리스크 기준 포트폴리오 리밸런싱의 성과

초록

This paper examines the effectiveness of a risk-contribution rebalancing strategy in reducing portfolio volatility by maintaining a constant contribution of individual assets to the total risk within the portfolio. The study analyzes a five-asset portfolio consisting of domestic equities, domestic bonds, foreign equities, foreign bonds, and commodities. The empirical results reveal that the risk-contribution rebalancing strategy is effective in reducing volatility when there is a low degree of risk concentration among assets. However, when specific assets exhibit high degree of risk concentration, the risk-contribution rebalancing strategy may not effectively reduce volatility and could even increase it. This finding holds even when the asset class is expanded to include crypto assets or equity sector indices. Therefore, unlike the traditional value-based rebalancing strategies that consistently demonstrate a reduction in volatility, regardless of portfolio characteristics, the use of risk-contribution rebalancing strategies requires a careful consideration of portfolio characteristics.

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