本文關(guān)鍵詞： 主權(quán)財(cái)富基金 投資特征 中國(guó)投資公司　出處：《暨南大學(xué)》2013年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：分析主權(quán)財(cái)富基金的投資特征是探究其投資運(yùn)營(yíng)管理的基礎(chǔ)和前提。本文首先對(duì)全球主權(quán)財(cái)富基金的投資現(xiàn)狀進(jìn)行描述，包括其成立動(dòng)因、運(yùn)營(yíng)模式、投資規(guī)模及投資分布。 采用比較研究的方法，本文重點(diǎn)剖析新加坡政府投資公司、韓國(guó)投資公司以及挪威全球政府養(yǎng)老基金的投資特征：（1）搜集主權(quán)財(cái)富基金的投資分布數(shù)據(jù)，，發(fā)現(xiàn)這三家主權(quán)財(cái)富基金的投資都青睞于北美、歐洲等發(fā)達(dá)國(guó)家市場(chǎng)的金融、能源、資源等行業(yè)；（2）計(jì)算新加坡政府投資公司和韓國(guó)投資公司的投資組合與整個(gè)市場(chǎng)的風(fēng)險(xiǎn)溢價(jià)，發(fā)現(xiàn)投資組合的風(fēng)險(xiǎn)溢價(jià)與市場(chǎng)的風(fēng)險(xiǎn)溢價(jià)基本保持一致，說(shuō)明其投資組合跟隨市場(chǎng)的變化而變化；（3）通過(guò)回歸分析觀察挪威主權(quán)財(cái)富基金的系統(tǒng)性風(fēng)險(xiǎn)，得出貝塔系數(shù)小于1，說(shuō)明其傾向于比較保守和謹(jǐn)慎的低風(fēng)險(xiǎn)投資策略；（4）將主權(quán)財(cái)富基金的組合投資收益率與MSCI-ACWI同期指數(shù)收益率進(jìn)行比較，三只基金都具有穩(wěn)定市場(chǎng)、降低風(fēng)險(xiǎn)的作用，但只有新加坡政府投資公司表現(xiàn)出“逆周期”的投資偏好。 最后，剖析中國(guó)主權(quán)財(cái)富基金投資的現(xiàn)狀，借鑒先進(jìn)主權(quán)財(cái)富基金成功投資經(jīng)驗(yàn)，中投公司應(yīng)在合理分配投資地域及行業(yè)、組合投資多元化、提高基金透明度、加強(qiáng)風(fēng)險(xiǎn)管理和防范、完善績(jī)效評(píng)價(jià)體系等方面更加完善。
[Abstract]:Analyzing the investment characteristics of sovereign wealth funds is the basis and premise of its investment and operation management. Firstly, this paper describes the present investment situation of the global sovereign wealth funds, including its founding motivation, operating mode, investment scale and investment distribution. By using the method of comparative study, this paper focuses on analyzing the investment characteristics of GIC, Korea Investment Corporation and Norway's global government pension fund, which collect data on the investment distribution of sovereign wealth funds. It is found that the investments of these three sovereign wealth funds are favored by the financial, energy, and resource industries in the markets of developed countries such as North America and Europe.) calculating the risk premium between the portfolios of GIC and Korean investment companies and the whole market, It is found that the risk premium of the investment portfolio is basically consistent with the risk premium of the market, indicating that the portfolio changes with the changes of the market. 3) the systematic risk of the Norwegian sovereign wealth fund is observed by regression analysis. The conclusion is that Beta coefficient is less than 1, which shows that it tends to be a conservative and prudent low-risk investment strategy. It compares the return of portfolio investment of sovereign wealth fund with that of MSCI-ACWI index in the same period. All three funds have stable market. The role of risk reduction, but only GIC showed a "counter-cyclical" investment preference. Finally, the paper analyzes the present situation of China's sovereign wealth fund investment, draws lessons from the successful investment experience of advanced sovereign wealth fund, and suggests that CIC should distribute the investment region and industry rationally, diversify the portfolio investment, and improve the transparency of the fund. Strengthen risk management and prevention, improve performance evaluation system and other aspects of more perfect.
【學(xué)位授予單位】：暨南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F832.51

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