초록 열기/닫기 버튼
최근 근로자퇴직급여보장법의 일부개정을 통하여 영세근로자의 안정적인 투자수익률 제고를 위해 집합투자확정기여형퇴직연금제도(Collective DC: CDC)인 중소기업퇴직연금기금제도를 도입하였다. 특히, 중소기업퇴직연금기금과 같이 공적 성격이 강한 CDC 연기금의 경우 제도 도입의 효과를 제고 하기 위해 최소보장수익률 제공을 고려할 필요성이 있다. 본 연구는 CDC 연기금이 최소보장수익률을 제공할 경우 포트폴리오보험(Portfolio Insurance: PI) 전략을 투자전략으로 선정하고 유형별 PI전략을 적용할 경우 보증준비금과 이율보증부담률을 낮추기 위해 적합한 투자전략을 제시하였다. 보증준비금 산출 모형은 변액연금보험에서 사용하는 방법론을 활용하였으며, 적립금평가액 산출을 위해 기존의 CPPI, TIPP 전략과 TIPP 전략을 확장한 “(가칭)Flexible Portfolio Insurance(FPI)”전략을 적용하였다. 통계적 시나리오분석 결과 투자의 하방리스크를 강화하는 TIPP 전략이 가장 낮은 보증준비금을 보인 반면, 위험자산 가격흐름에 유연하게 대응하는 FPI 전략이 상승국면을 제외한 모든 시장국면에서 낮은 이율보증부담률을 보였다. 즉, 보증준비금은 투자전략의 하방리스크와 대칭적으로 발생하는 반면, 이율보증부담률은 절대 운용성과와 비대칭적인 관계를 보였다. 이러한 관점에서 CDC 연기금이 가입자에게 최소보장수익률 제공을 고려할 경우 합리적인 최소보장수익률 수준의 설정 못지않게 투자전략 선정의 중요성을 확인하였다. 따라서 본 연구를 바탕으로 향후 폭넓은 접근방법에 의한 실증연구는 지속되어야 하며, 이러한 다양한 투자전략에 대한 연구는 CDC제도의 역할 향상에 기여할 것으로 사료된다.
The retirement pension fund of SMEs as a Collective Defined Contribution (CDC) plan was recently introduced through partial revision of the “Law of Employment Retirement Benefit Security” to raise a stable investment return for the low-income earners. Taking its public characteristic into account, the retirement pension fund of SMEs particularly needs to consider providing minimum guaranteed interest rate for the pension plan members in order to enhance its introduction effects. In this context, this study suggests the suitable Portfolio Insurance(PI) strategy to produce the smaller guaranteed reserve and burden rate of guaranteed return, defined by minimum guaranteed payment over portfolio value of plan asset, when it comes to applying the PI strategies being selected. PI strategy has a characteristic of downside protection and upside dynamic participation in investing risky assets. The methodology applied to variable annuity insurance was employed to calculate guaranteed reserves. The existing Constant Proportion Portfolio Insurance(CPPI), Time Invariant Portfolio Protection(TIPP) as well as “(tentatively named)Flexible Portfolio Insurance(FPI)” investment strategy expanding TIPP were used to get investment portfolio value. FPI strategy is to apply risk multiplier coefficient reflecting risk preference level and minimum preservation rate related to loss tolerance limit of investor, which are actively adjusted by the previous movement of risky asset price. The results of statistical scenario analysis are as follows. Firstly, in the investment performance of pension assets, even if FPI strategy showed slightly low performance compared to CPPI strategy in bull market phase, it all outperformed CPPI and TIPP strategy in other market phases. Secondly, as the results of analysis on guaranteed reserve and burden rate of guaranteed return, TIPP investment strategy to strengthen downside protection showed the smallest guaranteed reserve, while FPI investment strategy brought about the smaller burden rate of guaranteed return than other PI strategies in all market phases excepting bull one. This study shows that guaranteed reserve grows with increasing in downside risk of investment strategy, while burden rate of guaranteed return goes asymmetrically with absolute investment return. In this sense, in case of providing guaranteed return in CDC plans, it means that selecting investment strategy is just as important as making a decision on minimum guaranteed interest rate. Therefore, on the basis of this study, more studies with widen access going forward are required, and empirical study on the various investment strategies would contribute to improve the function of CDC plans.
키워드열기/닫기 버튼
CDC, Guaranteed Return, Guaranteed Reserve, Burden Rate of Guaranteed Return, Portfolio Insurance Investment Strategy
