잉여금 최적화(Surplus Optimization)를 활용한 확정기여형 퇴직연금의 목표연계투자 전략

The investment strategies of DC pension schemes are more important than DB pension schemes because the benefits are not guaranteed and employees have to take the investment risk. We categorize the investment goals of DC pension funds: essential goal, conservative aspirational goal and aggressive aspirational goal. And then, for each goal we apply mutually independent goal-based investment strategy using surplus optimization. The proposed portfolio to meet essential goal is mainly comprised of domestic bonds which have the lowest volatility and the highest Sharpe ratio(95.37% domestic bonds, 2.66% global bonds, 1.83% domestic equities and 0.14% global equities). The proposed portfolio to meet aggressive aspirational goal is only comprised of equities(66.76% domestic equities and 33.24% global equities). The proposed portfolio to meet conservative aspirational goal is comprised of domestic bonds and equities(57.30% domestic bonds, 25.44% global equities and 17.26% domestic equities). We employe quantitative analysis on the basis of Monte Carlo simulations to verify probability of not meeting the threshold level of each goal in different investment horizons. A good investment strategy for DC pension schemes will minimize the probability of not meeting goals regardless of the future performance of financial markets. The aspirational assets(high risk/high potential return) increase the risk in a short term and also increase stability and surplus in the long term. Lastly, this goal-based investment strategy could largely contribute to the long-term wealth management, in particular combining with IT platform and FinTech.