스마트베타 위험요인 결합 투자전략에 관한 연구: 국면전환을 중심으로

This paper investigates the relationship between the profits of smart beta and macroeconomic and market cycles, considering that responses of factors of smart beta to the phases of the cycles are different from each other, thereby providing profits at different points in time. We present an heuristic and rule based factor allocation framework which properly utilizes the profit opportunities and examine the theoretical and practical implications. To examine the profit opportunities of the cyclical factors, we collected a wide range of macroeconomic and financial indicators and tested the explanatory power of the indicators on the systematic factors. The long intensity signal is constructed as a pre-specified function of the regimes, based on verified cycle related indicators. The expectation intensity weight in each factor is constructed proportional to this intensity signal. Comparing the performance of expectation intensity weighted portfolio with that of market benchmark, we found a significant improvement: annualized return increases from 10.26% to 20.69%, annual volatility (standard deviation) decreases from 18.94% to 12.09%, skewness increases from -0.44 to 0.20, and maximum drawdown decreases from -46.12% to -12.52%. The performance from different sample period, different rebalancing frequency and long-only factor based portfolios ensures the robustness of our empirical results. This implies that the factors of smart beta have considerable explanatory power in the long-term returns in Korean stock market. As this simple heuristic strategies can be transformed in various ways, thereby better fitting investors’ preferences, our results shed light on the prospects of Korean smart beta strategies.