养老基金绿色投资的资产选择及投资组合分析

发布时间：2018-04-14 02:33

本文选题：养老基金 + 绿色投资　；参考：《西南财经大学》2014年硕士论文

【摘要】：当前全球气候问题凸显,能源安全问题突出,如果现在不采取行动来缓解气候能源的问题,那么未来的挑战将更加严峻。为解决能源危机和气候变化的双重威胁,需要建设大量新能源基础设施,这些需要巨大的资金支持。并且随着清洁能源技术成本的降低和政策支持的制定,未来的能源系统形态正在逐步构造中,但是,当前的投资需求极大,需要投资者基金参与绿色投资活动。绿色投资是指在低碳、气候应对方面的投资,包括再生能源、清洁能源、环境技术、气候变化应对以及相关可持续发展方面的投资项目和融资工具,有助于减少温室气体排放和空气污染。国外主要的养老基金机构,包括ATP(丹麦最大的养老基金)、PGGM(荷兰医疗行业)的养老基金,加州教师退休基金CalSTRS,加州公务员退休基金(加州公共部门资金)等,主导了养老基金参与绿色投资的趋势,其投资的主要类别包括可再生能源技术、可再生能源基础设施、清洁能源技术等。同时,各大养老基金协同其他投资机构一起,形成了各种相关组织,如气候变化机构投资者集团(IIGCC)、P8集团。这些组织通过开展对绿色投资的专项研究,来支持该领域投资的深入,增加同政府就相关政策谈判的筹码。我国社保基金通过项目投资和购买股票、投资产业基金的方式参与了绿色投资。全国社保基金所投资的中比基金,通过帮助风电企业金风科技上市,获得了超额收益。同时,社保基金通过A股市场参与绿色投资。2013年,全国社保基金投资了中国绿色低碳产业基金。该基金的主要投资标的是区域集中能源供应项目,在绿色低碳领域中具有成长性的高新技术企业,以及城市建设中优秀的绿色低碳项目。在未来的20年内,绿色投资规模需要放量增长,才能满足预期。而鉴于当前各国政府财政的状况,绿色经济的投资,需要更多的私人资本加入以填补投资资金缺口。全球养老基金的规模达28亿美元,占据全球机构投资者投资资金相当大的份额,而对于目前绿色投资缺口巨大的现状,养老基金由于其特殊的机构投资者身份,需要对绿色投资进行支持,并起到主导作用。除此之外,养老基金处于自身保值增值的要求,以及社会责任投资理念、法律法规监管的约束,需要主动参与绿色投资活动。当前绿色投资活动的主要形式大致可以分为债权型投资、股权型投资、以及债权股权结合型投资,即传统投资资产和另类资产实现绿色投资。而在融资载体上,主要分为资产项目融资,以及股权融资。绿色投资,按照投资内容分类,主要分为清洁能源生产、新能源技术,以及环境资源整合。绿色项目,特别是可持续能源和清洁技术项目,需要根据技术的发展阶段选择适当类型的融资。例如风险资本融资通常是适合未被测试和验证的技术,而项目融资适用于成熟的技术,例如风能和太阳能。项目也有不同的阶段——开发、建设和运营,不同时期需要对应不同的融资工具。项目初期,由于没有足够的资产和收益作为支撑,没有可预见的现金流作为还款能力的测算,不适用于债权类融资方式,而对于有前景的项目,投资者通常选择以股权方式入场。到了后期,当项目已实现收益,并且有稳定现金流来覆盖债务时,项目所有者不再以稀释股权的方式进行融资,而会采用发行债券的方法募集资金。股权型投资,主要包括投资于股票指数、共同基金,以及交易所基金。债权型投资中,养老基金以及其他机构投资者往往更加偏好于固定收益型债权,相较于浮动收益债权,固定收益债券能够提供稳定的收益回报,风险可控。除了长期参与能源及相关项目的资产融资,股市被认为是具有更好发展和更快速增长的绿色投资市场。事实上传统投资者已经通过股权投资于与环境主题相关的公用事业等公司的股票。并且,通过购买股份的方式,也使得那些不愿意进行直接投资的机构参与了绿色投资。绿色债券往往是由政府、银行、大型跨国公司作为发行主体的,其筹集资金用于绿色项目的建设。进行绿色投资的机构投资者通常选取的另类投资主要是绿色房地产基金和绿色基础设施基金。为考察绿色投资资产对投资组合是否有修缮功能,本文进行了实证研究,采取的是Markowitz投资组合理论和风险价值VaR模型。Markowitz理论模型是投资组合理论的经典和先河,通过对风险收益进行量化从而获得最优投资组合。而VaR模型在金融机构进行风险分析和风险管理是运用最广泛,能够对可能的风险进行量化判断。在实证过程中,通过对比分析,发现添加绿色投资资产(绿色型股票)能够修缮投资组合的投资风险收益,同时,优化后的投资组合的风险价值VaR也明显低于同等利率水平下的原有投资组合VaR。本文在实证中选取的绿色投资资产为股票型资产,该实证的结果可以表明,通过在政策允许的范围内适当增加绿色投资资产,能够达到优化投资组合的风险及收益的目的,并且,使得风险发生时资产组合的最大损失得以减少。因而,我国应重视发展绿色投资,推动养老基金积极参与。国内必须建立起核心的政策框架,来刺激和激励私人投资流入绿色投资领域,政府必须出台能在一段时期内明晰且稳定的相关促进绿色投资的政策,才能坚定机构投资者在绿色领域投资的信心。为了确保有效的金融工具能够正常运转,并能够向市场提供适当的风险调整机制,确保有足够的、大规模投资级别项目进入市场供养老基金进行投资,政府需要通过创新金融工具,引导私人部门和机构投资者为项目投资,或者是进行股权投资。同时,由于绿色基础设施具有一些理想的特征,由于它能够带来稳定的、与通货膨胀挂钩的收益率,同时其波动性低于传统资产类别,能够吸引长期机构投资者,政府选择从大力推动绿色基础设施入手,通过发行绿色债券,或是成立绿色基础设施投资基金,进行股权类的投资,引导资本流入绿色投资领域。最后,养老基金在做投资决策时,需要根据基金状况,考虑到未来长期的资产负债平衡以及满足偿付能力的要求。养老基金在进行了投资后,随着基金规模的增加,资产持有期在下降,此时,需要调整资产匹配。对于养老基金的自身监管措施,监管机构和行业组织可以进行指导,通过对养老基金进行常规视察来影响养老基金的决策行为,以保证养老基金投资对绿色投资项目的长效性和稳定性,例如考察投资经理是否是长期聘用,基金管理的成本安排、运营目标等。
[Abstract]:The current global climate problem highlights energy security . If no action is taken to mitigate the problem of climate energy , the challenges ahead will be more severe . To address the dual threat of energy crises and climate change , a large number of new energy infrastructure needs to be built , which require substantial financial support . As the cost of clean energy technologies is reduced and policy support is developed , future energy systems are in a step - by - step structure , but today ' s investment needs are enormous , requiring investor funds to participate in green investment activities .

Green investment refers to investments in low - carbon , climate - responsive areas , including renewable energy , clean energy , environmental technologies , climate change responses and related sustainable development investment projects and financing tools , helping to reduce greenhouse gas emissions and air pollution .

The major overseas pension fund institutions , including ATP ( the largest pension fund in Denmark ) , the pension fund of PGGM ( Dutch medical industry ) , CalSTRS of California Teachers ' Retirement Fund , California Public Service Retirement Fund ( California Public Sector Fund ) , have led the pension fund to participate in green investment . At the same time , the major categories of investment include renewable energy technology , renewable energy infrastructure , clean energy technology , etc . Meanwhile , major pension funds , together with other investment institutions , have formed various relevant organizations , such as the Climate Change Institutional Investor Group ( IIGCCs ) , P8 Group . These organizations support the in - depth investment in the field by carrying out special research on green investment , and increase the bargaining chip of government on relevant policy negotiations .

In 2013 , the National Social Security Fund invested in China ' s green low - carbon industrial fund . In 2013 , the National Social Security Fund invested in China ' s green low - carbon industrial fund . In 2013 , the National Social Security Fund invested in China ' s green low - carbon industrial fund . The main investment target of the fund is the regional concentrated energy supply project , a high - tech enterprise in the green low - carbon area , and the excellent green low - carbon project in urban construction .

In the next 20 years , the green investment scale needs to be increased in order to meet the expectations . In view of the current state of the government finances , green economy investment , more private capital is needed to fill the gap of investment funds . The global pension fund has a large share of investment funds and plays a leading role in the current green investment gap . In addition , the pension fund is in its own value - preserving value - added requirement , as well as the constraint of social responsibility investment concept and regulation of laws and regulations , and needs to be actively involved in the green investment activity .

The main form of the current green investment activity can be divided into debt type investment , equity type investment and creditor ' s equity joint type investment , that is , the traditional investment asset and the alternative asset realize the green investment , and on the financing carrier , mainly includes asset project financing and equity financing .

Green investment , according to the investment content classification , is mainly divided into clean energy production , new energy technology and environment resource integration . The green project , especially the sustainable energy and clean technology project , needs to select the appropriate type of financing according to the development stage of technology . For example , venture capital financing is usually suitable for immature technology , such as wind energy and solar energy .

Equity - based investments mainly include investments in stock indices , mutual funds , and exchange funds . In debt - based investments , pension funds and other institutional investors tend to prefer fixed - income claims , which are perceived as a green investment market with better development and faster growth . In addition to long - term participation in energy and related projects , the stock market is considered to be a green investment market with better development and faster growth . In fact , traditional investors have invested in green investments through equity investments in companies that are not willing to invest directly . Green bonds are often used by governments , banks , large multinational corporations as issuers , raising funds for the construction of green projects . Alternative investments usually selected by institutional investors for green investment are mostly green real estate funds and green infrastructure funds .

In this paper , we find out that adding green investment asset ( green stock ) can improve the investment risk benefit of portfolio . In this paper , we find that adding green investment asset ( green stock ) can improve the risk and benefit of portfolio .

At the same time , in order to ensure that the effective financial instruments can operate normally , the government needs to adopt innovative financial instruments to guide private sector and institutional investors to invest in the project , or to make equity investment . At the same time , the pension fund can attract long - term institutional investors through innovative financial instruments .

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F842.67;F832.51

【共引文献】