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A Study on the Investment Strategy using Correlations between Oil Fund and Russian Fund
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원유펀드와 러시아펀드 간 상관성을 활용한 투자전략의 효율성에 관한 연구

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Type
Academic journal
Author
Jae-Seung Baek (한국외국어대학교) Minkwan Kim (광운대학교) Myeong-Hoon Yeom (키움증권 리테일전략팀)
Journal
한국기업경영학회 기업경영연구 기업경영연구 제27권 제5호 KCI Accredited Journals
Published
2020.1
Pages
75 - 97 (23page)

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A Study on the Investment Strategy using Correlations between Oil Fund and Russian Fund
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This paper starts with the question, “Why won't oil funds make money when oil prices go up?” From January 4, 2016 to July 21, 2020, international oil prices rose 14%, while Samsung Asset Management's crude oil fund, which is sold in Korea, rost -50%. During the same period, the Russian stock index returned 68% and Kiwoom Asset Management Russia fund returned 68%. Oil funds investors are investing with the expectation that oil funds returns will rise if international oil prices rise, but the reality was different. Crude oil funds are usually operated using derivatives such as crude oil futures. Rollover costs are incurred in the roll-over process when crude oil futures expire. Rollover costs, trading costs, currency hedge costs, and fund remuneration lower crude oil funds returns. Russia funds invests in the Russian stock market do not incur rollover costs. In addition, the Russian stock market generates dividend income of 4-5% per year, which contributes to a rise in Russia funds yield. Therefore, if there is a significant positive correlation between oil funds and Russia funds, investors may be able to increase their investment efficiency by investing in Russia funds instead of oil funds. According to previous studies, the spot price of crude oil has a positive effect on the Russian stock index and currency value. In this paper, based on the previous research, it is found that the investment performance of Russian fund is higher than that of oil fund due to investment cost and management method. In this study, investigating the problems of fund investment in accordance with fund management and cost structure and suggesting alternative investment were thought to contribute to investors and academia. The results of empirical analysis using VAR model and Granger causality test are as follows. First, oil fund yield fluctuations had a significant positive effect on Russia fund yield fluctuations. However, fluctuations in Russia fund yields did not contribute to oil fund returns. Second, looking at the investment performance of crude oil fund and Russia fund using the Sharpe index, we can confirm the superiority of Russia fund. As a result of dividing the entire sample into two, the Sharpe index of Russia fund was higher than that of crude oil fund. In addition, because of investment costs, the Sharpe index of crude oil fund was lower than the Sharpe index of oil spot price. On the other hand, the Sharpe index of Russia fund was higher than that of Russian stock index. This is because Russian fund was investing in the spot market, and there was no rollover and dividend income was generated. This study suggests that in the management of funds for financial institutions and pension funds, it conveys significant points of investment in raw materials and suggests strategies to increase investment efficiency.
#그랜저 인과관계 #러시아펀드 #샤프지수 #원유펀드 #펀드투자성과

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강경훈 / 2011 / 금융투자업 종사자 보수체계의 비대칭성과 투자 쏠림현상 / 재무연구 24(2):455~481 dbpia 김병준 / 2017 / 한국과 러시아의 무역수지 변동과 주식시장수익률의 상호간 영향력 분석 / 상업교육연구 31(4):69~88 Crossref 김영진 / 2008 / 러시아의 에너지 정책과 그 과제 / e-Eurasia 4:60~65 google schola 백재승 / 2018 / 러시아 금융시장과 국제유가의 상호연관성에 관한 연구: 그랜저 인과성 검증을 중심으로 / 기업경영연구 25(2):59~78 dbpia 송주명 / 2013 / 에너지이행과 국제천연가스질서: 셰일가스와 미국의 가스패권 / 한국정치연구 22(2):275~302 google schola

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