我国企业年金投资运营的绩效评价

文章先从时间维度分析了我国企业年金基金历年来的总体收益情况，然后通过对比不同期间组合投资收益率情况，发现年金投资绩效与组合运作期间的长短有关。在进行了简单的Fama业绩归因分析后，又从横截面维度分析了2012年18家企业年金投资管理人的投资管理收益率情况，说明企业年金投资绩效与投资组合类型及资产配置的关系。最后通过简化的T—M模型和H—M模型分析投资管理人的择时能力和证券选择能力对年金基金投资绩效的影响。

Performance Evaluation of Investment Operations of Chinese Enterprise Annuity

From the time dimension, this paper analyzes the overall profit of enterprise annuity fund in China over the years, and then by comparing the different period portfolio investment rate of return, finding the relationship between pension investment performance and combination operation length. After a simple Fa- ma performance attribution analysis, from the cross-sectional dimension analysis of the yield of investment management of 18 enterprise annuity investment managers in 2012, it illustrates the relationship between enterprise annuity investment performance and portfolio types and asset allocation. Finally, by the simpli- fied T--M model and H--M model, the paper analyzes the effects of the investment manager＇s timing abil- ity and ability to select securities on pension fund investment performance.