社保基金与商业保险资金A股投资组合配置特征与稳定性比较研究

发布时间：2018-05-07 07:10

本文选题：社保基金 + 商业保险资金　；参考：《广西大学》2017年硕士论文

【摘要】：社保基金和商业保险资金分别于2003年和2005年正式开始进行A股投资。近年来,随着社保基金和商业保险资金在A股市场的资金量不断增长,两者对于其他机构投资者和个人投资者的影响力也在不断加强,一举一动都备受市场瞩目。社保基金和商业保险资金在本质上同为险资,投资理念又多有相似之处,因此常常成为被同时提及的两类机构投资者。然而社保基金和商业保险资金在A股市场的具体资产配置又有何相似之处和不同呢?本文正是基于该问题对社保基金和商业保险资金的A股投资组合进行研究。本文选取社保基金和商业保险资金2005年中报至2016年三季报共46个报告期的季末持股数据分别对两者的配置特征和稳定性进行比较研究。其中配置特征包括行业、β系数和市盈率,稳定性分为持有期稳定性和重仓股稳定性。本文的比较研究是从社保基金和商业保险资金A股投资组合的整体情况展开的,旨在对两者的异同进行系统分析并据此获得关于两者应如何改进自身投资组合以使其符合各自投资理念的启发。本文主要由五章构成:第一章节为绪论,主要对本文的研究背景及意义、相关文献和研究成果、采取的研究方案及创新与不足进行了阐述;第二章节详细介绍了社保基金与商业保险资金在A股市场的投资概况,为后两章比较研究两者A股投资组合的配置特征及稳定性打下良好的基础;第三章节选取了行业、β系数和市盈率三个重要指标,意在从行业分布、风险态度和价值投资角度对两者的A股投资组合配置特征进行比较研究;第四章节则从持有期和重仓股方面,对社保基金和商业保险资金A股投资组合的稳定性进行分析;第五章节通过对第三、四章节的统计结果进行系统总结,得出社保基金与商业保险资金A股投资组合配置特征及稳定性的相似性和差异性的最终结论,分析结论产生的原因,并基于社保基金和商业保险资金的以上各项表现,提出有助于优化两者A股投资组合的相关建议。本文得出的主要结论如下:(1)行业配置特征方面,社保基金和商业保险资金的市值分配依据不同;社保基金会根据市场行情改变面临的行业风险,而商业保险资金缺乏与市场行情相关的行业风险意识;两者资金在行业间的配置都极为不均,但商业保险资金更甚;两者行业配置的市值金额比重均和其稳定性成反比,但社保基金各名次行业的市值比重稳定性均更强;两者存在共同偏好行业,但社保基金的配置范围更广;社保基金A股投资组合分布的行业个数在各期间波动更小;两者A股投资均呈行业分散化的趋势,但社保基金更理想;两者均不存在由盛转衰或后来居上的行业。(2)β系数配置特征方面,社保基金和商业保险资金对风险和收益的态度都比较保守,但商业保险资金更为保守;两者的组合β系数在各期内的波动程度都较小,但社保基金更稳定;两者期间持续稳定性均较差,但商业保险资金更差;社保基金的组合β系数比商业保险资金更接近市场组合;两者的组合β系数都没有明显的随市性。(3)市盈率配置特征方面,社保基金和商业保险资金都倾向于多配置市盈率低于行业平均水平的股票,但社保基金做得更好;两者基本均遵循市值重要性越低,越倾向于多配置高市盈率个股的规律。(4)持有期稳定性方面,社保基金和商业保险资金的持有期稳定性都一般,但社保基金相对更好;两者均基本遵循市值重要性越低,持有期稳定性越差的规律。(5)重仓股稳定性方面,社保基金和商业保险资金重仓股的非持续和持续稳定性均不强,但社保基金在非重点配置行业重仓股的非持续和持续稳定性更好,商业保险资金在重点配置行业重仓股的非持续和持续稳定性更好;商业保险资金在重点配置行业和非重点配置行业重仓股的非持续和持续稳定性都较社保基金好。
[Abstract]:The social security fund and the commercial insurance fund began to invest in A shares in 2003 and 2005 respectively. In recent years, with the increasing amount of funds in the A share market, the influence of the social security fund and the commercial insurance funds on the other institutional investors and individual investors is increasing, and the social security has attracted the attention of the market. Funds and commercial insurance funds are essentially the same as risks, and there are many similarities in the concept of investment, so they often become the two types of institutional investors mentioned at the same time. However, what are the similarities and differences between the social security fund and the commercial insurance funds in the A share market? In this paper, the A shares of the insurance funds are studied. In this paper, the distribution characteristics and stability of the 46 reporting periods of the social security fund and the commercial insurance fund in 2005 to the three quarterly report of 2016 are compared. The configuration features include industry, beta coefficient and P / E ratio, and the stability is divided into holding period. The comparative study of this paper is based on the overall situation of the social security fund and the A stock portfolio of commercial insurance funds. The purpose of this paper is to systematically analyze the similarities and differences between the two and to obtain the Enlightenment on how both of them should improve their own portfolio in order to conform to the concept of self investment. This paper is mainly made up of five chapters. The first chapter is the introduction, mainly on the background and significance of the research, the related literature and research results, the research scheme and the innovation and shortage. The second chapter introduces the investment situation of the social security fund and the commercial insurance fund in the A stock market in detail, and compares the configuration of the A share portfolio for the latter two chapters. The third chapter selects three important indexes of industry, beta coefficient and P / E ratio in the third chapter, which is to compare the characteristics of the portfolio allocation from the industry distribution, the risk attitude and the value investment, and the fourth chapter, from the holding period and the heavy stock share, to the social security fund and the commercial insurance fund. The stability of the gold A stock portfolio is analyzed. The fifth chapter, through a systematic summary of the statistical results of the third, fourth chapters, draws the final conclusions of the similarity and difference between the allocation characteristics of the social security fund and the A shares of commercial insurance funds and the stability of the portfolio, and analyzes the reasons for the conclusion, and is based on the social security fund and the commercial insurance. The above performance of the funds proposed to help optimize the A share portfolio. The main conclusions of this paper are as follows: (1) the distribution characteristics of the industry allocation, the market value distribution of the social security fund and the commercial insurance fund are different; the social security foundation will change the industry risk according to the market market, and the commercial insurance funds are lacking. The industry risk awareness related to the market market; the allocation of funds between the two industries is extremely uneven, but the commercial insurance funds are even more; the proportion of the value of the market value of the two industries is inversely proportional to its stability, but the market value of each industry in the social security fund is more stable; both have a common preference industry, but the social security fund The distribution of the A shares of the social security fund is less fluctuating in each period, and the A share of the two shares has a trend of industry decentralization, but the social security fund is more ideal; both do not exist in the industry. (2) the characteristics of the beta factor allocation, the social security fund and the commercial insurance funds are the risk and the risk. The attitude of the income is more conservative, but the commercial insurance funds are more conservative; the combination beta coefficient of the two is less fluctuating in each period, but the social security fund is more stable; the continuous stability of the two is worse, but the commercial insurance funds are worse; the combination of the social security fund is more close to the market combination than the commercial insurance funds; the two groups are more close to the market combination. (3) the distribution characteristics of the P / E ratio, the social security fund and the commercial insurance funds are inclined to the share of the multi allocation price earnings ratio lower than the industry average, but the social security fund is better. The lower the value of the market value, the lower the value of the market value, the more inclined to the law of the multi allocation of the high price earnings ratio. (4) the holding period. Stability, the stability of social security funds and commercial insurance funds is general, but the social security fund is relatively better; both basically follow the lower value of the market value, the worse the stability of the holding period. (5) the stability of the heavy stock shares, the non sustainable and sustained stability of the social security fund and the commercial insurance funds are not strong, but the stability of the stock is not strong, but the stability of the social security fund and the commercial insurance funds are not strong, but the stability of the stock is not strong, but the stability of the shares of the social security fund and the commercial insurance funds is not strong, but the stability of the stock is not strong, but the stability of the social security fund and the commercial insurance fund is not strong, but the stability of the stock is not strong. The non sustainable and sustained stability of the social security fund in the non key allocation industry is better. The non sustainable and sustained stability of the commercial insurance funds in the key allocation industry is better. The non sustainable and sustained stability of the commercial insurance funds in the key allocation and non key allocation sectors are better than the social security fund.

【学位授予单位】：广西大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F842.61;F832.51;F840.4

【参考文献】