Can Trading Strategies Improve the Investment Performance of Social Security Fund?

Tang Dapeng; Wu Jiamei

doi:doi:10.16538/j.cnki.jfe.20191010.101

Summary

Under the great pressure of social security payments caused by the arrival of a low fertility trap and the aging era, the performance goal of Social Security Fund （SSF） investment to achieve value-maintaining and value-increasing has become an important issue in both theoretical and practical circles. However, researches on the influence factors of investment performance have not received widespread attention. At the same time, trading strategies have an important impact on investment performance. In the face of accusations, it is necessary to conduct an in-depth research from the perspective of trading strategies’ effects on investment performance, and give fair evaluation to different strategies according to research conclusions. But the special discussion on the investment strategies of SSF is obviously insufficient, and the study of their economic consequences is even rarer. Therefore, it is necessary and feasible to study the impact of trading strategies of SSF on investment performance.

This paper takes SSF as the research object, and studies the impact of trading strategies on investment performance under different circumstances. The empirical results show that, in general, the momentum strategy reduces investment performance, and the contrarian strategy improves investment performance. Considering the influence of the heterogeneous fund manager’s institutional attribute and investment orientation under the direct and entrusted investment mode, it is found that the inhibition effect of the momentum strategy under the entrusted investment mode is significant regardless of whether or not the market is differentiated, while this inhibition effect does not exist under the direct investment mode; and the improvement effect of contrarian strategy under the entrusted investment mode has always been significant, but this improvement effect does not show in the falling market under the direct investment mode. The above conclusions have not changed after using many robustness test methods. Further analyzing short-term trading performance and long-term holding performance can also prove the above judgments, and the specific conclusions are as follows: The momentum strategy improves short-term trading performance, but reduces long-term holding performance, while the constrain strategy is exactly opposite; under the direct investment mode and its different markets, there only shows the impact of the constrain strategy; under the entrusted investment mode and its different markets, the effect of the momentum strategy is basically consistent with the overall situation, and the constrain strategy also improves long-term holding performance, but has no stable impact on short-term trading performance.

The marginal contribution of this paper is as follows: On the one hand, this paper pays attention to the impact of trading strategies of SSF on investment performance, which enriches the research on the economic consequences of SSF trading strategies and the factors affecting its investment performance; on the other hand, distinguishing the investment mode, this paper analyzes the different effects of trading strategies from the difference between market efficiency orientation and government policy orientation, which provides reference for the choice of SSF’s investment mode and the regulation of trading strategies in the future.