全国社会保障基金战略资产配置优化的研究.pdf

?? ? 摘 要 I 摘 要 全国社会保障基金自 2000 年成立以来，其保值增值问题一直是全社会关注的焦 点。随着基金规模的壮大以及我国人口老龄化问题的逐渐恶化，基金的保值增值压力 越来越大。为了更好地实现基金的保值增值，本文以投资组合理论为基础，参考我国 金融市场近 10 年的统计数据，运用均值—方差模型实证分析了全国社会保障基金投资 现金资产、国债、金融债、企业债以及股票五种传统金融资产的有效投资边界。实证 表明，我国股票市场没有体现出长期投资价值，全国社会保障基金对国内股票市场的 投资占比偏高。此外，通过对实业投资历程的分析得出，基金近年来逐渐加大了对央 企的直接股权投资和股权基金投资，并取得了较好的投资回报。最后，通过对国际上 两个典型主权养老基金资产配置的分析总结出适合全国社会保障基金的经验与启示， 并提出了优化全国社会保障基金战略资产配置的对策建议：第一，加快制定和完善与 全国社会保障基金投资管理相关的法律法规与配套办法；第二，全国社会保障基金应 逐渐摆脱本土化投资偏好，将更多的资产投资于海外发达市场，并在保证股票和债券 投资为主的基础上，尝试另类资产等多元化投资以寻求投资风险的进一步分散和较为 丰厚的投资回报；第三，加强对基金的风险管理与投资监管，尤其注重对投资组合的 风险分配与调整以及有关基金投资运作信息披露的完善，以确保基金在安全且透明的 环境下实现资产的投资增值。 关键词 全国社会保障基金 战略资产配置 有效投资边界 多元化投资 Abstract II Abstract Since the establishment of the National Social Security Fund in 2000, increasing the value of the fund has been the focus of society. With the gradual growth of the fund size and the deterioration of aging problem, the pressure of increasing the value of the fund is increasing. In order to increase the value of the fund, on the basis of portfolio theory, refer to nearly 10 years’ statistical data of financial markets, using the mean-variance model, the paper did empirical analysis in five traditional financial assets including cash, treasury bonds, financial bonds, corporate bonds and equity and draw a effective investment border curve. Empirical evidence shows that stock market does not reflect the long-term investment value, investment proportion on domestic stock market is high. In addition, through the analysis of industrial investment process, concluded that in recent years the fund gradually increased the direct equity investments of central enterprises and equity investment fund, and got a better investment return. Finally, according to the reality of the development of the National Social Security Fund and experience of asset allocation from Norwegian Government Pension Fund Global and Australian Future Fund, concludes that National Social Security Fund should gradually get r