리스크 기준 포트폴리오 리밸런싱의 성과
The Performance of Risk-Contribution Rebalancing Strategies
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본 논문은 포트폴리오 내에서 개별 자산들이 전체 리스크에 공헌하는 비중을 일정하게 유지시킴으로써, 특정 자산에 대한 과도한 리스크 노출을 지양하고 포트폴리오의 변동성을 줄이고자 하는 이른바 ‘리스크 기준 리밸런싱(Risk–Contribution Rebalancing)’의 성과를 분석하였다. 국내주식, 국내채권, 해외주식, 해외채권, 원자재 등 5개 자산으로 구성된 포트폴리오를 대상으로 실증분석한 결과, 리스크 기준 리밸런싱은 당초 포트폴리오 내에서 자산들 간 리스크 편중도가 약할 경우에는 변동성 완화에 효과적이지만, 그렇지 않을 경우에는 변동성 완화 효과가 미미하거나 오히려 변동성을 확대시킬 수 있음을 확인하였다. 이러한 사실은 포트폴리오를 구성하고 있는 자산 종류를 가상자산(crypto asset) 또는 주식 섹터(sector)별 지수로 확장한 경우에도 여전히 강건하게 유효함을 확인하였다. 따라서 포트폴리오의 특성과 무관하게 변동성 완화 효과가 일관되게 나타나는 전통적인 리밸런싱 기법과는 달리, ‘리스크 기준 리밸런싱’을 적용할 때에는 포트폴리오 특성에 대한 고려가 반드시 선행되어야 한다.
Abstract
This paper examines the effectiveness of a risk-contribution rebalancing strategy in reducing portfolio volatility by maintaining a constant contribution of individual assets to the total risk within the portfolio. The study analyzes a five-asset portfolio consisting of domestic equities, domestic bonds, foreign equities, foreign bonds, and commodities. The empirical results reveal that the risk-contribution rebalancing strategy is effective in reducing volatility when there is a low degree of risk concentration among assets. However, when specific assets exhibit high degree of risk concentration, the risk-contribution rebalancing strategy may not effectively reduce volatility and could even increase it. This finding holds even when the asset class is expanded to include crypto assets or equity sector indices. Therefore, unlike the traditional value-based rebalancing strategies that consistently demonstrate a reduction in volatility, regardless of portfolio characteristics, the use of risk-contribution rebalancing strategies requires a careful consideration of portfolio characteristics.
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