本文選題：企業(yè)年金 + 信托模式　； 參考：《哈爾濱工業(yè)大學(xué)》2014年碩士論文

【摘要】：企業(yè)年金既是我國多層次養(yǎng)老保障體系的重要組成部分，也是企業(yè)經(jīng)營策略和人力資源管理的重要手段，是企業(yè)激勵分配制度的有機(jī)構(gòu)成。由于企業(yè)年金信托管理模式有多種優(yōu)勢，我國企業(yè)年金多數(shù)采用該種管理模式。隨著企業(yè)和員工繳存額的不斷積累，，年金計劃的資產(chǎn)規(guī)模不斷擴(kuò)大，年金資產(chǎn)增值保值的難度在增加。國外實(shí)證結(jié)果表明，資產(chǎn)配置對養(yǎng)老金收益率波動的貢獻(xiàn)超過90%，而擇股對收益率的貢獻(xiàn)度非常低，所以資產(chǎn)配置能力的高低就決定了年金資產(chǎn)的長期收益率水平。 本文以K集團(tuán)公司建立企業(yè)年金為主線，通過對管理模式和外部機(jī)構(gòu)的優(yōu)化選擇，構(gòu)建了年金管理總體框架。以運(yùn)營以來的具體大類資產(chǎn)配置策略和已實(shí)際運(yùn)作年金計劃中7家投管人的每周收益變化數(shù)據(jù)為樣本，采用Sharpe指數(shù)對不同投資組合、不同資產(chǎn)配置比例下的風(fēng)險—收益比進(jìn)行了比較，采用單期Brinson投資業(yè)績歸因模型對影響業(yè)績的資產(chǎn)配置貢獻(xiàn)、個券/個股選擇貢獻(xiàn)和交互作用貢獻(xiàn)進(jìn)行分解和實(shí)證分析、比較，并對K集團(tuán)年金資產(chǎn)配置提出優(yōu)化建議。研究結(jié)果表明，7家投管人在銀行存款占比較高時，Sharpe指數(shù)較高，反之Sharpe指數(shù)也比較低。單期Brinson模型的實(shí)證結(jié)果表明投管人的資產(chǎn)配置能力都有待提高，對于個券/個股的選擇依賴度較高，增加了年金投資收益率的波動性。因此在資產(chǎn)管理規(guī)模不斷增加時，年金投資的資產(chǎn)配置最好采取以銀行存款為主，債券和股票為輔，這一方面能有效避免債市和股市波動對投資業(yè)績的沖擊，另一方面可以享受利率中樞上移帶來的穩(wěn)定超額收益。當(dāng)然，由于樣本區(qū)間處于我國經(jīng)濟(jì)轉(zhuǎn)型和產(chǎn)業(yè)升級期，利率市場化帶來了利率水平的劇烈波動，所得結(jié)論會有一定的局限性。
[Abstract]:Enterprise annuity is not only an important part of our country's multi-level old-age security system, but also an important means of enterprise management strategy and human resource management. It is an organic component of enterprise incentive and distribution system. Because the trust management mode of enterprise annuity has many advantages, most enterprises annuity in our country adopt this kind of management mode. With the accumulation of enterprises and employees' contributions, the scale of annuity plan assets is expanding, and the difficulty of increasing the value of annuity assets is increasing. The empirical results abroad show that asset allocation contributes more than 90% to the fluctuation of pension return, but the contribution of stock selection to the rate of return is very low, so the ability of asset allocation determines the level of long-term return of annuity assets. This paper takes the establishment of enterprise annuity in K Group Company as the main line and constructs the general framework of annuity management through the optimization of management mode and external organization. Based on the specific asset allocation strategy and the weekly income change data of 7 managers in the operational annuity plan since operation, Sharpe index is used to analyze different investment portfolios. The risk-return ratio under different asset allocation ratios is compared. The single-period Brinson investment performance attribution model is used to decompose and analyze the contribution of asset allocation, the contribution of individual stock selection and the contribution of interaction. And put forward optimization suggestion to K group annuity asset allocation. The results show that the Sharpe index is higher and the Sharpe index is lower when the bank deposit is high. The empirical results of single period Brinson model show that the investment managers' asset allocation ability needs to be improved, and the choice of individual stock is highly dependent, which increases the volatility of annuity investment return. Therefore, when the scale of asset management is increasing, the asset allocation of annuity investment should be based on bank deposits, supplemented by bonds and stocks. On the one hand, it can effectively avoid the impact of bond market and stock market fluctuations on investment performance. On the other hand, we can enjoy the steady excess return brought by the shift of interest center. Of course, because the sample interval is in the period of economic transformation and industrial upgrading in our country, the interest rate marketization brings the sharp fluctuation of the interest rate level, so the conclusion will have some limitations.
【學(xué)位授予單位】：哈爾濱工業(yè)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F426.48;F842.61

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