4분기 GDP효과를 반영한 포트폴리오 선정 모형의 투자 성과 분석

Abstract

This study suggests an improved investment strategy based on Markowitz’s portfolio selection model reflecting the “End-of-the-Year (EOY) Effect”, a strong negative correlation between end-of-the-year global GDP and average stock returns. We propose three GDP portfolio selection models reflecting the EOY Effect, which are based on Markowitz’s model. First, GDP portfolio selection model 1 actively adjusts the total proportion of capital invested in risky assets conservatively or aggressively on the rebalancing date depending on the end of the year global GDP. The GDP portfolio selection model 2 actively adjusts the proportion of capital invested in each risky asset depending on the GDP sensitivity of each stock. Lastly, GDP portfolio selection model 3 is a combination of the two models. We empirically evaluate the performance of the proposed models in the US, UK, Australia, and Hong Kong stock markets using historical stock return data. During the 11-year investment period from 2009 to 2019, the proposed GDP portfolio selection models outperformed the classic Markowitz’s portfolio model in performance measures, especially in terms of Sharpe ratio. The GDP portfolio selection model 3 achieved the highest Sharpe ratio because of an interaction effect caused by the combination of the two models. This paper is differentiated from previous literature on portfolio selection models in that we propose the new portfolio selection models reflecting GDP, which is one of the key macroeconomic indicators that have not been covered in previous literature.