经济新常态下社会保障基金保值增值问题日益成为个人、社会和政府所关注的焦点问题，不仅仅是因为基金本身的属性，更重要的是社会保障基金所属的制度属性和社会属性。而从目前社会保障基金投资的渠道来看，90%以上投资于银行和购买国债。鉴于此，笔者采用现代资产组合理论模型，通过稳健性检验，分析了中国社会保障基金投资策略的"畸轻畸重"效应。经验分析的结果表明，投资策略与目前金融市场的发育度和全国社会保障基金理事会对基金投资渠道及投资比例限定有显著性的正相关关系；而且，在目前金融市场发展格局下，社会保障基金被大量的投入银行和国债势必会导致在"保值"策略下的"贬值"格局的产生。因此，应逐步把社会保障基金保值增值职能由政府主导行为逐步过渡到市场主导行为，而政府应回归其监督和服务职责。
The social security fund is becoming the focus of personal, social and governmental concern point. It is not only because of the fund itself, but also because that the social security fund belongs to the system and social attributes. From the viewpoint of the current social security fund investment channels, almost more than 90% investment is concerned with banks and the purchase of Treasury bonds. In view of this, the modern portfolio theory model and the robust test are adopted to analyze the lopsided effect of social security fund investment strategy. Empirical analysis results show that this single investment strategy, the current financial market development, the National Council for social security fund of social security fund investment channels and investment proportion limit the positive correlation is significant. However, in the current financial market development pattern, the social security fund invested heavily banks and bonds will result in "hedge" under the strategy of "depreciation" pattern generation. In view of the results of this study, it should be gradually put the social security fund investment strategy for single value-added government gradually transition to the equilibrium investment strategy by the society dominated by multiple channels. In this regard, the government leading behavior should gradually transit to the market behavior, and the government should return to its supervision and service responsibilities.
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