中国企(职)业年金的长期投资目标与“长钱短投”困境的解决之道——基于精算预期收益率的一个统一的分析框架

Long-term Investment Objective of Occupational (Enterprise)Annuity Plan and the Solution for Short-termism Investment Problem of Pension Funds in China——A Unified Analysis Framework Based on Actuarial Expected Rate of Return

积累制养老金计划投资管理过程中的短期主义行为在很多国家较为普遍,我国企(职)业年金投资管理中的“长钱短投”现象也较为突出。本文使用精算预期收益率统一的分析框架,阐释了不同类型的年金计划的长期投资目标,分析了长期投资目标、投资管理框架和治理结构之间的内在联系。在此基础上提出我企(职)业年金投资管理中面临两方面的困境:DC型年金计划借鉴了DB型投资模式,但是没借鉴DB型的精算技术和精算制度,没有明确长期投资目标,无法建立科学的投资管理框架;DC型年金计划没有放开投资选择权,投资决策和风险承担相分离,无法建立有效的治理结构。为此,从治理结构、投资管理框架、精算制度和投资选择权等四个方面提出了完善我国企(职)业年金投资管理制度的建议。

Short-termism of pension fund investment is a common phenomenon in many countries,and such is true for the investment of occupational(enterprise)annuity plans in China.In this paper,we use a unified analysis framework based on actuarial expected rate of return to explain different long-term investment objectives of different types of annuity plans,analyze the inner relationship among their long-term investment objective,investment framework and governance structure.Based on this theory,we point out the two dilemmas of occupational(enterprise)annuity funds investment in China.Firstly,the defined contribution type of annuity plans adopt the DB investment framework without using the latter′s actuarial technique and system,nor having long-term investment objective or scientific investment management framework.Secondly,defined contribution type of annuity plans don′t provide investment options to employees,and its investment decision-making is separated from risk taking,thus the governance structure is ineffective.Based on above analysis,we offer proposals for improving on the investment management system for occupational(enterprise)annuity plans in China from the perspectives of government structure,investment framework,actuarial system and investment options.