风格偏好、业绩回报与社保基金投资组合优化

Style Preference,Performance and Portfolio Optimization of CNCSSF

人口老龄化背景下,社保基金保值增值是我国国社保制度可持续发展的重要条件。从提升投资业绩出发,利用社保基金2010-2016年股市投资数据,检验了社保基金投资风格偏好及其持续性,进一步研究了其投资业绩与风格持续性的关系。研究发现,社保基金投资风格持续性较强,但在暴跌行情中的动量/反向风格持续性较差;保持投资风格,贯彻"长期投资"理念,有助于提升业绩;过去业绩越好,风格持续性越强。建议贯彻长期投资理念,选择过去业绩较好的管理人,出台措施引导社保基金在暴跌行情中的投资行为。此外,还基于"长期投资"理念提出了优化投资组合的建议。

Under the background of aging,the investment efficiency of social security fund receives widespread concern.From the perspective of improving investment gains,using the data of the stock market investment held by Chinese national council for the social security fund(CNCSSF)from 2010 to 2016,the article examines the investment style and persistence of CNCSSF and explores the relationship between investment style persistence and performance.The result indicates that the social security fund investment style presents strong continuity while momentum/reverse style displays a relatively bad persistence in plummeting market.Maintaining investment style and implementing long-run investment help to improve performance.And the better social security fund performed in the past,the stronger the style's persistence might be.We propose to implement long-run investment,select managers with good performance in the past,and to issue measures to guide social security fund investment behavior in plummeting market.In addition,some suggestions to optimize portfolio are proposed based on long-run investment.