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A Research on National Social Security Fund Investment Performance Evaluation Based on VaR-RAROC Model

Author: HeJun
Tutor: ZhangYunGang
School: Southwestern University of Finance and Economics
Course: Insurance
Keywords: National Social Security Fund Performance Evaluation Risk-adjusted income VaR RAROC
CLC: F842.6
Type: Master's thesis
Year: 2013
Downloads: 90
Quote: 0
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Abstract


The social security system is the regulator of economic development and also a safety net connected with the social stability. The social security fund is the core of the social security system, and as an important part of the social security fund, the National Social Security Fund shoulders the future pay gap because of population aging, being used as a standardized institutional investors to participate actively in the investment and operation of the capital market and to seek their own preservation and appreciation, and thus attain people’s attention. The National Social Security Fund’s investment performance is directly related to the increasing of value, therefore, how to conduct a reasonable evaluation of the performance of the national social security fund is becoming the focus of attention of the community as well as research academia.From this perspective, the paper selects the top ten of five investment portfolios coming from the National Social Security Fund in the second quarter of2012, introduces the idea of risk-adjusted income, and based on the VaR model RAROC index, conducts an empirical analysis of the performance evaluation of the National Social Security Fund, and contrasts with the traditional performance evaluation, and puts forward concrete proposals to improve the investment performance of the National Social Security Fund.This article is divided into four parts; the main point and content of each part are as follows:Part one:This part is the introduction of this article, describes the background and the significance of the writing, summarizes briefly related National Social Security Fund’s literatures on domestic and overseas, and research methods and tools of this article, shows innovation of this article, but also explains some of the inadequacies of this article.Part two:This section describes the basic situation of the National Social Security Fund’s investment operations. Firstly, analyze the concept, characteristics and composition of the National Social Security Fund, distinguish the National Social Security Fund and the Social Security Fund; Secondly, elaborate the National Social Security Fund’s investment operations, including investment philosophy, sources of financing, asset allocation, domestic Securities entrusted investment, investment income and operational mode, come to the conclusion that the direct investment operating model of National Social Security Fund should be preferred; Finally, analyze OECD’s social security fund investment.Part three:about the model. The paper firstly detailedly discusses the theoretical basis of the performance evaluation of the fund, the portfolio theory and the capital asset pricing theory, applies fund performance evaluation theory to the performance evaluation of the National Social Security Fund; Secondly, on the basis of the above theory deduces the classic "three index", including Sharpe ratio, Treynor Index and Jensen Index, while introduce the net asset method and the rate of return method, analyses " three index " based on risk-adjusted income, as well as other risk adjustment index, information Ratiomeasure,M2measure, points out the advantages and disadvantages of the traditional performance evaluation methods; Finally, from the National Social Security Fund performance evaluation of the status quo, introduces the concept of the VaR model and calculation method and application of model testing and performance evaluation of the risk-adjusted VaR as indicators, builds RAROC performance evaluation index, including RAROC1index, RAROC2index and RAROC3index, points out that the index of the performance evaluation of the risk-adjusted income better yield than traditional index.Part four:The empirical part. The data come from the official website of the National Social Security Fund, the finance professional website, Tonghuashun stock trading software, specific data include the risk-free interest rate data for the second quarter of2012, the59-trading day closing price of the benchmark market portfolio data and five packages of daily closing price data from the National Social Security Fund. On this basis, calculates the everyday number of yield data, and use the model of chapter three to calculate value of five portfolio performance index, reorders five portfolio according to the different types of index, and carries out comparative analysis for empirical results, comes to a conclusion that the RAROC with value-at-risk index can better reflect the level of the investment performance of the National Social Security Fund, the more better than the traditional three indicators in the evaluation of investment performance, it enables the balance of benefits and risks of the investment managers, in line with the National Social Security Fund for increasing the value of the investment philosophy. Finally, it is proposed to increase the level of policy recommendations of the National Social Security Fund Investment Performance.The main characteristics and innovations of this article:(1) distinguish between the social security fund and the National Social Security Fund.(2) After a review of the traditional performance evaluation, introduce VaR method and performance evaluation index system, establish a risk-adjusted income performance evaluation; and the RAROC index can be divided into RAROC1index,RAROC2index, RAROC3index.(3) in the empirical part, risk-adjusted income performance evaluation is applied to the National Social Security Fund’s investment performance evaluation.

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