서강대학교

초록/요약

Research on risk management through Regular savings plan - focused on Value averaging and Rebalancing Scheme - Recently, Korean household assets have shifted their preference towards investment type of asset from safe assets. However, the researchers found that in reality, there are only few investors who fully understand expected return or risk of investing in regular savings plan. The major advantage of investing in regular savings plan is that it reduces overall purchasing price through regular amount investment (Cost Averaging Effect), however, there are many hidden risk factors such that: the advantage is diminishing over the long term period, there is a good chance of losing the principal because it usually invests on equities (especially when invested for a short period), and as investment horizon widens, purchased units accumulate and it could pose greater market risks on the investments. The objectives of this thesis(dissertation) is to organize the concept and structure of regular savings plan in theory, evaluate past KOSPI Market’s Cost Averaging investment performance in various ways in order to objectively deduct regular savings plan’s performance and its underlying risks, and finally prove if these underlying risks are manageable/controllable, by running simulations of four types of investment schemes (approximately 19 years of data from January 1st, 1990 to April 30th, 2009 on Value Averaging, Rebalancing, ROR, Life-cycle) on the past KOSPI market. Regular savings plan performance analysis in KOSPI market used the method of averaging daily rolling return to analyze return and risks. The result of ‘Investment Horizon Analysis (one to ten years)’ showed that investment horizon does not have an effect on the return. Also, longer the investment horizon, the volatility on return became greater and risks became higher, hence the risk premium associated with investing in equities and long-term investment strategy did not guarantee extra returns. ‘Investment Horizon Analysis’ showed extending the investment horizon does not have any effect on the return of investment, and ‘Market Timing Analysis’ also showed that Market Timing does not have a significant effect on the return. Value Averaging Scheme was proven to be effective in increasing investment performance. There are two investment horizon of 3 year and 5 year-period analyzed and in every facet, Value Averaging Scheme outperformed Regular Cost Averaging Scheme(CA), but showed high volatility risk when analyzed with increased maximum return. When this scheme was used, the probability of loss on principal was lessened by 6%p for 3 year-period and 12.06%p for 5 year-period. Rebalancing Scheme was analyzed by 5 year, 10 year-period, and the investment performance showed that there were no difference between Cost Averaging method and the Rebalancing Scheme. By using Rebalancing Scheme, the volatility on return and the probability of loss on principal were greatly reduced, especially for the case of 10 year-period, in which the probability of loss on principal was 0%. Both ROR Scheme and Life-Cycle Scheme also showed that two methods are effective in reducing risks. In analyzing ten possible scenarios of stock indexes, Rebalancing or ROR scheme showed better performances than Cost Averaging or Value Averaging schemes, and Life-Cycle Scheme performed above average in most of the scenarios. Risk-adjusted return calculated by using average return and volatility of ten scenario samples was in the order of following: Rebalancing > VA > Life-Cycle > CA > ROR.