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국민연금기금의 대체투자 포트 폴리오 구축방안 연구

  • 박영규 성균관대학교 경영대학 교수
  • 김현석 성균관대학교 경영대학 박사과정
  • 주효근 KG제로인
본 연구는 평균-분산 모형 및 Black-Litterman 모형을 사용하여 국민연금기금의 효율적 대체투자 포트폴리오 구축방안을 검토하였다. 주요 전통적 Markowitz의 평균-분산 모형에 따라 과거 평균 분수익석 률결을과 는기 대다수음익과률 의같 다대.용 첫치째로, 사특용정하 자여산 샤에프 과 비도율한을 투극자대비화중시이키 는집 중대되체는투 자구 포석트해폴 문리제오 의및 투 투자입비변중수을의 산 값출에한 결따과라, 자수산익배률분을 결사과용가하 여과 도투하자게비 중바을뀌 는산 출민한감 도결의과 문, B제la가ck -발L생it하ter였 m다an. 둘모째형,은 전 구망석결해합 기문제대 및있 어투서입 대변체수투의자 민 포감트성폴 문리제오를 매 니완저화가하 면실서제 동자시산에배 분매에니 사저용 의하 시기장에전 유망용을한 반 모영형할임 수을 확따라인 할자 산수배 있분었 결다과. 단가 , 상B이lac하k-게L 나itt타er나ma므n 로모 형대체은투 포자트 포폴트리폴 오리 매오니 매저니의저 주는관 시적장 관전점망에의 정시확장성전을망 의제 고정하확는도 가것 이높 고동, 모적형절을한 사투용자하비기중 의위한 제 전한제이 조설건 정이되 어되 어있야는 할경 우것 이기다존. 셋국째민, 연편금입의시 켜대 체새투로자운대 포상트에폴 포리함오되를지 구못성했하던는 상 것품이자 산대과체 투헤지자펀 포드트를폴 대리체오투의자 효 포율트성폴을리 향오에상 시위킬주 로수 6 있개음의을 자 산확군인에하 였자다산. 배본분 연을구 해는 온 그 국 동민안연 금주 로기 금M운ar용 ko에wi t운z의용 기평관균의-분 전산망 치모를형 반하였영다하.는 이 를Bl a통ck해- L향itt후er m국a민n 연모금형의 및대 체자투산자군 자확산장배의분 유전효략성의 을 다 실양증화분 및석 수을익 통률해 제 제고시에 기여한다는 면에서 실무적 연구로서의 의의가 있다.
국민연금기금; 대체투자; 자산배분; 평균-분산모형; Black-Litterman 모형; National Pension Fund; Alternative Investments; Asset Allocation; Mean-Variance Model; Black-Litterman Model

Alternative Investment Portfolio Analysis for the Korean National Pension Fund

  • Young Kyu Park
  • Hyunseok Kim
  • Hyo Keun Joo
The assets under management (AUM) of the Korean National Pension Fund (NPF), which started from 530 billion won in 1988, reached 426.9 trillion won by the end of 2013. This is the fourth largest pension fund in the world. Over 99% of the Korean NPF portfolio is comprised of finance sector holdings and the NPF’s performance thus depends on the management of financial sector investments. For many years, major investment vehicles in the NPF portfolio have been domestic bonds, domestic stocks, foreign bonds, and foreign stocks. Recently, alternative investments have become important parts of pension portfolio management. It is common to find alternative investment products such as real estate, infrastructure, private equity, commodities, and hedge funds in various sovereign pension portfolios. As alternative asset classes have little correlation with traditional investments, they help to diversify portfolio risk and also extend portfolios’ efficient frontier. In consequence, the proportion of alternative investments among global pension funds increased from approximately 7% in 2003 to 17% in 2012. The Korean NPF has followed this trend. The amount and proportion of alternative investments in the NPF portfolio steadily increased to reach 40 trillion won and to account for 9.4% of the total portfolio as of the end of 2013. However, few studies have been conducted on the management and performance of alternative investments in Korea. This study explores a way to construct the optimal alternative investment portfolio for the Korean NPF using both the Markowitz mean-variance and Black-Litterman models. With six asset classes, we use a proxy for the fund’s alternative investment portfolio to test which of the two optimization models is more appropriate for improving portfolio performance. We also construct an alternative investment portfolio with eight asset classes, adding commodity and hedge funds, which are currently excluded from the Korean NPF portfolio, to examine whether including these can enhance the portfolio’s efficiency. The main results of this study are as follows. First, we construct the optimal alternative investment portfolio with the Markowitz mean-variance model using the historical average returns of various alternative investment assets as proxy for the equilibrium expected returns. However, the model is extremely sensitive to changes in the input variables and often converges to the corner solution, which allocates unreasonably high weights to one or two assets. This reduces the advantages of portfolio diversification. Second, the Black-Litterman model has been devised to improve these limitations of the mean-variance model. It combines the equilibrium expected returns embedded in a market portfolio with managers’ views on its future asset performance. The model alleviates the extreme asset allocation problem. Thus, we suggest that the Black-Litterman model can be more appropriate so long as managers have marketforecasting capabilities. Finally, we confirm that including commodity and hedge funds in the Korean NPF alternative investment portfolio can improve its efficiency, as long as the fund has appropriate market-forecasting capabilities and imposes reasonable portfolio weights restrictions in asset classes. We consider the Black-Litterman model, which reflects managers’ views on future performance, in preference to the mean-variance model. We provide new insights into asset allocation methodology for the Korean NPF, which has mainly conducted asset allocation using a Markowitz-type mean-variance model. Some of the current alternative investment segment benchmarks used in the Korean NPF do not explain the variance and covariance of their asset classes, and we propose new benchmarks to replace them. Considering the growing prominence of the alternative investment portfolio in the Korean NPF, we suggest that continuous research effort should be made in this area to further improve the performance of the fund.