تعيين پرتفوي بهينه سرمايه‌گذاري صندوق‌هاي بازنشستگي در ايران

The Determination of The Optimal Portfolio of Pension Funds in Iran

يكي از دغدغه ­هاي صندوق­هاي بازنشستگي به­ عنوان نهادهاي مالي بين نسلي، چگونگي سرمايه­ گذاري پس ­اندازهاي خرد بيمه ­شدگان در حوزه ­هاي مختلف است. اين تحقيق به بررسي و تعيين پرتفوي بهينه سرمايه­ گذاري صندوق بازنشستگي تأمين اجتماعي در گروه­ هاي عمده صنايع بورسي پرداخته است. داده ­هاي تحقيق به ­صورت روزانه، براي دوره 5/1/1394 الي 31/6/1399 از وب­سايت مركز پردازش اطلاعات مالي ايران و شركت سرمايه ­گذاري تأمين اجتماعي گردآوري و جهت تجزيه­ وتحليل داده ­ها از مدل­هاي ماركويتز، ارزش در معرض خطر (VaR) و نرم ­افزار متلب استفاده شده است. نتايج بررسي وضعيت موجود سرمايه گذاري صندوق تأمين اجتماعي نشان داد كه 9 گروه صنايع، 93% سرمايه ­گذاري ­هاي بورسي اين صندوق را تشكيل مي­دهند. همچنين، گروه­هاي «مواد و محصولات دارويي»، «سرمايه­ گذاري­ها» و «فلزات اساسي»، به­ترتيب از بيشترين نسبت بازدهي به ريسك و گروه ­هاي «بانك­ها و مؤسسات اعتباري»، «فرآورده­ هاي نفتي» و «سيمان، آهك و گچ»، به­ترتيب از كمترين نسبت بازدهي به ريسك برخوردار بوده­اند. نتايج برآورد مدل­ تحقيق نيز بيانگر اين است كه پرتفوي ماركويتز بهتر از پرتفوي VaR و واقعي جهت سرمايه ­گذاري در صندوق بازنشستگي است. علاوه براين، بر اساس پرتفوي بهينه ماركويتز، با حفظ ميزان مطلق سرمايه­ گذاري­هاي بورسي، اين صندوق مي­بايست سهم سرمايه­ گذاري در «مواد و محصولات دارويي» را به ميزان 7%، «سرمايه ­گذاري­ها»، 2% و «فلزات اساسي»، 1%، افزايش و سهم سرمايه­گذاري در «شركت­هاي چند رشته‌اي»، 3%، «محصولات شيميايي»، 3%، «سيمان، گچ و آهك»، 2% و «فرآورده ­هاي نفتي»، 2%، كاهش دهد.

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.