스마트-베타 포트폴리오의 변동성관리에 관한 연구

• 영문명: A Study on Volatility Management of the Smart-beta Portfolio: Focus on Asia-Pacific Stock Market
• 발행기관: 강원대학교 경영경제연구소
• 저자명: 유원석(Won-Suk Liu)
• 간행물 정보: 『아태비즈니스연구』제10권 제3호, 37~51쪽, 전체 15쪽
• 주제분류: 인문학 > 문학
• 파일형태: PDF
• 발행일자: 2019.09.30

영문 초록

In this paper, we investigate the performance of anomaly factors in Asia-Pacific Stock market and show the higher Sharpe ratio of the volatility managed smart beta portfolio. The smart beta portfolio combines the benefit of passive strategy and active strategy. However, the smart beta portfolios are seems to be exposed to the risk of anomaly factors from the perspective of traditional financial equilibrium model. Therefore, the smart beta strategy may generate negatively skewed returns unappealing to investors having lower risk tolerance. Our empirical investigations find that the return of the Asia-Pacific region stock market is more volatile than other regions with the lower efficiency ratio. However, the value factor and the momentum factor of Asia-Pacific region both show good performances. More interestingly, we also find that managing the volatility of the momentum factor in Asia-Pacific stock market almost doubles the efficiency ratio.

목차

Ⅰ. 서론

Ⅱ. 스마트 베타 전략과 위험

Ⅲ. 변동성 위험관리 모형 및 가설제시

Ⅳ. 실증분석

Ⅴ. 결론

키워드

Asia-Pacific Stock Market Factor Portfolio Risk Management Smart Beta Portfolio Volatility Targeting