대체투자 펀드지수의 활용가능성과 자산배분에서의 실효성

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.