔研究

Research on the Selection of Pension Funds Managers Based on Quantitative Performance Evaluation System

为了系统全面地反映投资管理人的能力,养老基金应建立科学有效的投资管理人评价体系。定量评价体系相对于定性评价体系具有更大的确定性和一致性。构建合适的多维量化评价体系虽然是一项复杂的系统工程,却是让优秀投资管理人脱颖而出的重要手段和可行办法。本文构建了一个基于历史业绩多维量化的评价体系并进行了实证研究。结果表明,这一量化评价体系能够为养老基金投资管理人选拔提供客观、充分的支持。养老基金要想获得持续稳定的理想投资收益,未来仍需进一步拓宽视野,将优秀的非公募投资管理人纳入选聘范围。

In order to fully reflect the ability of the investment manager systematically, the pension fund should establish scientific and effective evaluation system of investment managers. Relatively, the quantitative evaluation system has greater certainty and consistency than qualitative evaluation system. Although building up appropriate multidimensional quantitative evaluation system is a complicated system engineering, but it can make excellent investment managers stand out. This paper builds a multidimensional quantitative evaluation system based on the historical performance and conducts empirical research after that. The results show that the quantitative evaluation system can provide objective and full support to the selection of pension fund investment managers. In order to obtain steady and ideal investment income, the pension fund should further broaden the vision in the future, and should consider choosing excellent private funds investment managers.