Research On Investment Behavior Of National Social Security Foud In A-Share Stock Market

August 1,2000, the central government has decided to set up a " national social security fund". Since its inception, asset scale of national social security fund expanded from 20 billion yuan in the end of 2000 to 776.622 billion yuan in the end of 2010. In 2003, the social security fund was approved to invest in the stock market and the investment scale is constantly increasing. The influence on a-share market is also growing. Social security fund operates huge funds with lower risk bear ability, however, it made excellent investment performance- the average annual profit margins yield up to 26 percent. So national social security had become a market vane, regardless of institutional investors or individual investors are paying close attention to social security fund investment trends.So how could social security fund achieve such a glorious performance? What investment strategy dose it adopt, momentum trading strategy (MTS), or contrarian investment strategy (CIS)? How, dose security fund allocate its asset among so many industries? What are the features of the stocks it chooses? When the market changes, what changes of social security fund's investment behavior will happen? This paper adopts ITM model created by Grinblatt Tima and wermers, to study the investment strategy of social security fund; Analyses the features of industries and stocks the national security fund chooses, by Using the method of statistical analysis. This paper aims to answer the questions above, try to grasp the investment Philosophy of social security fund comprehensively and thoroughly, and provides the investors with investment proposal.This article found several interesting conclusions:social security fund adopts different operation strategies in different market phases-CIS in the second half of bull market and the second half of the bear market, MTS in the first half of bull market and the first half of the bear market; social security fund knows when to buy the undervalued stocks clearly- the average PE of Shenzhen stock market below 35, but social security fund has no clear standard to sell the overvalued stocks-when the average PE reach from 45 to 55; For industry allocation, social security fund invest defensive, dividends stable industry primarily, but at appropriate time social security fund also chooses srong cycle industy. So it can make a fatter profit by keeping its asset at a low level; social security fund buys lots of stocks with greater beta (beta>1) in the second half of the bear market and the first half of bull market, and sells the stocks with lower beta (beta<1). It buys lots of stocks with lower beta (beta<1) in the first half of the bear market and the second half of bull market, and sells the stocks with greater beta (beta>1); The trend of the average PE of stocks chosen by social security fund is rising.