연기금 상장리츠 투자의 포트폴리오 효과와 투자전략

연기금의 상장리츠 편입에 따른 포트폴리오 효과와 투자전략을 분석했다.

Domestic pension funds, including the National Pension Service, have recently shown interest in listed REITs and are in fact preparing or expanding investment in listed REITs. This study introduces ways to improve risk-adjusted returns of holding portfolios by utilizing listed REITs. The empirical basis for these measures is also presented. In addition, a reasonable investment strategy related to incorporating listed REITs into the holding portfolio is presented.

To this end, an annual time series of inflation-adjusted total returns assuming dividend reinvestment prepared by Visual Capitalist covering 35 years from 1985 to 2019 is collected This includes the sub-asset sectors within the stock and bond asset classes, and the yields time series of listed REITs, In addition, as a Tactical Asset Allocation(TAA) strategy, the expected portfolio effect of incorporating listed REITs into a portfolio composed of general stocks and bonds is calculated. The Sharpe ratio maximization model, an indicator of risk-adjusted returns, is analyzed using matlab. The main research results are as follows.

Investment in listed REITs via TAA can be incorporated into a portfolio of relatively stable or high-risk assets by pension funds depending on risk preferences to improve risk-adjusted returns. The investment strategies necessary for domestic pension funds to expand alternative investments using listed REITs by establishing a systematic investment strategy are identified as follows. First, in the issue of asset classification, it is reasonable to incorporate listed REITs into the stock asset class. Second, when incorporating listed REITs into the stock asset class, it is suggested that about 38.61% of the stock asset class be set as the investment share goal.

In addition, it is proposed to set about 19.3% of the pension fund's total portfolio as the target of investment in listed REITs. Third, the appropriate policy and performance evaluation benchmark for investing in listed REITs proposes to utilize the customized index based on the individual pension fund's investment strategy in listed REITs.