An Empirical Study On Performance Evaluation Of National Social Security Fund Portfolios

With the global population aging, social security and social security fund now become one of the difficult and hot issues in scientific research. Its ultimate target is how to solve the population aging crisis with keeping value and increment of the social security funds. NSSF aims to be a solution to the problem of aging and serves as a strategic reserve fund accumulated by the central government to support future social security expenditures.Performance evaluation theory estimates actual operation result of portfolio and as one the most important application part. The fund performance measurement has both theoretical and practical concerns,it is the key issue of performance evaluation theory. China social security fund has just been established less than 5years, although there are some difficulties we have to face,such as few sample portfolios financial data available and short evaluation period. It is still necessary and meaningful to comprehensively and systematically analyze the China social security funds in its initial stage. This empirical study mainly employs the econometric approaches and quantitative analyze. The 3 main parts of the paper are as follows:Firstly, the paper measure the total performance of the NSSF stock portfolios,applying 5 various single factor indexes,the results illustrate that the portfolios performanve as a whole is better when compared to the benchmark index. And, the results indicate that the returns are more affected by the benchmark chosen.all in all,the Sharpe ratio and M2 measure are rather meaningful and practical apporoaches than the Treynor index and Jensen index. The return of portfolio is disobedient normally distribution and has obvious peak and fat tail, In empirical study Copula theory is applied to research the heavy-tail characteristic of the joint distribution of the Shanghai and Shenzhen stock market .and considering NSSF more concern downside risk, so put forward a modified sharpe index on the basis of VaR, Subsequently, its efficiency poved.Secondly,this section is about performance attribution analysis.focusing on the security selectivity and market timing of the portfolios with different models,especially using the predetermined variable of ownership percentage to measure the conditional model. The empirical study shows that the SSF stock portfolios as a whole do not exhibit excellent skills for forecasting the market trend,as the most results obtained both home and abroad, the evidence shows that the SSF stock portfolios have positive security selectivity coefficient and negative market timing coefficient, althouth both not significant by the large.and ,the results showsthat the conditional model is preferable than the unconditional model, but the divergence between the conditional model and the total-conditional model is not that distinctly.Finally,the study investigates the performance persistence .there is no legible evidence support the obvious persistence of the SSF stock portfolios,but the study shows that the sample has certain persistence in the medium term(6,9,12months),in the short term and long term ,the study presents reversion.