K集团企业年金管理及资产配置绩效研究

发布时间：2018-06-25 11:01

本文选题：企业年金 + 信托模式　；参考：《哈尔滨工业大学》2014年硕士论文

【摘要】：企业年金既是我国多层次养老保障体系的重要组成部分，也是企业经营策略和人力资源管理的重要手段，是企业激励分配制度的有机构成。由于企业年金信托管理模式有多种优势，我国企业年金多数采用该种管理模式。随着企业和员工缴存额的不断积累，，年金计划的资产规模不断扩大，年金资产增值保值的难度在增加。国外实证结果表明，资产配置对养老金收益率波动的贡献超过90%，而择股对收益率的贡献度非常低，所以资产配置能力的高低就决定了年金资产的长期收益率水平。本文以K集团公司建立企业年金为主线，通过对管理模式和外部机构的优化选择，构建了年金管理总体框架。以运营以来的具体大类资产配置策略和已实际运作年金计划中7家投管人的每周收益变化数据为样本，采用Sharpe指数对不同投资组合、不同资产配置比例下的风险—收益比进行了比较，采用单期Brinson投资业绩归因模型对影响业绩的资产配置贡献、个券/个股选择贡献和交互作用贡献进行分解和实证分析、比较，并对K集团年金资产配置提出优化建议。研究结果表明，7家投管人在银行存款占比较高时，Sharpe指数较高，反之Sharpe指数也比较低。单期Brinson模型的实证结果表明投管人的资产配置能力都有待提高，对于个券/个股的选择依赖度较高，增加了年金投资收益率的波动性。因此在资产管理规模不断增加时，年金投资的资产配置最好采取以银行存款为主，债券和股票为辅，这一方面能有效避免债市和股市波动对投资业绩的冲击，另一方面可以享受利率中枢上移带来的稳定超额收益。当然，由于样本区间处于我国经济转型和产业升级期，利率市场化带来了利率水平的剧烈波动，所得结论会有一定的局限性。
[Abstract]:Enterprise annuity is not only an important part of our country's multi-level old-age security system, but also an important means of enterprise management strategy and human resource management. It is an organic component of enterprise incentive and distribution system. Because the trust management mode of enterprise annuity has many advantages, most enterprises annuity in our country adopt this kind of management mode. With the accumulation of enterprises and employees' contributions, the scale of annuity plan assets is expanding, and the difficulty of increasing the value of annuity assets is increasing. The empirical results abroad show that asset allocation contributes more than 90% to the fluctuation of pension return, but the contribution of stock selection to the rate of return is very low, so the ability of asset allocation determines the level of long-term return of annuity assets. This paper takes the establishment of enterprise annuity in K Group Company as the main line and constructs the general framework of annuity management through the optimization of management mode and external organization. Based on the specific asset allocation strategy and the weekly income change data of 7 managers in the operational annuity plan since operation, Sharpe index is used to analyze different investment portfolios. The risk-return ratio under different asset allocation ratios is compared. The single-period Brinson investment performance attribution model is used to decompose and analyze the contribution of asset allocation, the contribution of individual stock selection and the contribution of interaction. And put forward optimization suggestion to K group annuity asset allocation. The results show that the Sharpe index is higher and the Sharpe index is lower when the bank deposit is high. The empirical results of single period Brinson model show that the investment managers' asset allocation ability needs to be improved, and the choice of individual stock is highly dependent, which increases the volatility of annuity investment return. Therefore, when the scale of asset management is increasing, the asset allocation of annuity investment should be based on bank deposits, supplemented by bonds and stocks. On the one hand, it can effectively avoid the impact of bond market and stock market fluctuations on investment performance. On the other hand, we can enjoy the steady excess return brought by the shift of interest center. Of course, because the sample interval is in the period of economic transformation and industrial upgrading in our country, the interest rate marketization brings the sharp fluctuation of the interest rate level, so the conclusion will have some limitations.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F426.48;F842.61

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