全国社保基金组合重仓股的资产配置特征分析

上海交通大学硕士学位论文全国社保基金组合重仓股的资产配置特征分析姓名：陆炜申请学位级别：硕士专业：管理科学与工程指导教师：刘海龙200901013452001610111212101112102103108101110211021031081101071021031087,8THERESEARCHOFTHEASSETALLOCATIONOFTHESTOCKFUNDOFSOCIALGUARANTEEFUNDABSTRACTAsthemostimportantstrategicreservinginthiscountry,thenationalsocialguaranteefundwhichisthefundcentralizedbythegovernmenthasalreadygotmoreattentions.However,itselfmayfacealotofproblems,too,whichamongthem,thepriorityistheissueaboutmaintainingandaddingthevalueofthefund.Asfastastheprogressoftheaginginourcountry,theexpenditureofthefundraisedquicklythatthefinancialallowancereliedongovernmentcanbarelymeettheneedofsatisfyingthesocialguaranteefund,ifonlythemoreefficientinvestmentrunningtowardsthefundcanpaytheincreasingneedbygainingmoreprofits.Nevertheless,therateofinflationhasbeenincreasedquicklytheseyears,andtheissueaboutmaintainingandaddingthevalueofthefundalsogrowsquickly,soitisnotpossibletomeettheneedofthebasicprofitrateofthefundbymerelythedepositsinthebankwhichhaslowerriskandlowerprofitsrateaswellasthenationaldebtsinvestment.Atthissituation,ifthefundcannotmakeacomparativelyhigherprofit,itmustbeharmfultothestabilityofthesocietyaswellasdevelopmentofthesociety.Sothefundmustbeinvestedinawidechannel,inordertomakemoreprofit.NowinChina,thestockmarkethasundoubtfullybeenaefficientwaytoincreasetheyieldofinvestment.Butwhenitprovidesmoreprofit,italsobringthehugeriskoftheinvestment.Thenthathowtoselectthestock,andhowtoconroltheriskwhenincreasingtheyieldisbecomingmoreandmoreimportant.Sothisarticletakethegroupof101to112fortheresearchobjects,andittaketheindustryallocation,theBETAmodule,thePE,andtheEPSforanalyzingandcomparingthroughtheresearchmethodofanalyzingnumbersandstructures.Wecandrawaconclusionfromtheresultsoftheresearchthatintheaspectofindustryallocation,thegroupof102,103and108mainlytakethebasicindustryastheinvestmentobjectssuchasmanufactoryindustryandtrafficandtransportationindustrywhichismorelikethestablefeatureoftheindustryallocationwhileothergroupstakegreatinterestinthehotindustrieswhichhavemorerisks;ConsideringtheBeta,group101isclosetothosestockthathavetheBETAmorethan1whilegroup102istheopposite,atthesametime,othercombinationhavenointeresttotheBeta;ConsideringthePE,thegroupof102,103and108alltakethestockwhichare9lowertotheaveragePEofindustryastheinvestmentobjectswhilegroup110and107havemoreinterestinthestockwithhighPE,ontheotherhand,othergroupchosedifferentPEaccordingtotheenvironmentofthemarket;AstotheEPS,allthegroupsareinterestedinthestockwithmoreEPSandmoreprofits.Thisarticleconcludestheconfigurecharactorofthestockthroughtheanalysingandcomparingtheconfigurecharacterofthesocialsecurityfundstock.Italsolinktheorderofthesocialsecurityfundoperation,bringingforwardsomesuggestionandideas.Duetoresearchofthesocialsecurityfundoperationbynowismainlyrestrictedtothewaythatenhancingtheprofitsonlybyincreasingtheinvestingways.Whereastheamountoftheresearchoftheconfigurecharactorofthesocialsecurityfundisless.Sodealwiththeinvestingoperationofsocialsecurityfundthisissometimesuseforreference.KeyWord:socialguaranteefund,assetallocation,risk,yieldsharpratio111.1200606100656.96%205025%2004121.2MasaruKijimaandYingshengLeeTheSocialTransformationandChangesinChinaSocialSecuritySystemAFPP.CelbyM.Chackter2000198721RehfeldBarryWorldly-WiseAssetAllocation1997FrankK.ReillyKeithC.BrownInvestmentAnalysisandPortfolioManagementCITICPublishingHouse,13May200520049BingSunHongyuLiuandSiqiZhengAComparativeStudyontheInvestmentValueofResidentialPropertyandStocksRealEstateIssuesinAsiaAnEmergingParadigmTheHongKongPolytechnicUniversity1.3142.12.2656.96%727620106012.3%658.1%202016.7%11.5%205029.9%22.7%115160%65%200010.16.9200510.87.5201012.38.1202016.711.5205029.922.720035[8]655%5%-7%7%205019822000185020007%203014%30140708520759.15162.32.3.120008[21]2.3.2200366200411102003170.00%10.00%20.00%30.00%40.00%50.00%200320042005200620072-12003-2007Figure2-1Theinvestmentpercentsofthesocialguaranteefund2003-20072.3.3182-2Figure2-2Theinvestmentprocessofthesocialguaranteefund2.4[1]123192.51[3]902200250%320420022004521672.62.6.122,001002[21]21011021031041051061071081091101111122012022032042052065015025035046016026036042.6.250l023501040350%10%40%2-3Figure2-3Theregulatedinvestmentpercentofthesocialguaranteefund200828%7%4.14%55.85%20032007320012007%%20010.71.982.162.252.432.702.8820020.81.711.891.982.252.522.7920031.201.711.891.982.252.522.7920043.901.712.072.252.703.243.6020051.801.712.072.252.703.243.6020061.501.802.252.523.063.694.1420074.801.982.432.793.333.964.412420012.6.319901991200048091GDP53.79%50%WTO2544%(%)20019.672.250.7200221.002.75-0.8200334.072.711.20200445.913.323.90200552.903.121.802006195.809.341.5020071129.2038.934.8003043.32%053.12%0610%0738.93%42001-2007-100102030405020012002200320042005200620074Figure2-4Therealyieldofthesocialguaranteefund26200406070610%0735%1011122006112007123120062007101112273.15060606060616(%)18(%)17(%)16(%)949.411149.51866.231173.41118.95214.54213.8216.96101214.3112.126.6326.7638(%)34(%)37(%)35(%)1955.11445.191639.491438.38102511.6