摘要
按照国际上通用的老龄社会的划分标准,我国早在2004年就步入了老龄社会。然而,我国人均GDP目前尚不足3500美元,而发达国家都在人均1万美元以上,这种“未富先老”的局面,增加了养老保险和医疗保险的支付压力,扩大了地方社保基金的缺口。预计我国社保基金缺口将在2035年左右达到高峰,每年大约会产生近1000亿元人民币的“赤字”。在这种紧迫的形势下,社保基金合理、高效的投资和管理就显得尤为重要。
本文以社保基金的资产配置为主要研究对象,在国内外社保基金及资产配置理论、经济周期理论等相关领域研究成果的基础上,简要介绍并分析了社保基金与金融市场各部分,即货币市场、股票市场、债券市场、风险投资和商品期货市场之间的紧密关系;随后,依据通货膨胀率和经济增长率的变化方向,将经济周期划分成四个阶段,并构建了2010年上半年和下半年的经济周期预测概念模型,同时,通过对社保经济与商品期货市场关系的理论和实证分析,创新性的将商品期货作为社保基金投资的可选资产类别。最后,应用Black-Litterman模型框架和预测结论,分别构建了2010年上半年和下半年我国社保基金资产配置模型。
According to the classfication standard widely used in the world, China has become an aged society in 2004. Nevertheless, GDP per capita of China is still less than 3,500 U.S. dollar, compared to more than 10,000 in developed countries. This embarrassed situation strengthen the pressure for pension fund and medical insurance payment, expand the gap of regional social security fund. It was estimated that by 2035, the gap of social security fund will reach its peak, with a deficit of 100 billion RMB yearly. In this urgent situation, an reasonable and efficient investment and management of social security fund is crucial.
Based on research methodology, literature on investment of social security fund could be divided into two parts: qualitative and quantitative methodologies. When it comes to qualitative methodologies, in the field of research on history of social security fund, operation and management, relationship between social security fund and finance market, there are countless achievements; in terms of quantitative methodologies, abroad there are quite a few models built on historical data. Based on timeline, the paper can be further divided into three parts, past, present and future. Most of literature focus on past and now, instead of future. As social security fund is operated in a global financial environment, in view of the development of financial market in our country, there are still a lot of progress we need to bring on in legal and regulations, monitory system, etc. It is crucial for a construction of dynamic social security fund model based on a sound and reasonal judgement and forecast on economic situation, timely adjust asset allocation. What’s more, social security fund is relative new in China, and it is still evolving and developing. Therefore, the ability of looking into future and estimation based on rational analysis and estimation could be more practical.
Research objective of this dissertation is asset allocation of social security fund, based on social security fund and asset allocation theory, introduce and analyse the relationship between social security fund and currency market, stock market, debt market, commodity and prive equity. Depended on inflation and economic growth, the economic cycle is further broke down to four stages. Economic cycle forecast model conception model for 2010 and 2011. Meanwhile, a empirical study is conducted to examine the feasibillity of including commodity as an asset class for social security fund. In the end, by applying Black-Litterman model and economic cylce forecast conclusion, this paper builds 2010 and 2011 asset allocation model for social security fund.
1. Social Security Fund’s Past and Present.
1) History of Social Security Fund in China After the establishment of P.R.China, the development of social security fund can be broke down to three stages: from 1949 to 1978, a focus on labour insurance, which form the foundation of our social security fund; from 1979 to 2002, focus on social security, and from 200 to 2009, focus on bringing city and rural area together.
2) Operaion and Management of Social Security Fund Concept model for Operaion and Management of Social Security Fund
3) Financial Market and Social Security Fund
In line with IMF and OECD, financial market is composed of international credit market, international debt market, international derivatives market, international stock market, international currency market and international gold market. China financial market is consist of capital market, currency market, gold market and derivative market. Investment of social security fund improves investor structure in the capital market, boost financial innovation, improve operation mechnism of financial market and stablize the development of financial market.
Financial market provides platform for investment of social security fund. In the financial market, social security fund needs to make proper change based on economic situation, to achieve a taget rate of return. Firstly, a mature financial market provides a better investment environment; secondly, financial market does provide various investment channel by which could reduce non-systematic risk, and maintain a high and stable return rate if an effective portfolio is constructed. Thirdly, social security fund makes deep social sense by investing on behalf of people, in this way, wealth created by the people can be shared by them indirectly.
4) Investment Risk and Return of Social Security Fund
Conclude the characteristics of financial risk: extensive, destructive, continuous, regular and international. Investment risk of social security fund is consist of external risk and internal risk. External risk is composed of market risk, which could be further divided into interest rate risk, exchange rate risk, fluctuation risk, credit risk, inflation risk, political risk and legal risk. Internal risk is consist of operation risk, which is broke down to human risk, entrusted risk, and information management system risk, and liquidity risk. When it comes to investment return, the average geometric return of social security fund is 8.91% from 2001 to 2009, compared with 2.01% of inflation.
2. Economic Cycle and Asset Allocation of Social Security Fund
1)Economic Cycle and Asset Allocation
The return rate of an asset influences different economic development phase. Various economic stage leads to various asset performances. According to empirical abroad, stock performs best during the economy recovery period and performs worst during recession period. During the stagflation period, when inflation goes up and economy goes down, the best performing asset class is currency. When economy goes down and inflation goes down, which is denoted as recession period, bond outperforms. When inflation peaks up again, commodity becomes a better choice.
2) Stages of Economic Cycle
This paper refers to methodology employed by global asset allocation department of Merrill Lynch, using CPI as the indicator for inflation, and output gap as indicator for economic growth to divide economic cycle into four stages: recession, recovery, overheat and stagflation.
There are four factors in a monthly or quarter time series: trend factor, cycle factor, seasonal factor and irregular factor. The fluctuation of economic time series is very obvious, hence, it could cover or confuse other pattern invovled, which will bring difficulty and trouble to economic and macroeconomic analysis. Therefore, a seasonal adjustment must be conducted before economic growth analysis. This paper utilize H-P filter method to comput e potential output and X-12 seasonal adjustment method by Bureau of Census,Department of Commerce for seasonal adjustment.
3) Asset Allocation of China Social Security Fund
This paper expands the investment philosophy of National Cousnsil for Social Security Fund, and introduces current investment channel of social security fund as well as asset allocation restraints, analyse the reason for choosing Quantitative Asset Restrictions method, investigate the trend for asset allocation of social security fund.
4) Commodity and Social Security Fund
This chapter starts with an introduction of commodity and its classification, origin of commodity trading, and three commodity exchange in China: Shanghai Furture Exchange, Dalian Commodity Exchange and Zhengzhou Commodity Exchange.
Followed up is a brief introduction and analysis of abroad commodity index: CRB Index, Goldman Saches Commodity Index, Rogers International Commodity Index, Standard Poors Commodity Index, and Deutsche Bank Liquidity Commodity Index. After that, current Commodity Index in China are introduced as well.
Combined with evidence of commodity demand from 1970 to 2008, as well as China and U.S.’s contribution to commodity growth, this paper comes out with the conclusion that China is the main factor supporting the surge of commodity price, especially in cotton, copper, aluminum and zinc, with contrast to a decrease of demand from U.S. side. Because we are the only the processor of commodity, withour big bargin power or pricing power, we have to accept the pricing of commodity. An empirical study is followed for the feasibility and essentiality to include commodity as an asset class for social security fund
3. Black-Litterman Model
1) Black-Litterman Model and Framework
CAPM equilibrium market is the start point for Black-Litterman Model to estimate asset returns with combination of investor views, using Reverse Optimization Method.
2) Drawbacks of Markowitz Model.
First of all, it is difficult to estimate expected return, besides, the expected return rate is very sensitive to the sample; secondly, portfolio weight is very sensitive to estimation of retrun rate; thirdly, unreasonable allocation will be given for different views; fourth, without restraints of short-selling, the model will short-sell some assets; while there are restraints for short-selling, some assets weight is set to zero and the weight for asset with smaller market cap can be large.
3) Characteristics of Black-Litterman Model
First of all, Black-Litterman Model reduces the sensitivity of input; secondly, it introduce investor view into the model; thirdly, it is a practical model.
4. Asset Allocation Model of China Social Security Fund Based on Economic Cycle
1) Classification of Economic Cycle
This paper uses X-12 method to adjust aggregate GDP. Output gap for 1992 to 2009 is computed and economic cycle is classified. Furthermore, lining up with economic policy and internation economic situation, this paper investigate the logic and characteristics behind China economic cycle: reverse, separated & short and a domination of overheat and recession.
2) Prediction of Economic Cycle
This part incorporates quantitative and qualitative method together to build a concept model for economic cycle predication. The start point for qualitative analysis is experts selection. Criteria for selecting experts are independency, professionality and practicality.
The core of quantitative analysis is to pick a authoritative, professional and balanceable indicator. Eventually, CEMAC-Goldman Sachs Coincidence Indicator and the CEMAC-Goldman Sachs Leading Indicator are selected.
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