대체투자 펀드지수의 활용가능성과 자산배분에서의 실효성
Usefulness of the alternative investments fund index and effectiveness in asset allocation
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초록
본 연구에서는 대체투자 공사모 펀드지수가 대체투자자산 위험-수익 특성 파악을 위한 대용치(proxy)로서 활용가능한지를 검토하고, 평균-분산 스패닝 테스트(spanning test)를 통해 대체투자 펀드지수가 자산배분 과정에서 실효성을 지니는지를 분석하였다. 분석결과 대체투자 펀드지수와 경제 및 금융지표로부터 도출한 주성분 간의 관계가 시장에서의 일반적인 기대에 일정수준 이상 부합하는 관계를 보여 대체투자 펀드지수의 활용가능성을 발견하였다. 대체투자 펀드지수의 위험-수익 특성 또한 ‘중위험-중수익’ 이라는 대체투자 기대 속성에 부합하여 위의 결과를 지지하였다. 더불어 평균-분산 스패닝 테스트 결과대체투자 펀드지수를 기존 포트폴리오에 추가할 경우 투자자들의 효율적 투자선을 유의하게 확장시키는것으로 나타나 자산배분 관점에서 펀드지수의 실효성을 확인할 수 있었다. 본 연구는 대체투자 세부유형의 특성을 명확히 설명하지 못하고 있다는 측면에서의 한계를 지니나, 공사모 대체투자 펀드를 활용하여대체투자자산의 위험-수익 특성을 일정수준 이상 파악 가능함을 보여주고 투자자들에게 대체투자를 포함한 자산배분 시 대안으로 선택할 수 방법을 제시한다는 측면에서 실무적 의의를 갖는다.
Abstract
In this study, we reviewed whether the aggregated alternative investment fund return can be used as a proxy for identifying the risk-return characteristics of alternative investment assets, and mean-variance spanning test was used to analyze whether the portfolio composed of alternative investment funds has effectiveness in the asset allocation process. As a result of the analysis, the relationship between the aggregated alternative investment fund return and the principal components derived from economic and financial indicators was consistent with general expectations in the market more than a certain level, and found the possibility of using it as a proxy of the aggregated alternative investment fund return. The above results were supported by the result that the risk-return characteristics of the total aggregated returns created through the combination of the aggregated alternative investments fund return, in line with the expected nature of alternative investments of “medium risk-medium return.” In addition, as a result of the meandistributed spanning test, it was found that adding a portfolio composed of alternative investment funds to the existing portfolio significantly expands the efficient frontier of investors. Through this result, we were able to confirm the usefulness of the portfolio in terms of asset allocation. This study has limitations in that it does not clearly explain the characteristics of sub-types of alternative investment. However, this study is meaningful in that it shows that it is possible to presume the risk-return characteristics of alternative investment assets over a certain level by using alternative investment funds, and has practical significance in that it presents investors with alternative options for asset allocation, including alternative investment.
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