《保险研究》20210306-《养老目标风险基金资产配置策略研究》（罗忠洲、朱亦宁）

［摘   要］养老目标基金是基金公司围绕养老金投资管理、完善资本市场资金结构而推出的创新产品。本文借助理论模型还原了国外养老目标风险基金产品资产配置风险控制和目标风险两个策略的数理模型,并结合中国市场要求、调整核心参数，设计了8种策略,最后基于2005年1月3日至2019年9月30日内的收益率数据进行回测检验。研究表明,在控制风险效果方面,风险控制策略均控制了波动风险；目标风险策略仅每周调仓就能较好控制波动风险；在风险收益特征方面,风险控制策略比目标风险策略有效；在资产配置比例方面,对风险控制策略而言,当再平衡频率相同且不设置杠杆融资时,目标风险波动率的差异不显著影响风险控制策略的仓位配置；对目标风险策略而言,我国与成熟资本市场情况不同的是，仓位配置比例并非恒定或小幅波动的数值、调仓指令下达较为频繁；在低频再平衡的择机方面,择机对策略整体有效性的影响有限。

［关键词］养老基金；风险控制；目标风险；资产配置

［基金项目］本文是国家社科基金后期资助项目“养老目标基金研究”(项目编号:20FJYB054)的阶段性研究成果。

［作者简介］罗忠洲,经济学博士,复旦大学金融研究院副教授,研究方向:证券投资；朱亦宁,交银施罗德基金管理有限公司助理研究员。

A Research on Asset Allocation Strategy of Target Risk Pension Fund

LUO Zhong-zhou,ZHU Yi-ning

Abstract：The pension target fund is an innovative product launched by securities fund companies for investment of pension funds and improving on the capital structure of the capital market.The Paper restored two mathematical models for asset allocation risk control of foreign target risk pension products and target risks,and then designed 8 strategies taking into consideration the requirements of China′s pension fund investment and adjustment of core parameters.Finally,it conducted back-measurement testing based on the return data between January 3,2005 and September 30,2019.The main conclusions of this paper are as follows:in terms of the risk control effect,the risk control strategy can properly control the volatility risk;and the target risk strategy can properly control the volatility risk by weekly position adjustment.In terms of the risk return characteristics,the risk control strategy is more effective than the target risk strategy.In the aspect of the proportion of asset allocation,for risk control strategy,with the same rebalancing frequency and without leverage,the difference of the predetermined volatilities does not significantly affect the position allocation;as for the target risk strategy,what′s different with mature capital markets are that the position allocation proportion is not constant or slightly fluctuated numerical value,and the rebalancing instruction was given more frequently;low-frequency rebalancing timing has limited impact on the overall effectiveness of the strategy.

Key words：pension fund;risk control;target risk;asset allocation