《保险研究》20200401-《年金投资管理评价、问题与建议》（段国圣、段胜辉）

［摘   要］年金作为职业养老金，其投资管理直接关系到参与者的退休收入水平。本研究超越传统的定性判断，采用定量方法评价了国内年金投资管理的绩效。通过将年金投资收益率拆分为资产配置收益率和主动管理增值收益率两部分,证实了资产配置优化可以提升年金投资收益,年金行业的主动投资管理并未产生超额收益,大型年金计划的超额收益并不显著。基于这种评价结果,采用治理-行为-业绩的框架,分析了年金投资管理在治理机制、资产配置、投资目标、考核管理和投资组合设计上存在的问题,并建议采取发挥年金长期资金优势、提升治理水平、设定长期退休收入替代率水平目标、优化年金投资管理人使用、发挥规模经济效应等措施提升年金投资管理效率,提升投资收益。

［关键词］企业年金；投资业绩；参考组合；资产配置；委托代理

［作者简介］段国圣,中国保险资产管理业协会会长、武汉大学兼职教授,研究方向:资产管理、保险投资；段胜辉,北京大学中国信用研究中心研究员、高级经济师、博士,研究方向:资产管理、资产配置。

Annuity Fund Investment Management:Evaluations,Relevant Issues,and Suggestions

DUAN Guo-sheng,DUAN Sheng-hui

Abstract：As domestic occupational pension,the investment management of annuity funds has a direct bearing on the level of retirement income for participants. This research went beyond traditional qualitative judgments and used a quantitative method to evaluate the performance of domestic annuity funds investment. By splitting the annuity investment return into asset allocation return and value-added return by active management,this article confirmed that the optimization of asset allocation improved investment return of annuity funds；active investment management hadn’t created excess returns for the whole sector；the excess return was not significant for large annuity funds. Based on these evaluations,and using the governance-behavior-performance framework,this article analyzed the existing problems of annuity investment management in governance mechanism,asset allocation,investment objective,performance appraisal,and portfolio design. It recommended to take advantage of the long-term horizon of annuity funds,improve governance,set long-term retirement income replacement ratio targets,optimize the use of investment managers,and leverage economies of scale to improve annuity investment management efficiency and returns.

Key words：enterprise annuity;investment performance;reference portfolio;asset allocation;principal-agent