全国社保基金的股票投资对我国股市波动风险影响研究

掌握全国社保基金的股票投资对中国股市波动风险的作用效果与机制,有助于明确中国社保基金投资管理的方向,为资本市场机构投资者的发展方向提供经验依据。从信息溢出效应与机构投资者专业化效应两方面对社保基金降低微观个股和股市整体波动风险的效果与机制进行检验。实证结果表明：从信息溢出效应的角度来看,全国社保基金投资股市作为利好消息,能够在短期发挥“股市稳定器”的作用,但未能产生长期信息溢出效应;从专业化效应的角度来看,全国社保基金投资组合的配置行为注重股票的盈利性和成长性,但对分红能力和安全性的择时能力需要提升;全国社保基金未能通过缓解信息不对称程度和外部监督渠道降低股市整体波动风险。从信息溢出效应的角度,应拓宽资本市场长期资金来源。从发挥机构投资者专业化优势的角度,应重视股票分红能力和安全性,并发挥信息优势与外部监督作用。     

全国社保基金股票投资策略

我国经济不断发展,经济水平不断提高,但是人口结构中老龄化人口比例不断增加,社会保障面临压力越来越大,全国社保基金面临的保值增值压力也越来越大.本文以提高全国社保基金收益,把股票投资策略为研究对象,通过分析全国社保基金投资提出相应方法提高收益.为了提高全国社保基金的收益,全国社保基金理事会必须采用更加优化的股票投资策略.     

中国股票型基金业绩持续性实证研究

本文采用动量检验法和回归系数法,检验了存续时间超过24个月的中国股票型基金业绩是否存在持续性.结果发现,101只样本基金的业绩在6个月存在显著的持续性.在此基础上,本文从风险收益和基金管理人能力两个角度检验了基金业绩持续性的来源,结果发现,CAPM和“三因素模型”,以及考虑了基金投资风格的管理人选股能力、择时能力及投资风格持续收益,均不能解释中国股票型基金的业绩持续性.     

基于E-Sh风险度量的实物限量资本投资组合模型

应用现代金融组合投资理论的E—Sh风险度量方法 ,考虑在限量资本情况下进行实物组合投资 ,得出在给定未来期望收益情况下的最小风险投资组合选择模型 ,并给出了应用实例。模型在实际投资中具有较强的可操作性和实用性。     

投资风格对证券投资基金业绩影响的实证分析

本文以利用历史交易数据构建的模拟组合作为参照基准，对我国不同投资风格的证券投资基金业绩进行了全面的比较分析。结果发现，在一定的市场环境下，投资风格与业绩具有密切的关系；在同样的市场环境下，相同风格基金的业绩存在较大差异；对很多基金而言，相当一部分收益来自于积极管理，而且从整体上看，我国的基金经理没有显示出足够的赢利能力。     

我国开放式基金业绩持续性的实证研究

文章运用列联表、一元线性回归和卡方检验方法对我国开放式基金从2002年6月30日至2005年6月30日的业绩持续性进行了检验。实证结果发现我国开放式基金业绩不具有持续性,此外,开放式基金在短期内还有显著的业绩反转现象产生,很难根据基金过去的收益来判断其未来的业绩。     

个人长期定投基金的选择

从国内外资本市场的长期发展趋势来看,基金定投不论是在市场的什么时点进入,都能在长期的投资中获得客观的收益,能够有效的降低投资的风险.同时,定投分批小额投入资金,对投资者日常生活的影响小,是一种类似长期储蓄、积少成多、较低风险的投资品种.但是,作为一种投资活动,本着追求更高收益,更低风险的原则,进行基金定投所选择的基金品种也需要根据自身情况和基金特点谨慎选择,从而获得稳健的收益.     

交易策略能提高社保基金投资绩效吗？

十八届三中全会提出推进社保基金市场化、多元化运营,这对基金投资绩效提出了更高要求。而现有研究尚未从多元化的差异投资模式视角来分析市场化投资交易策略对社保基金投资绩效的影响。文章采用2003-2018年社保基金持股季度数据,区分政策导向下社保基金会直接投资和效率导向下市场机构承担的委托投资两种投资模式,深入探讨了交易策略对社保基金投资绩效的影响。研究发现:从总体表现看,惯性策略降低了投资绩效,反转策略则提高了投资绩效,即"随波逐流"降低收益,"逆势而动"提高收益;在直接投资模式下,仅表现出反转策略的绩效提升作用,但在下跌行情中因市场发现能力不足而不再明显;在委托投资模式下,无论在何种行情下,影响效应均与总体表现一致。可见,社保基金会更加倾向于遵循国家政策,惯性策略未带来损失,反转策略则能带来收益,表现较为稳健;而市场机构则更加倾向于与市场判断和行情走势一致,在获得反转策略收益的同时,也承担着惯性策略的损失。进一步区分短期交易绩效和长期持有绩效后的检验同样证明了上述判断。文章的研究丰富了交易策略影响投资绩效的理论成果,并为规范多元化投资模式下交易策略进而提升社保基金投资绩效提供了经验借鉴。     

业绩排名、市场状态与基金经理的风险调整行为:“争名”还是“逐利”?

业绩锦标机制下,不同的市场状态会影响基金经理的风险调整行为。薪酬激励与职业忧虑会使得基金经理在风险调整时做出不同的选择。本文以2006年至2010年间的开放式基金作为研究样本,利用基金中报与年报所公布的投资组合明细,分析基金业绩排名对于基金经理风险选择行为的影响,研究发现:牛市状态下薪酬激励占据了主导地位,促使基金经理在上半年业绩排名较低的情况下在下半年增加投资组合的风险以谋取最大化薪酬;职业忧虑则会使业绩排名产生的影响在熊市下正好相反。此外,研究还发现,市场年中收益越高即市场的表现"越牛",排名较低的基金经理相对于排名较高基金经理提升其投资组合风险的表现也越明显。     

中国养老基金战略资产配置实证分析

本文以2000年1月1日—2008年7月31日期间的股票市场数据、债券市场数据和货币市场数据为基础编制股票收益率指数、债券收益率指数和现金资产收益率指数,通过对上述三指数均值方差最优化方法来实证分析中国养老基金的战略资产配置问题。研究结果表明:中国养老基金需要配置30%左右的股票资产来提高长期收益水平,投资股票不仅可以抵御通货膨胀对养老基金的侵蚀,还可以分散基金投资风险。建议社保基金监管部门放宽对个人账户基金和企业年金的股票投资限制。     

社会保障的供给及其财政责任研究——以北京市为例

本文在系统梳理相关文献基础上,从公共服务分析框架出发,结合社会保障供给的研究,分析了北京市社会保障的财政责任.北京市社会保障制度和管理服务创新持续推进,基金规模增加、待遇标准提高.北京市需要加强社会保障制度的整合衔接,完善社会保障管理和服务体系,并对人口老龄化作出制度安排.北京市社会保障财政支出规模仍维持在较低的水平,财政对基本养老、基本医疗保险缺乏稳定投入,社会保险基金投资渠道狭窄、资金收益率低,社会保障资金的财政管理水平和运行绩效仍缺乏实质性的提高.建议北京市在稳步增加对社会保障的财政投入的同时,实现社会保障的多渠道筹资；重点调整财政投入结构,强化对基金的监督管理以及建立完善社会保障预算.     

The Relevance of Investor Risk Classes in Ranking Fund Performance: An Application of the Extended Mean-Gini CAPM

The primary focus of this paper is to investigate whether the introduction of investor risk classes to the fund performance model affects relative performance rankings. In other words, are investor risk classes relevant? This analysis is conducted in an Extended Mean Gini (EMG) CAPM f ramework. Our results support the conclusion that investor risk class is not relevant to the performance ranking of a fund. Thus, it would seem that fund managers are not developing portfolios which are suited to a particular class of risk averse investors. Furthermore, based on our results, equity fund managers are unable to outperform the market portfolio. Finally, we find no relationship between performance and perceived level of activity — thus suggesting the irrelevance of perceived management style.

     

Testing rebalancing strategies for stock-bond portfolios across different asset allocations

We compare the risk-adjusted performance of stock–bond portfolios between rebalancing and buy-and-hold across different asset allocations by reporting statistical significance levels. Our investigation is based on a 30-year dataset and incorporates the financial markets of the United States, the United Kingdom and Germany. To draw useful recommendations to investment management, we implement a history-based simulation approach which enables us to mimic realistic market conditions. Even if the portfolio weight of stocks is very low, our empirical results show that a frequent rebalancing significantly enhances risk-adjusted portfolio performance for all analysed countries and all risk-adjusted performance measures.     

国际分散化投资与本土偏好行为——基于QDⅡ对外投资基金的实证分析

本文运用2009年中国8家QDII基金境外组合的周收益历史数据,与基于全球29个股市指数的收益数据构建的国际投资分散化有效前沿进行比较,探讨QDII基金在境外投资过程中是否存在"本土偏好"。研究发现我国QDII基金与国际投资分散化有效边界都存在着不同程度的偏差,反映出较显著的本土偏好的投资行为。本土偏好减弱了国际分散化效果,降低了QDII基金的绩效。资本管制、交易成本和信息不对称是造成本土偏好的主要原因,因此放松资本管制,降低交易成本,降低信息获取成本,加快资本市场开放和合作能够使投资者更好地享受国际分散化投资带来的利益。     

社保基金投资组合的 定价效率和投资风险研究 基于股价同步性的实证检验

笔者利用2007年到2013年各个季度我国沪深两市A股交易数据,以股票价格收益率与沪深300指数收益率的同步性衡量股票的定价效率,通过实证模型分析社保基金投资对股票定价效率的影响。研究表明,当市场处于金融危机前后的牛市和熊市时,社保基金投资对股票定价效率无显著影响,当市场处于较平稳的阶段时,社保基金能显著提高股票的定价效率并降低了投资风险。这说明社保基金参与资本市场投资能提高我国资本市场的有效性。     

An alternative approach for portfolio performance evaluation: enabling fund evaluation relative to peer group via Malkiel’s monkey

We propose an implementable portfolio performance evaluation procedure that compares a portfolio with respect to the portfolios constructed by an infinite number of Malkiel’s blindfolded monkeys, or equivalently the whole enumeration of all possible portfolios. We argue that this approach exhibits two main advantages. First, it does not require any benchmark portfolios because a portfolio is being compared to an infinite number of portfolios. Second, it is market condition invariant. Since the market conditions are already reflected in the portfolio performances of an infinite blindfolded monkeys, our measure of portfolio performances is invariant to volatile market conditions.     

On the post-financial crisis performance of Islamic mutual funds: the case of Riyad funds

Using Riyad Capital mutual funds as a proxy for Saudi Arabian mutual funds, this paper empirically compares the risk-adjusted performance and investment style of Islamic mutual funds with that of conventional funds in the wake of the recent global financial crisis of 2009–2014. Absolute and relative risk-adjusted measures with single factor (Jensen) and multifactor (Carhart) models are applied. Our findings suggest that Islamic funds outperformed conventional funds domestically, given similar risk exposure, and produced comparable results under lower market risk globally. The results show that Islamic funds are a relatively big cap from the strong statistical significance registered on the global side as evidenced by the difference portfolio outcomes. In addition, the difference portfolios provide statistical evidence that Islamic funds are more value-oriented compared to conventional funds on both fronts. Furthermore, Islamic funds tend to slightly favour a contrarian trading investment strategy as suggested by statistically significant local portfolio value and global difference portfolios results. The results of home bias test show stronger ties by local Islamic funds to local market relative to the global proxy suggesting that domestic investors and managers favour Islamic funds over conventional funds, thus confirming a local preference for Shari’ah-compliant investments.     

Optimal and investable portfolios: An empirical analysis with scenario optimization algorithms under crisis market prospects

This paper develops scenario optimization algorithms for the assessment of investable financial portfolios under crisis market outlooks. To this end, this research study examines from portfolio managers' standpoint the performance of optimum and investable portfolios subject to applying meaningful financial and operational constraints as a result of a financial turmoil. Specifically, the paper tests a number of alternative scenarios considering both long-only and long and short-sales positions subject to minimizing the Liquidity-Adjusted Value-at-Risk (LVaR) and various financial and operational constraints such as target expected return, portfolio trading volume, close-out periods and portfolio weights. Robust optimization algorithms to set coherent asset allocations for investment management industries in emerging markets and particularly in Gulf Cooperation Council (GCC) financial markets are developed. The results show that the obtained investable portfolios lie off the efficient frontier, but that long-only portfolios appear to lie much closer to the frontier than portfolios including both long and short-sales positions. The proposed optimization algorithms can be useful in developing enterprise-wide portfolio management models in light of the aftermaths of the most-recent financial crisis. The developed methodology and risk optimization algorithms can aid in advancing portfolio management practices in emerging markets and predominantly in the wake of the latest credit crunch.     

Global financial crisis and dependence risk analysis of sector portfolios: a vine copula approach

We use regular vine (r-vine), canonical vine (c-vine) and drawable vine (d-vine) copulas to examine the dependence risk characteristics of three 20-stock portfolios from the retail, manufacturing and gold-mining equity sectors of the Australian market in periods before, during and after the 2008–2009 global financial crisis (GFC). Our results indicate that the retail portfolio is less risky than the manufacturing counterpart in the crisis period, while the gold-mining portfolio is less risky than both the retail and manufacturing sector portfolios. Both the retail and gold stocks display a higher propensity to yield positively skewed returns in the crisis periods, contrary to the manufacturing stocks. The r-vine is found to best capture the multivariate dependence structure of the stocks in the retail and gold-mining portfolios, while the d-vine does it for the manufacturing stock portfolio. These findings could be used to develop dependence risk- and investment risk-adjusted strategies for investment, rebalancing and hedging which more adequately account for the downside risk in various market conditions.     

我国证券投资基金总体绩效的实证分析——基于总业绩评价理论

本文基于2007—2010年间数据,对我国开放式证券投资基金中的股票型基金、混合型基金和债券型基金的总体绩效进行了比较实证分析。研究发现:各股票基金的业绩表现极不均衡,基金经理的选股能力参差不齐,但选股能力或者择时能力有了明显的提高;各混合型基金的绩效分布都较为接近正态分布;我国债券型基金的业绩表现基本稳定,并没有随着股票市场的大起大落而表现出明显的好与差,其风险收益均大于与市场同风险的投资组合的风险收益,但是这种优势并不太明显。