| In order to understand the portfolio risk reasonably and reveal the potential risk of the investment stock of the fund,this paper uses the Copula function to describe the dependence relationship between the stock returns and overcome the inadequacy of the Pearson correlation coefficient which can not describe the tail nonlinear dependence.It calculates the risk value of the pension fund portfolio and provides a theoretical basis for quantitative and robust investment.Ensuring the maintenance and appreciation of pension funds is of great significance to the national economy and the people's livelihood.Fund investment and non-investment all have risks,no investment has a devaluation risk,and investment has a risk of loss.No investment can not reach the purpose of hedging,and investment may bring benefits but with great risks.With the rapid development of China's securities market,the size of investment funds is also growing,and the capital market is maturing.In recent years,China's pension funds have been allowed to invest in the securities market in different ways.As we all know,the securities market is a high-risk market.The success or failure of the pension fund investment market directly affects the national economy and the people's livelihood.Therefore,collecting pension fund stock investment data directly from the stock market and analyzing the income and risk of the investment portfolio are of great significance to ensure the maintenance and appreciation of pension funds.This article focuses on the income and risk of ten stocks and their portfolios of top ten stocks held by China Life Pension(168001)in the fourth quarter of 2017.(1)Analysis of pension investment income.Collecting stock trading data from Guohai Securities Great Wisdom Stock Trading Software,taking China Life Pension(168001)as an example,analyzes the income of the top ten stocks in which the fund holds heavy positions in the fourth quarter of 2017.Statistical analysis of the daily returns of the ten stocks,we can calculate the logarithmic returns,compare the stock price movements.Standardize the stock price,give a chart of each stock's holding period of one year,and statistically analyze the life pension funds' Return situation.(2)Analysis of stock tail-dependency.The distribution pattern of stock returns is spike-tailed.The mutual relationship between stocks,like ups and downs,is usually not a linear relationship.The classic Pearson correlation coefficient cannot describe the relationship between stocks.The Copula function can describe the dependence of the tail of the stock distribution,use Copula function to do the tail correlation analysis of heavy stocks,build the Copula function between stocks,calculate the tail correlation coefficient between different stocks,and hold the top ten shares of China Life Pension Fund Stocks do tail statistical analysis.(3)Combined risk analysis.A dynamic risk analysis is performed on the combination of several stocks of China Life Pensions.The stock returns usually have heteroskedasticity.GARCH model is used to describe the process of heteroskedasticity,and the daily risk value Va R of stocks and their portfolios is estimated,and stocks and their combinations are statistically analyzed.The risk process reveals the risk profile of China Life Pension Fund.In this paper,we find that the Copula function can describe the dependence of the return on the stock return well,and overcome the lack of the Pearson correlation coefficient to underestimate the risk value;the two grade city of the national life pension fund is successful,and has achieved good returns and lower risk.(1)By standardizing the stock price,giving stock charts and statistical feature tables,and comparing the movements of the Shanghai Composite Index,we find that the stocks invested by China Life Pension Funds are stronger than the Shanghai Composite Index and the yield is much higher than that of the Shanghai Composite Index's earnings.However,its investment risk can not be ignored.There are three stocks that have been suspended from trading for the top ten stocks for several months.After the suspension of trading,the resumption may rise or may fall.However,it is a risk when suspension during the suspension will directly affect the liquidity of the fund.Therefore,China Life Pension Fund should examine listed companies' development financial statements,market development potentials,major shareholder backgrounds,and concepts in a comprehensive,multi-perspective and dynamic manner when selecting investment stocks.(2)By constructing the Copula function between stocks and analyzing the tails of stocks,we find that the top ten stocks of China Life Pension Fund have strong tail-dependency;By comparing the tail dependence and the Pearson correlation coefficient to find the tail dependence coefficient to more accurately characterize the stock dependencies,the Pearson correlation coefficient underestimates this relationship.(3)By using the GARCH model to describe the process of heteroscedasticity of returns,and giving the daily risk value Va R of stocks and their combinations,and doing statistical analysis,we found that the combination of several long-short stocks of China Life Pension Investment has lower risks and better returns.Finally,we recommend that China Life Pension Fund should also comprehensively,comprehensively,and timely track the status of listed companies investing in stocks,and timely adjust investment strategies to avoid risks and obtain higher returns. |
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