Title :
The performance evaluation and empirical analysis of China Social Security Fund portfolio
Author_Institution :
Sch. of Manage. Studies, Shanghai Univ. of Eng. Sci., Shanghai, China
Abstract :
For examining whether the China Social Security Fund has made beyond the basic market and created value for the investors, this paper selects the seven combinations with holding a larger absolute number to 17 types of social security fund portfolio, and explains the whole performances, such as Shape´s measure, Treynor´s measure and Jensen´s measure in 2009 year. Besides, the capabilities of the fund´s stock selection and market-timing are also been studied for seven main funds. It is concluded that the social security fund portfolio is better than the basic market. Although some combination of stock selection ability is outstanding performance, all the funds did not show strong timing ability.
Keywords :
investment; stock markets; China social security fund portfolio; empirical analysis; funds stock selection; market-timing; performance evaluation; Computer languages; Materials requirements planning; Performance evaluation; Strontium; Timing; Performance evaluation; Portfolio theory; Risk adjustment; Social security fund;
Conference_Titel :
Circuits,Communications and System (PACCS), 2010 Second Pacific-Asia Conference on
Conference_Location :
Beijing
Print_ISBN :
978-1-4244-7969-6
DOI :
10.1109/PACCS.2010.5626895