【作者】 刘杰；

【导师】 陈雁云；

【作者基本信息】 江西财经大学 ， 区域经济学， 2012， 硕士

【摘要】 自从我国2000年成立全国社保基金以来,已经过去了11年。这期间我国社保基金从成立之初的200亿元迅速壮大到2011年底的8689亿元,实现了社保基金投资的稳定和高效增长。年度最高投资收益率达43.19%(2007年),最低收益率为-6.79%(2008年),年均达到8.41%,比同期通货膨胀率高6个百分点。在总体水平保持较高增长的同时,投资收益比例不高,投资收益的稳定性有所缺乏。所以如何在现有投资技术上优化投资组合,避免出现亏损,尤其是重大亏损,这是本文要研究的重点。本文第一部分主要说明选题背景和意义,文献综述及思路,采用方法,第二部分解释了社保基金概念,风险,权益类投资,股权投资和投资组合理论。第三部分从我国社保基金投资现状出发,进行了收益和风险分析,探讨了过去投资模式的缺点,认真分析了现在投资取得的成绩和发现的问题。同时提出了一些防范风险的建议。第四部分研究了国外社保基金投资的模式,归纳出集中管理模式,松散管理模式和适度管理模式,分别以新加坡和马来西亚,智利和美国为例总结了他们取得的成绩和经验。最后总结了国外成功和失败的教训,提出防止社会投资的错误倾向。第五部分在综合研究国内和国外社保基金投资的基础上,提出增加权益类投资比例,加快扩大股权投资的范围,加大实业投资力度,增加指数投资,同时净化中国资本市场,建立健全成熟的资本市场,让社保基金可以在投资市场取得良好的长期收益。第六章是总结,提出我国的长期社保投资之路,还要不断摸索投资模式,以逐渐完善。更多还原

【Abstract】 It has been11years since social security fund was found in2000.In the end of2011the amount has been accumulated to868.9billion RMB from earliest20billion RMB. Among the fund492billion RMB is from fiscal transfer and the investment return is284.7billion. According to Wang Zhongmin, Vice Director of National Social Security Fund, there is a need more than2000Billion RMB for social security fund scale. Now it is only868.9billion RMB.We can look at it from investment structure and investment profit. Until the end of2011there is50.66%of total assets on fixed return investment,32.39%on stock,16.31%on industrial area and0.64%on cash and other equivalent It proves that the fund is managed very well and gets a high profit. In2007the annual investment profit rate reached highest:43.19%, the opposition happened in2008with-6.79%. The average annual profit rate is8.41%, which is higher with6percent compared with average inflation rate at the same time. We can draw a conclusion that management vehicle operate the fund very well. Of course we also know that in2008the profit rate reached lowest:-6.79%and inflation rate reach highest:5.9%. So we must pay attention to the stability of fund when financial disaster happened. How can we avoid loss on investment, especially vast loss? Here I will launch some of ideas about optimal portfolio to secure the fund.Firstly I will describe background and meaning for topic, document depiction and research method, In the second part I will define social security fund, risk, equity investment, PE investment and investment portfolio. From third part we will focus on present status of social security fund and look back into past investment record to know the whole picture of its returns; also analyze the reason for its returns. In the fourth part we introduce some investment model of foreign countries, analyze why they can succeed or fail. After sum-up of domestic and foreign investment practice we suggest add equity investment percentage and widen PE investment scope, try some ETF investment, also we must pay attention to china capital market and make it clear and fair. We must prevent ETIs risk in practice. The sixth part is summary and we must set up a long-term investment scheme to perfect。Here I will begin with problem of fund investment and summarize achievement and shortage for the investment recently. Then I will propose more investment on stock and quickly add investment on Equity fund to change investment portfolio. Through above approaches we can get more profits from investment. Also we must pay attention to risk on investment. I will emphasize some risk. In the end I will introduce some success model and lessons from foreign countries social security fund investment, especially ETIs.更多还原