주식 시장과 원자재 시장을 활용한 포트폴리오 선정 모형의 투자 성과 분석

This study empirically proves the superiority of Fund-H, which has been built on the basis of Markowitz portfolio selection model. We use 49 stock items and 22 commodity items for 20 years to check the performance of Fund-H and benchmarks. We first compare the expected annual return rate of the stock market and the commodity market, then invest on the market with the higher expected return rate. Exponentially weighted moving average method has been used to calculate the expected return rate, thus calculating the optimal investment weight for each items. Also, unlike previous studies related to Markowitz portfolio selection model, we use median method instead of mean method to estimate the return rate for each market. As a result, Fund-H shows higher performance than the benchmarks among cumulative return rate, Sharpe ratio, Sortino ratio, and Calmar ratio. Based on the result, this study not only shows that including commodity market on the portfolio can be effective, but also suggests a concrete framework for the investment on stock market and commodity market.