社保基金投资管理人选择的一种定量方法

全面考核是社保基金遴选投资管理人的基本要求,运用层次分析法,结合学术界现有研究中认为具有影响力的因素,建立了一个综合评价体系,该体系包括Sharpe比率等定量指标和公司治理等定性指标,实现了主观与客观的结合,具有针对性和可拓展性,有助于建立一个科学、透明的社保基金投资管理人选拔制度。在该体系下,采用截止至2008年第一季度的数据,评价了负责社保基金资金运作的9家基金公司,结果易方达基金管理公司排名第一。

Quantitative Method of Manager Selection for the Social Security Fund

The investment manager selection of the social security fund should take into account manager evaluation in an all-round way.Combining the Analytic Hierarchy Process and the related researches,an integrated framework on how to solve the above problem is established.The framework integrated the subjective and objective criteria,including Sharpe ratio,ratios on governance structure etc.It focused on the preference of the social security fund and could be further extended,thus helping to establish a scientific...