공적 연기금의 글로벌 리츠(REITs) 편입 전략에 관한 연구: 국민연금기금을 중심으로

This paper introduces the characteristics of the global REIT market, which began in the United States in the 1960s, and the expected benefits it can bring to public pension fund investments. It also examines the strategies used by domestic public pension funds and mutual aid associations to incorporate global REITs into their portfolios. Global REITs have achieved various expected benefits, including favorable risk-adjusted returns over the medium to long term, through diversified investments in high-quality income-generating real estate and infrastructure assets worldwide. In particular, their quarterly and monthly dividend cash flows, combined with exchange rate gains, provide ample liquidity during global economic crises. This market presents a potential solution to key challenges facing public institutional investors, including the National Pension Service, such as asset liquidation. Key findings on global REITs include the following. First, it showed a low correlation with the returns of the National Pension Service’s stock, bond, and alternative investment asset classes. Second, it can significantly improve the National Pension Service’s excellent risk-adjusted performance by reducing risk while significantly increasing returns within its existing portfolio. Third, a comparative evaluation of three inclusion methods revealed that the new sub-asset class within the existing foreign stock asset class was included, with the appropriate proportion being calculated to be 11% of the fund’s total portfolio. Fourth, it was confirmed that the new sub-asset class could serve a defensive function during the historical downside risk periods of the National Pension Service’s fund returns in 1997, 2000, 2008, and 2018. Finally, it was confirmed that the National Pension Service could postpone and reduce the scale of large-scale asset liquidation for pension payments that it will face in the future. In conclusion, it is judged that domestic pension funds and mutual aid associations, including the National Pension Service, should promptly establish a systematic investment strategy for global REITs, expand the investment scale to a certain level, and then maintain it stably. They should actively utilize global REITs as a core means of a liability-driven investment (LDI) strategy to secure long-term debt cash flow for pension benefits.