The Influence Of Transparency And Strategic Asset Allocation To Returns Of Sovereign Pension Fund

Currently the vast majority of countries are actively pushing forward the pension investment in order to ensure future payment ability.Serving as a long-term institutional investor,Sovereign pension fund,with a large number of capital has a pivotal position in the market.The ageing problems as well as pension system defects contribute to the urgency of establishment of Sovereign pension fund.Meanwhile,the huge foreign exchange reserves provide the theoretical support.It is very important to research on how to ensure and improve the CSSF profit from Sovereign pesion fund.In this paper,the factors affecting the investment income are quantitative for transparency and asset allocation.This article first embarking from the principal-agent theory,analyzed three participants which is the principal,the agent and the recipient countries regulators referring to the content of information disclosure,the system cost and investment benefit game relation in the sovereign pension funds in the process of market-oriented operation.When transparency is low,the ascension of information disclosure level can save the cost,to a certain extent,and solve the problem of the information asymmetry in the principal-agent relationship.However,improving transparency would increase the investment risk of Sovereign pension fund in the operation of market,a negative impact on investment income,which establish relevant assumptions and theoretical analysis of this article.Through 23 sample the sovereign pension funds between 2008 and 2011,which examine whether the asset scale,emerging market investment proportion,the proportion of bond investments,transparency and macro environment of virtual variables have impact on the investment income in empirical research to verify the theory hypothesis 1.Empirical results have practical significance.which is improving the level of disclosure of information reduces the costs of running system,and solves the principal-agent problems,but a higher level of transparency makes the fund exposed to risk the possibility of larger,in the end adverse to the return on investment.And logical model also received the following two results: the sovereign pension funds as a long-term institutional investor,has more probability of high returns than the general investors;no significant linear relationship between Single asset allocation and investment returns.In order to verify the hypothesis 2 and 3,use nonlinear programming equation drawing lessons from foreign sovereign pension fund assets benchmark portfolio set,which conclude optimal solution comparing to general solution,to verify the hypothesis 2 and 3.This article Concluded that the sovereign pension funds aiming to future pension payment in the aging peak should juggle information disclosure and investment returns in the process of marketization operation.What is learnt from Sovereign pension fund? For Social Security Fund it is a question how to choose a reasonable level of transparency for information disclosure and asset allocation portfolio for moderating and dispersing investment risk,which become the key for Chinese Social security fund fund to lrealize the value.Finally the article puts forward corresponding Suggestions on the key issues.