복합자산펀드 포트폴리오의 수익률 및 위험도에 관한 연구 : 오피스와 금융자산의 혼합을 중심으로

오피스와 금융자산을 혼합한 펀드의 수익률과 위험도를 연구했다.

After Asian financial crisis, investment method in the domestic real estate market has altered from ‘direct investment’ to ‘indirect investment’ which had significant influence in the office market. However, indirect investment in the domestic real estate market in terms of size is still unsatisfactory owing to the traditional desire owning real estate itself, low level of liquidity and absence of standard investment index in the office market.Based on the recognition of such matters, the paper attempts to set up objective investment index and establish commonly utilized investment system through office profitabilities which is classified by its ratings.

Also, the research suggests new type of investment through empirical analysis by combining office assets with financial assets such as stocks and fixed-income securities.The purpose of this research can be categorized into three. First, to overcome low liquidity in real estate investment and maximize risk diversification effect by combining financial assets such as stocks and fixed-income securities with office assets. Second, to evaluate ratings practically by performing specialist research based on the 'buildings classification' which is a research result of Ministry of Land, Transport and Maritime Affairs in 2003.

Finally, to suggest political implications and further research tasks for vitalizing indirect real estate market by finding ideas of employing office rating systems which is linked with investment profitability and effective multi-asset fund portfolio composition plan.In order to fulfill research aims, profitability and risk of portfolios were analysed based on the data of contained assets in the multi-asset fund. Moreover,credibility of office ratings system was verified by conducting specialist's survey analysis. Portfolios are composed into two groups; by location and size, by classification of office rating system.

Based on the two groups portfolios are composed by combining office assets with fixed-income securities and by combining office assets with stock and fixed-income securities. Efficient frontier curve is analysed upon above portfolios. Also, Sharpe Ratio analysis is carried out to distinguish reasonableness of profitability and risk diversification in composing portfolio.The results show that portfolio performed most effectively when fixed-income security is combined with office asset. Low level of risk and high liquidity of fixed-income security strengthened middle level of risk and low liquidity of office asset.

Diversification effect was low than expected level when stock was combined as it shows high daily volatility and profitability is underestimated when diverted into yearly data. In other words, there was no portfolio effect when stock is mixed with portfolio of office assets with fixed-income securities as the profitability was offset when diverted into yearly average.In conclusion, firstly, in the office asset case lack of representative index which is linked with profitability affected as a limitation of real estate fund market in terms of its size. Secondly, empirical analysis shows that combining office asset with fixed-income securities was actually effective.

Moreover, it shows that composition of "office assets with government bond" showed the most effective result. Risk diversification was observed in the case of office assets and improvements of profitability was observed in the case of fixed-income securities in terms of portfolio effect. Finally, office ratings system of Ministry of Land Transport and Maritime Affairs showed high credibility which meant that there was not much difference between office ratings system of the private sector. However, market participants should further research toimprove office rating system which can be linked with profitabilities.The paper discusses the following implications.

Firstly, institutions with public trust should construct representative index and integrate system of ratings and profitability or establish linkage system for vitalizations of office market. This should lead to setting up objective investment index and establishing commonly utilized investment system. Secondly, office investment information should be opened to public under government's legal support in order to expand public investment. Limited office investment information restricts investors and leads to shrinking public investment. Finally, investment size among assets should be balanced through vitalizations of multi-asset fund in order to diversify market risk.

Also, investment pattern should be improved which is now too much concentrated to security-based fund to recover proper function of the market.Lastly, I hope this study can be a motive for vitalizing currently depressed real estate fund market. Also, I hope this paper can be used as a research index in the future in developing multi-asset fund of financial asset and real estate. 외환위기 이후 국내 부동산 시장의 투자 방식은 직접투자 방식에서 간접투자 방식으로 변화되었고, 이는 오피스시장에도 적지 않은 영향을 주었다. 그러나 부동산에 대한 전통적인 소유욕구와 환금성 부족, 오피스시장에 있어서의 대표성을 가진 투자지표의 부재 등으로 인해 국내 부동산 간접투자시장 규모는 만족할 만한 수준에 여전히 미치지 못하고 있는 실정이다.

본 연구는 이러한 문제인식에서 출발하여 수익률이 연동된 오피스등급을 통해 객관화된 투자지표 설정 및 범용화된 투자체계를 구축하고자 하였고, 실물자산인 오피스와 금융자산인 주식, 채권이 혼합된 이종자산간 복합자산펀드를 실증분석을 통해 새로운 투자형태로 제시하고자 하였다. 본 연구의 목적은 세 가지로 구성된다. 첫째, 금융자산인 주식, 채권과 실물자산인 오피스와의 혼합을 통해 복합자산펀드를 구성하여 부동산투자에 있어서의 제약요인인 환금성 부족을 극복하고 위험분산효과를 극대화하고자 하였다. 둘째, 2003년 건설교통부에서 발표한 오피스등급제도 연구결과를 기반으로 전문가조사를 수행하여 오피스시장에서의 실질적인 등급평가를 시도하고자 하였다. 마지막으로, 투자수익률 연동을 통한 오피스등급제도의 활용방안과 효율적인 복합자산펀드 포트폴리오 구성방안을 도출하여 부동산 간접투자시장의 활성화를 위한 정책적 시사점 및 향후 연구 과제를 제시하고자 하였다. 연구목적 달성을 위해 복합자산펀드에 편입되는 각 자산의 수익률 자료를 기반으로 포트폴리오를 구성하여 기대수익률과 위험을 분석하였고, 오피스등급제도와 관련해서는 전문가설문 결과분석을 통해 오피스등급제도의 신뢰성을 검증하였다.

포트폴리오 구성방법에 있어서는 권역과 규모로 분류된 오피스와 등급으로 분류된 오피스의 두 가지 기준을 바탕으로 오피스와 채권의 두 자산 혼합과 오피스와 주식, 채권의 세 자산 혼합 형태로 각각 포트폴리오를 구성하였고, 이를 통해 효율적 프론티어 곡선을 도출하였다. 또한 포트폴리오 구성을 통한 자산의 수익률과 위험 분산의 적정성을 판별하기 위해 Sharpe Ratio 분석을 수행하였다. 분석결과, 오피스를 기반으로 한 복합자산 포트폴리오의 구성은 채권과의 혼합에서 가장 효율적인 것으