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Evaluation Research About Performance of Stock Portfolio of the National Social Security Fund

Author: LuZhuQing
Tutor: WeiXiaoQin
School: Ocean University of China
Course: Financial
Keywords: stock portfolio of the National Social Security Fund risk-adjusted performance performance attribution persistent
Type: Master's thesis
Year: 2013
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The National Social Security Fund was established by the state for social security funds.It is part of the Social Security.The National Social Security Fund’s stock portfolio is the risky investment part in the social security fund,which can only be entrusted.Portfolio performance evaluation is the ultimate test of the portfolio results, including market timing and stock selection. It is a measure of investment management results, which is also an important oversight for managers. Portfolio performance evaluation not only measure the return on income, but also to evaluate the risk.By risk-adjusted, it can get the risk-adjusted rate of return. General measure of performance is only an assessment of the yield of the investment portfolio. But in fact,the same income can be companied with different risk. Therefore, applying the risk-adjusted portfolio performance evaluation is necessary to conduct a comprehensive assessment.The results of its assessment is useful for the management of the social security portfolio.The reason to choose stock investment as the object of studying in the social security portfolio, is not only because that the equity investment management is an important part of the asset management, but also because that the stock investment is the risky part of all the kinds of investment.The stock investment takes a very important part in The National Social Security Fund,so the performance of it will directly affect the security of the social security overall.Reasonably managing it is an important factor in the social security portfolio which will partly decide whether the social security portfolio funds will continue to add value or not.Besides, stock investment portfolio is an entrusted investment, which can only be invested by professional investors.This makes the stock investment become an independent market behavior, so to collect data and to measure its performance by the use of market way become possible. Finally, due to the social security stock of investment management evaluation and selection, its performance measure precisely reflect the attitude and ability of the management of the Manager, which is conducive to the supervision and selection of investment managers.The improvement of Stock portfolio performance measurement methods, no doubt provides an assessment of managers about the investment for the Council of the social security portfolio.Also the Council of the social security portfolio can relize its responsibility of prior control and supervision afterwards.In order to achieve the purpose of effectively assessing the investment performance of the portfolio,social security fund stock portfolio’s overall performance, performance attribution and sustainability evaluation are evaluation in the article of Performance Evaluation Research of the National Social Security Fund’s stock portfolio.Evaluation of the overall performance of the social security fund, the main method employed is the method of M2.On this basis, taking into account the principle of the supremacy of the social security safety, use Var to correct the method, and do empirical analysis using the revised method. By this, that article get the conclusion of portfolio performance better than the performance of the benchmark portfolio. In other words, each portfolio investment has obtained excess returns and the relatively investment managements have fulfilled the responsibilities of the management of social security funds.The study of attribution about social security funds performance mainly use the methods of T-M model and H-M model.By fitting each portfolio of China’s social security fund stock portfolio, the indicators show positive stock selection ability and negative timing ability.The sustainability evaluation of the social security fund stock portfolio includes three aspects, which are a single portfolio evaluation, the social security portfolio as a whole and the phased inspection. The use of the autoregressive model excludes the impact of market volatility on the judgment of a single portfolio, the performance of China’s social security fund portfolio does not have persistent. Cross plot ratio of social security overall performance persistence analysis shows that the Social Security Fund as a whole do not exhibits the continued performance,instead it exhibits anti-transformation characteristics. According to the characteristics of the market volatility during the sample period,the sample period is divided into four stages and test the continuity of each stage. As a result, in the case of greater market volatility, the performance of the social security do not exhibit persistent.In the case of a relatively stable market, the overall performance of the social security fund shows a persistent feature.

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