交易策略能提高社保基金投资绩效吗?  

Can Trading Strategies Improve the Investment Performance of Social Security Fund?

作　　者：唐大鹏[1,2,3] 吴佳美 Tang Dapeng;Wu Jiamei(School of Accounting,Dongbei University of Finance and Economics,Dalian 116025,China;China Internal Control Research Center,Dongbei University of Finance and Economics,Dalian 116025,China;Postdoctoral Research Station,Chinese Academy of Fiscal Sciences,Beijing 100142,China;School of Economics and Management,Southeast University,Nanjing 211189,China)

机构地区：[1]东北财经大学会计学院,辽宁大连116025 [2]东北财经大学中国内部控制研究中心,辽宁大连116025 [3]财政部中国财政科学研究院博士后流动站,北京100142 [4]东南大学经济管理学院,江苏南京211189

出　　处：《财经研究》2020年第12期64-78,共15页Journal of Finance and Economics

基　　金：国家自然科学基金青年项目(71602022);国家自然科学基金面上项目(71672034,71872040);国家社会科学基金一般项目(18BG1062);国家社会科学基金重大项目(19ZDA097)。

摘　　要：十八届三中全会提出推进社保基金市场化、多元化运营,这对基金投资绩效提出了更高要求。而现有研究尚未从多元化的差异投资模式视角来分析市场化投资交易策略对社保基金投资绩效的影响。文章采用2003−2018年社保基金持股季度数据,区分政策导向下社保基金会直接投资和效率导向下市场机构承担的委托投资两种投资模式,深入探讨了交易策略对社保基金投资绩效的影响。研究发现:从总体表现看,惯性策略降低了投资绩效,反转策略则提高了投资绩效,即“随波逐流”降低收益,“逆势而动”提高收益;在直接投资模式下,仅表现出反转策略的绩效提升作用,但在下跌行情中因市场发现能力不足而不再明显;在委托投资模式下,无论在何种行情下,影响效应均与总体表现一致。可见,社保基金会更加倾向于遵循国家政策,惯性策略未带来损失,反转策略则能带来收益,表现较为稳健;而市场机构则更加倾向于与市场判断和行情走势一致,在获得反转策略收益的同时,也承担着惯性策略的损失。进一步区分短期交易绩效和长期持有绩效后的检验同样证明了上述判断。文章的研究丰富了交易策略影响投资绩效的理论成果,并为规范多元化投资模式下交易策略进而提升社保基金投资绩效提供了经验借鉴。Under the great pressure of social security payments caused by the arrival of a low fertility trap and the aging era,the performance goal of Social Security Fund(SSF)investment to achieve value-maintaining and value-increasing has become an important issue in both theoretical and practical circles.However,researches on the influence factors of investment performance have not received widespread attention.At the same time,trading strategies have an important impact on investment performance.In the face of accusations,it is necessary to conduct an in-depth research from the perspective of trading strategies’effects on investment performance,and give fair evaluation to different strategies according to research conclusions.But the special discussion on the investment strategies of SSF is obviously insufficient,and the study of their economic consequences is even rarer.Therefore,it is necessary and feasible to study the impact of trading strategies of SSF on investment performance.This paper takes SSF as the research object,and studies the impact of trading strategies on investment performance under different circumstances.The empirical results show that,in general,the momentum strategy reduces investment performance,and the contrarian strategy improves investment performance.Considering the influence of the heterogeneous fund manager’s institutional attribute and investment orientation under the direct and entrusted investment mode,it is found that the inhibition effect of the momentum strategy under the entrusted investment mode is significant regardless of whether or not the market is differentiated,while this inhibition effect does not exist under the direct investment mode;and the improvement effect of contrarian strategy under the entrusted investment mode has always been significant,but this improvement effect does not show in the falling market under the direct investment mode.The above conclusions have not changed after using many robustness test methods.Further analyzing short-term trading performance a

关 键 词：交易策略 惯性策略 反转策略 社保基金 投资绩效 

分 类 号：F832[经济管理—金融学]