The pension insurance Fund Investment Performance in The Stock Market of China

The investment performance of pension insurance fund issues have caused widespread concern in social and academic circles. Considering that the social security fund has the largest scale in the pension insurance fund, the longest investment in the stock market and the most experienced experience, this paper selected a sample of the portfolio held by the Chinese National Council for Social Security Fund (CNCSSF) from 2004 to 2015. Used the Carhart four-factor model for assessing fund performance, we analyzed whether the CNCSSF invested in the stock market to obtain excess returns, and why CNCSSF received excess returns. Comparative analysis of the different benefits of direct investment and entrusted investment, we evaluated the fund styles of 16 fund management companies. This paper mainly had these research results: The overall return on the stock market of the CNCSSF is relatively low, and only 0.35% of the excess market return can be obtained, the entrusted investment yield is higher than direct investment, but only 40% of the entrusted investments received excess returns, and 60% of the entrusted investment fund companies did not show strong ability to invest in the stock market; some entrusted investment fund companies adopting more aggressive investment strategies, which had higher investment risks. We propose the CNCSSF should be carefully selected to entrust investment funds, establish a comprehensive evaluation mechanism and balance the safety and profitability, to prevent investment risks.