本文第二章以理论联系实际的方式展开论述，对社保基金入市的动因做了多
角度的分析，在此基础上本文针对社保基金的资金规模与市场的联系做了比对分
析，借鉴了国外学者的研究成果对社保资金的规模提出了不断扩大的建议。文章
的第三章着重分析了社保基金进入资本市场的风险与度量方法，首先对社保基金
入市风险做了理论分析，然后从风险含义、风险一般成因与风险特殊成因三个方
面对社保基金进入资本市场的风险进行阐述。对于如何度量风险，本文具体介绍
了两种方法，数学模型分析法与绩效指标分析法。
本文第四部分是文章的实证部分，该部分通过两种方法对社保基金入市的风
险进行了分析，首先通过风险价值 (VaR)模型与条件风险价值（CVaR)模型对社保
基金的权重股组合做了风险分析，发现权重股组合的收益高于市场组合，但是风
险同样高于市场组合。VaR 法与 CVaR 法只能说明风险的大小，不能反映风险与收
益之间的关系，进而引入了夏普指数、特雷诺指数与 M指数。通过指数对社保基
金投资组合在股市上行与下行两个区间中的表现分析，发现在股市上行时的表现
都优于市场，而股市下行时，大部分基金投资组合风险收益绩效都没有达到预期
效果。
论文的最后一部分，针对前文的论述及实证研究进行了总结，并对于每一章
的研究结果做了分章节的总结，然后对我国社保险基金投资及监管提出了相关建
议。
关键词：社保基金 入市风险 VaR 模型 CVaR 模型 绩效指标Abstract
China's social security fund since its inception, the size of funds has made
considerable progress, according to the 2012 annual report shows that the scale of
capital fund has reached 1106.037 Billion Yuan, at the same time, China's financial
market has become more mature and effective, the social security fund to enter the
capital market and seek to preserve and increase the value of the increasingly high
demand. The relationship between how to better understand and handle the social
insurance fund investment risk and return is the current social events and focus. The
writing of this paper focuses on two aspects, first: the risk of social security fund in the
market analysis, second: Social Security Fund in the market risk measure. On the basis
of the above discussion how to a risk averse way to avoid risks, to achieve better social
security funds into the city to preserve and increase the value of.
In the second chapter, by the method of integrating theory with practice is
discussed, the cause of social security funds into the city made a multi angle analysis,
on the basis of the money market fund scale and the relation analysis, learning from
the foreign scholars and funding for the Agency proposed expanding scale suggestion.
The third part analyzes the risk of social security funds to enter the capital market and
theme measure method, firstly the theory analysis of the social security fund in the
market risk, then carries on the elaboration to the risk of social security funds to enter
the capital market from the three aspects of risk meaning, general causes and special
causes of risk. How to measure the risk, this paper introduces two methods,
mathematical model analysis method and the performance index analysis method.
The fourth part is the empirical part of the paper, this part through two kinds of
methods of risk of social security fund is analyzed, the value at risk (VaR) model and
the conditional value at risk (CVaR) model of the social security fund weights
combination makes the risk analysis, the weight stock portfolio return higher than the
market portfolio but the risk is also higher than the market portfolio. VaR method and
CVaR method can only show the size of the risk, and can not reflect the relationship
between risk and return, then introduces the Sharp index, Toreno index and M2 index.
Through the analysis of the performance index of investment portfolio of social
security fund in the stock market the uplink and downlink interval of two, found in the
stock market's performance is superior to the market, and the stock market downturn,
most of the fund portfolio risk return performance did not reach the expected effect.
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