The performance evaluation and empirical analysis of China Social Security Fund portfolio

For examining whether the China Social Security Fund has made beyond the basic market and created value for the investors, this paper selects the seven combinations with holding a larger absolute number to 17 types of social security fund portfolio, and explains the whole performances, such as Shape´s measure, Treynor´s measure and Jensen´s measure in 2009 year. Besides, the capabilities of the fund´s stock selection and market-timing are also been studied for seven main funds. It is concluded that the social security fund portfolio is better than the basic market. Although some combination of stock selection ability is outstanding performance, all the funds did not show strong timing ability.