With the completion of the disclosure of the third quarterly report, the holding information of the social security fund in the third quarter gradually emerges.

According to Wind data, as of the end of the third quarter, the social security fund appeared in the top ten circulating shareholders of 563 listed companies, with a total of 377 stocks held by the social security fund exceeding one hundred million, accounting for 66.96%.

The heavyweight stocks of the social security fund are mainly concentrated in the banking, insurance and other large financial industries. Agricultural Bank of China, Industrial and Commercial Bank of China, the People's Insurance, and Bank of Communications are the top four holding stocks of the social security fund with holdings values of 112.901 billion yuan, 76.21 billion yuan, 41.706 billion yuan, and 22.978 billion yuan respectively.

On October 12, 2024, the National Social Security Fund Council released the social security fund's annual report for 2023. In 2023, the investment income of the social security fund was 25.011 billion yuan, with an investment return rate of 0.96% (1.02% after deducting non-recurring gains and losses).

Among them, the realized income was 79.461 billion yuan (realized return rate of 3.13%), and the fair value change of trading assets was -54.45 billion yuan. The annual average investment return rate of the social security fund since its establishment is 7.36%, with a cumulative investment income of 1682.576 billion yuan.

In terms of investment models, the social security fund will adopt a combination of direct and delegated investments to carry out investment operations. In 2023, the entrusted investment scale increased. Direct investment is managed and operated directly by the social security fund, mainly including bank deposits, trust loans, private equity investments, private equity funds, retained state-owned shares, and index stock investments. Entrusted investment is managed and operated by investment managers entrusted by the social security fund, mainly including domestic and foreign stocks, bonds, securities investment funds, as well as derivatives such as swaps and forwards used for risk management overseas. The entrusted investment assets are held by custodians selected by the social security fund. As of the end of 2023, the social security fund's direct investment assets were 940.7 billion yuan, accounting for 31.2% of the total fund assets; entrusted investment assets were 2073.86 billion yuan, accounting for 68.8% of the total fund assets, an increase of 2.02 percentage points compared to 2022.

In 2023, the social security fund increased its overseas investments, seized investment opportunities in overseas markets such as artificial intelligence, and achieved good returns on overseas stock investments. As of the end of 2023, the social security fund's domestic investment assets were 2668.57 billion yuan, accounting for 88.5% of the total fund assets; overseas investment assets were 345.99 billion yuan, accounting for 11.5% of the total fund assets, an increase of 1.7 percentage points year-on-year.

Guosen Securities pointed out that in 2023, against the backdrop of declining asset returns, social security funds achieved positive investment returns, significantly outperforming the broader market. Social security funds leverage their long-term capital and patient capital advantages to invest in domestic stocks from a long-term perspective, seizing the value window of long-term allocation opportunities, positioning contrarian strategies in volatile markets; continually improving the entrusted investment product system, exploring and expanding sources of excess returns. Based on Guosen's calculations, it is estimated that the proportion of social security fund bond investments is approximately 57% to 66%, with corresponding allocations of stocks and other financial assets at around 24% to 33%, which can serve as a reference for the asset allocation of other long-term funds.