기간스프레드를 이용한 글로벌 자산 배분의 효용성 = Term Spreads and Global Asset Allocations in Korea

국문 초록 (Abstract)

본 연구는 장단기 국채이자율의 차이로 정의되는 기간스프레드, 그리고 기간스프레드를 분해한 기대단기이자율과 기간프리미엄을 활용한 자산배분의 유효성을 검증한다. 구체적으로 한국의 투자자를 기준으로 한국과 해외(미국)의 채권 및 주식의 비중을 결정할 때, 채권에 내재된 정보가 전략적 자산배분(strategic asset allocation) 및 전술적 자산배분(tactical asset allocation)에 유용한 정보로 활용될 수 있는지 다양한 자산배분 원칙을 적용하여 분석하였다. 연구에서 활용되는 기간스프레드의 분해방법은 FRB 등 주요 국제 금융기관에서 활용하는 Adrian, Crump, and Moench(2013) 방법론을 차용하였으며, 각 요인의 주식 및 채권 수익률에 대한 선형 예측력 및 요인을 활용한 자산배분전략의 수익성을 실제 수익률 자료를 이용해 검증하였다. 연구결과에 의하면, 한국과 미국에서 기간스프레드가 가지는 정보력의 차이가 존재하기는 하였으나, 기간스프레드 및 기대단기이자율을 활용했을 때, ‘1/N 투자전략’ 및 ‘사후적 동일 투자비중 포트폴리오’보다 높은 초과 수익률 및 높은 샤프비율을 얻을 수 있음을 확인하였다. 이러한 결과는 금융위기를 제외한 투자기간 및 환위험을 고려한 이후에도 강건하게 관찰되었다.

다국어 초록 (Multilingual Abstract)

This paper investigates the effectiveness of asset allocation strategies using term spread and its components: expectation for future short-term interest rate and term premium. Previous studies have confirmed that term spreads, defined as the difference between interest rates of long- and short-term treasury bonds, have the predictive power for future economic activities. Here, the term spreads can be decomposed into the expectation for future short-term interest rates and term premium for future uncertainty. As such, the predictive power of term spreads is interpreted as the role of the former component: expectation for future short-term interest rates because the short-term interest rate is determined by current economic conditions as well as monetary policies. If the economic downturn in the future is expected, investors believe the decline in short-term interest rate and thus the long-term interest rate will also decline (Estrella and Adrian, 2008). In addition, risk-averse investors require more compensation for higher uncertainty as the maturity becomes longer. The level of compensation is determined by the risk appetite of investors and the expectation for future uncertainty. Through this channel, it is possible that term spreads predict the future stock and bond returns.
The extant literature including Fama and French (1989), Chen (1991) and Hjalmarsson (2010) shows the predictive power of term spreads for future stock returns. They all insist that the predictive power is attributed to the ability for term spreads to predict the future economic activities. In this paper, we focus on the usefulness of term spreads in constructing a better strategic asset allocation strategy, based on the predictive power for future stock and bond returns. Here, investors determine global portfolio weights using the relative size of term spread and its components. In addition, we further study the profitability of the asset allocation strategies based on decomposing the term spreads into expectation for future short-term interest rates and term premium, as shown in Adrian et al. (2013).
Using the monthly data of stock and bond index returns in Korea and US during the period from January 2014 to April 2018, we find that expectation for future short-term interest rates predicts the returns on short-term treasury bonds. However, the returns on mid- and long-term treasury bonds are predicted by term premium rather than the expectation for future short-term interest rates in both countries. The predictive power for US bond returns disappears with the adjustment of exchange rate. For stock index returns, the term spreads positively predict future returns in Korea, but do not predict significantly in US. Only when the exchange rate is adjusted, the term premium can negatively predict future stock returns in US.
In addition, the strategies using term spreads and expectation for future short-term interest rate make higher abnormal returns and Sharpe ratios than ‘1/N strategy’ and ‘ex post average weighted strategy’. The abnormal returns and Sharpe ratios of the strategies using term spreads and term premiums are higher than those of the strategies using expectation for future short-term rates. These results are robust even for the period after financial crisis and for the adjustment of exchange rate, which supports the usefulness of information implied in term spreads for a global asset allocation.

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