Journal of Cadastre & Land InformatiX (지적과 국토정보)

LX Spatial Information Research Institute (한국국토정보공사 공간정보연구원)
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A Study on the Yield Rate and Risk of Portfolio Combined with Real Estate Indirect Investment Products

부동산간접투자상품이 결합된 포트폴리오의 수익률과 위험에 관한 연구

  • 최숙현 (전주대학교 부동산학과) ;
  • 김종진 (전주대학교 부동산학과)
  • Received : 2019.04.08
  • Accepted : 2019.06.18
  • Published : 2019.06.30
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Abstract

Until recently, most people have invested in a traditional portfolio consisting of stocks, bonds and real estates based on the three-division method of properties in Korea. However, this study analyzed the impact of the composition of a portfolio combining representative real estate indirect investment products such as Reits and real estate funds on the investment performance. For this purpose, the empirical analysis using the mean variance model, which is the most appropriate method for the portfolio composition, was used. For variables used in this study, mixed asset portfolios were classified into Portfolio A through Portfolio G depending on the composition of assets, and the price indices selected as Kospi, Krx bond, Reits Trus Y7, Hanwha-Lasal fund, and Office (Seoul). The results are as follows; first Portfolio D, which combined bonds, stocks, Reits and Real Estate funds, and Portfolio G, which added the office, the actual real estate, were shown to have the lowest risk. second, Portfolio B composed of bonds, stocks and Reits and Portfolio D with added real estate funds had the lowest risk while Portfolio F composed of bonds, stocks, offices and real estate funds, and Portfolio G with added Reits were the most profitable. As a result, it has been analyzed that it was more effective to compose a portfolio including Reits and real estate funds, which were real estate indirect investment products that eliminated the illiquidity limitation of real estates than real estates, the traditional three-division method of properties. Therefore, it is possible to minimize the risk of investors and reduce the cost of ownership of the real estate by solving the illiquidity problem that is the biggest disadvantage of the direct investment, In addition, it is considered that it is more necessary to reinvigorate the real estate indirect investment market where small amounts can be invested.

본 연구는 최근까지 우리나라는 재산 3분법을 바탕으로 주식, 채권, 실물부동산으로 구성된 전통적인 포트폴리오에 투자하는 것이 대부분이었으나, 포트폴리오 구성시 대표적인 부동산 간접투자상품인 리츠, 부동산펀드 등을 복합적으로 구성한 결과가 투자성과에 미치는 영향을 분석하였다. 이를 위하여 포트폴리오 구성의 가장 적합한 방법인 평균분산모형을 이용한 실증분석을 하였다. 사용변수는 복합자산 포트폴리오를 보유 자산의 구성에 따라 Portfolio A~Portfolio G까지 분류하였으며, 가격지수는 KOSPI, KRX BOND, REITs(TRUS Y7), FUND(HanwhaLasal), OFFICE(Seoul)로 선정하였다. 연구결과는 다음과 같다. 첫 번째의 경우 채권, 주식, 리츠와 부동산펀드가 결합된 Portfolio D와 실물부동산인 오피스가 추가된 Portfolio G의 위험이 가장 낮은 것으로 나타났다. 둘째, 채권, 주식, 리츠로 구성된 Portfolio B와 부동산펀드가 추가된 Portfolio D가 위험이 가장 낮은 것으로 나타났고, 수익률의 경우 채권, 주식, 오피스와 부동산펀드로 구성된 Portfolio F와 리츠까지 편입된 Portfolio G가 가장 높은 것으로 나타났다. 결과적으로 전통적인 재산 3분법으로 구성된 실물부동산 보다 부동산의 비유동성 한계를 제거한 부동산간접투자상품인 리츠와 부동산펀드를 포트폴리오에 구성시 더 효과적인 것으로 분석되었다. 따라서 직접투자의 가장 큰 단점인 비유동성 문제를 해결하여 투자자의 위험을 최소화할 수 있고, 부동산의 소유에 따른 비용을 절감할 수 있으며, 소액으로도 투자가 가능한 부동산 간접투자시장의 활성화가 더욱 필요할 것으로 보인다.

Keywords

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Figure 1. Variation Trends in KOSPI and KRX BOND

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Figure 2. Variatio Trends in REITs (TRUS Y7) and KRX

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Figure 3. Variation Trends in FUND (Hanwa Lasal) and KRX BOND

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Figure 4. Variation Trends in OFFICE (Seoul) and KRX BOND

Table 1. The Serialization of Real Estate Indirect Investment laws.

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Table 2. Overview of Assets to be Analyzed

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Table 3. Basic Statistics for Individual Assets

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Table 4. Portfolio Configuration

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Table 5. Minimum Variance Portfolio

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Table 6. Optimal Risky Portfolio

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