Baltic Dry Index와 Interest Rates를 반영한 포트폴리오 선정 모형의 설계와 투자성과 분석

Abstract

This study suggests improved investment strategy based on Markowitz’s portfolio selection model reflecting the two economic indicators: Baltic Dry Index (BDI) and interest rate. We propose BDI portfolio selection model and IR portfolio selection model reflecting the BDI and the interest rate respectively, which are based on the Markowitz’s model. First, the two portfolio selection models actively adjust the total proportion of capital invested in risky assets conservatively or aggressively on the rebalancing date depending on the BDI growth rate and the interest rate, respectively. Next, the two models actively adjust the proportion of capital invested in each risky asset, depending on the BDI sensitivity of each stock and the interest rate sensitivity of each stock. We empirically evaluate the performance of the proposed models in 12 different stock markets using historical stock return data. During the 11 years investment period from 2009 to 2019, the proposed BDI portfolio selection model and IR portfolio selection model outperformed the classic Markowitz’s portfolio model for all performance measures. This paper is differentiated from previous literature on portfolio selection models in that we propose the new portfolio selection models reflecting the BDI and the interest rate, which are the leading macro indicators but has not been covered in the previous literature.