主权财富基金投资特征的比较研究

发布时间：2018-02-27 13:15

本文关键词： 主权财富基金投资特征中国投资公司　出处：《暨南大学》2013年硕士论文　论文类型：学位论文

【摘要】：分析主权财富基金的投资特征是探究其投资运营管理的基础和前提。本文首先对全球主权财富基金的投资现状进行描述，包括其成立动因、运营模式、投资规模及投资分布。采用比较研究的方法，本文重点剖析新加坡政府投资公司、韩国投资公司以及挪威全球政府养老基金的投资特征：（1）搜集主权财富基金的投资分布数据，，发现这三家主权财富基金的投资都青睐于北美、欧洲等发达国家市场的金融、能源、资源等行业；（2）计算新加坡政府投资公司和韩国投资公司的投资组合与整个市场的风险溢价，发现投资组合的风险溢价与市场的风险溢价基本保持一致，说明其投资组合跟随市场的变化而变化；（3）通过回归分析观察挪威主权财富基金的系统性风险，得出贝塔系数小于1，说明其倾向于比较保守和谨慎的低风险投资策略；（4）将主权财富基金的组合投资收益率与MSCI-ACWI同期指数收益率进行比较，三只基金都具有稳定市场、降低风险的作用，但只有新加坡政府投资公司表现出“逆周期”的投资偏好。最后，剖析中国主权财富基金投资的现状，借鉴先进主权财富基金成功投资经验，中投公司应在合理分配投资地域及行业、组合投资多元化、提高基金透明度、加强风险管理和防范、完善绩效评价体系等方面更加完善。
[Abstract]:Analyzing the investment characteristics of sovereign wealth funds is the basis and premise of its investment and operation management. Firstly, this paper describes the present investment situation of the global sovereign wealth funds, including its founding motivation, operating mode, investment scale and investment distribution. By using the method of comparative study, this paper focuses on analyzing the investment characteristics of GIC, Korea Investment Corporation and Norway's global government pension fund, which collect data on the investment distribution of sovereign wealth funds. It is found that the investments of these three sovereign wealth funds are favored by the financial, energy, and resource industries in the markets of developed countries such as North America and Europe.) calculating the risk premium between the portfolios of GIC and Korean investment companies and the whole market, It is found that the risk premium of the investment portfolio is basically consistent with the risk premium of the market, indicating that the portfolio changes with the changes of the market. 3) the systematic risk of the Norwegian sovereign wealth fund is observed by regression analysis. The conclusion is that Beta coefficient is less than 1, which shows that it tends to be a conservative and prudent low-risk investment strategy. It compares the return of portfolio investment of sovereign wealth fund with that of MSCI-ACWI index in the same period. All three funds have stable market. The role of risk reduction, but only GIC showed a "counter-cyclical" investment preference. Finally, the paper analyzes the present situation of China's sovereign wealth fund investment, draws lessons from the successful investment experience of advanced sovereign wealth fund, and suggests that CIC should distribute the investment region and industry rationally, diversify the portfolio investment, and improve the transparency of the fund. Strengthen risk management and prevention, improve performance evaluation system and other aspects of more perfect.
【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

【参考文献】