《保险研究》20210205-《目标日期基金产品的设计研究》（谢世清、张梦鸽）

［摘   要］人口老龄化导致社会养老负担沉重,目前国内养老金融产品品种单一、结构失衡,现行养老品体系无法满足日益增长的养老需求。本文建立了一个基于目标替代率的生命周期基金模型,基于此模型模拟设计了符合中国国情的目标日期基金产品。该产品在较合适的风险水平下实现了保值增值,以很大的成功概率满足了投资者退休后的支出需要。模型中目标替代率设置得越高,投资者风险偏好水平越大,则基金权益资产比重开始下滑的年份越靠后,其下滑曲线也越平缓。在工资增长的假设下,设计出的下滑曲线位置更高,下滑更缓慢。在实际操作中不断更新可得历史数据,动态调整模型中的变量,能够根据市场行情做出更合理配置,更好地优化基金收益。本文提出的基于目标替代率的生命周期基金模型给出了设计目标日期基金下滑曲线的新思路。

［关键词］目标日期基金；目标替代率；动态资产配置；下滑曲线

［作者简介］谢世清,北京大学经济学院副教授、博士生导师,研究方向:金融学；张梦鸽,北京大学经济学院金融硕士研究生。

A Research on the Design of Target Date Fund Products

XIE Shi-qing,ZHANG Meng-ge

Abstract：Population aging has led to heavy social burden.Currently,domestic pension financial products are limited in variety,and imbalanced in structure,therefore cannot satisfy growing demands.In this paper,a life cycle fund model based on the target substitution rate is established.Based on this model,the target date fund products are simulated and designed according to China′s national conditions.The product can maintain and increase the value under a suitable risk level,and meet the needs of investors after retirement with a high probability of success.In the model,the higher the target substitution rate is,the greater the investors′ risk preference,and the later the year the proportion of equity assets in the fund begins to decline,and the smoother the decline curve is.Under the assumption of salary growth,the designed declining curve is positioned higher and the decline is slower.In practice,constantly updating the available historical data and dynamically adjusting the variables in the model can make a more reasonable allocation according to the market situation and better optimize the fund′s return.In this paper,the life cycle fund model based on the target substitution rate is proposed,and a new idea of designing the decline curve of the target date fund is given.

Key words：target date fund;substitution rate;dynamic asset allocation;decline curve