تعیین پرتفوی بهینه سرمایه گذاری صندوق های بازنشستگی در ایران (مقاله علمی وزارت علوم)
درجه علمی: نشریه علمی (وزارت علوم)
آرشیو
چکیده
یکی از دغدغه های صندوق های بازنشستگی به عنوان نهادهای مالی بین نسلی، چگونگی سرمایه گذاری پس اندازهای خرد بیمه شدگان در حوزه های مختلف است. این تحقیق به بررسی و تعیین پرتفوی بهینه سرمایه گذاری صندوق بازنشستگی تأمین اجتماعی در گروه های عمده صنایع بورسی پرداخته است. داده های تحقیق به صورت روزانه، برای دوره ۵/۱/۱۳۹۴ الی ۳۱/۶/۱۳۹۹ از وب سایت مرکز پردازش اطلاعات مالی ایران و شرکت سرمایه گذاری تأمین اجتماعی گردآوری و جهت تجزیه وتحلیل داده ها از مدل های مارکویتز، ارزش در معرض خطر (VaR) و نرم افزار متلب استفاده شده است. نتایج بررسی وضعیت موجود سرمایه گذاری های صندوق تأمین اجتماعی نشان داد که 9 گروه صنایع، 93% سرمایه گذاری های بورسی این صندوق را تشکیل می دهند. همچنین، گروه های «مواد و محصولات دارویی»، «سرمایه گذاری ها» و «فلزات اساسی»، به ترتیب از بیشترین نسبت بازدهی به ریسک و گروه های «بانک ها و مؤسسات اعتباری»، «فرآورده های نفتی» و «سیمان، آهک و گچ»، به ترتیب از کمترین نسبت بازدهی به ریسک برخوردار بوده اند. نتایج برآورد مدل تحقیق نیز بیانگر این است که پرتفوی مارکویتز بهتر از پرتفوی VaR و واقعی جهت سرمایه گذاری در صندوق بازنشستگی است. علاوه براین، بر اساس پرتفوی بهینه مارکویتز، با حفظ میزان مطلق سرمایه گذاری های بورسی، این صندوق می بایست سهم سرمایه گذاری در «مواد و محصولات دارویی» را به میزان 7%، «سرمایه گذاری ها»، 2% و «فلزات اساسی»، 1%، افزایش و سهم سرمایه گذاری در «شرکت های چند رشته ای»، 3%، «محصولات شیمیایی»، 3%، «سیمان، گچ و آهک»، 2% و «فرآورده های نفتی»، 2%، کاهش دهد.The Determination of The Optimal Portfolio of Pension Funds in Iran
INTRODUCTION
Pension funds, as intergenerational financial institutions, should be able to finance individuals in old age and disability by accumulating the micro-savings of the insured and investing in them. Therefore, one of the concerns of the mentioned funds is how to invest the micro-savings of the insured in different areas. In Iran, pension funds under the Ministry of Cooperatives, Labor and Social Welfare play a significant role in the capital market and more than 53% of the daily value of the assets of these funds belong to the listed companies (47% of non-listed capital), which possess more than 13% of the total market daily value (stock exchange and over-the-counter).
THEORETICAL FRAMEWORK
Minimizing portfolio risk, investors can obtain an efficient portfolio for a certain return. Continuation of this process leads to the development of efficient portfolios, called the mean-variance efficiency frontier. The following data are required to apply the Markowitz model:
Expected return on stock i, denoted by E(Ri).
The standard deviation of the expected return on ith stock, considered as an indicator for the risk of every stock, denoted by Si.
Covariance, as an indicator of coordination between the return rates of different stocks, denoted by δij.
METHODOLOGY
To determine the optimal portfolio, first the returns of the days in which the transaction did not take place were interpolated by MATLAB and interpolation method and a matrix of 1354 × 9 was obtained. Then, at a 15 percent confidence level, the normality of the time series of returns of each group of industries was investigated by Jarque-Bera (JB) test. Next, the Markowitz model was solved and the weights were determined for each stock in the optimal portfolio of the Social Security Pension Fund. Research data were collected daily for the period 2015:03:25 – 2020:09:21 from the website of the Financial Information Processing Center of Iran and the Social Security Investment Company.
RESULTS & DISCUSSION
Findings show that for investment in the Social Security Pension Fund, among real portfolio, the Markowitz model portfolio and the VaR model portfolio, the Markowitz model optimal portfolio is better than the VaR portfolio and the real portfolio as it has the highest return-to-risk ratio. In order to optimize the investment portfolio, this fund should increase its investment share in the groups of pharmaceutical materials and products by 7%, investments by 2% and the base metals by 1%. It should also reduce its investment share in the groups of multidisciplinary companies by 3%, chemical products by 3%, cement, gypsum and lime by 2% and petroleum products by 2%.
CONCLUSIONS & SUGGESTIONS
Since the results of the study show that the proposed portfolio of this study based on the Markowitz model is optimal for investing in the stock industries of the Social Security Fund, it is suggested to the authorities and planners of this fund to change their existing investment portfolio to the proposed portfolio and especially increase their share of investment in the group of pharmaceutical materials and products as the Social Security Organization (TPICO Holding) has an advantage in this industry on a national scale and its development is consistent with the organization's strategies. It is also suggested that the Social Security Fund reduce the dispersion of investment in markets-industries and over-investment in company management as it has always posed a great risk to pension funds around the world.
تبلیغات
