글로벌연기금의대체투자전망및 시사점 김병덕한국금융연구원 2015. 9 1
주요내용 글로벌연기금의대체투자현황 대체투자자산별트렌드및이슈 NPS 와의비교및대응전략 2
Asset allocation trends of global pensions 출처 : CEM Benchmarking Inc. 3
Asset allocation trends of global pensions Aggregate P7 asset allocation from 1995 to 2014 P7: Australia, Canada, Japan, Netherland, Switzerland, UK, US 출처 : Towers Watson and secondary sources 4
The larger pension funds, the more probable of alternative investments 출처 : CEM Benchmarking Inc. 5
However, the correlation between AI proportion and fund size is negligible. 출처 : CEM Benchmarking Inc. 6
Economies of scale in AI performance? Dyck and Pomorski(2013) Investor Scale and Performance in Private Equity Investments Plans with substantial PE holdings outperform investors with smaller PE holdings by up to 7.4% per year. Importance of scale in PE investments performance. 7
국민연금 (NPS) 의자산배분 단위 : 조원 8
국민연금 (NPS) 의자산배분 출처 : 국민연금 (NPS) 9
국민연금 (NPS) 의자산배분 10
국민연금 (NPS) 의자산배분 출처 : 국민연금 (NPS) 11
국민연금 (NPS) 의자산별수익률 12
국민연금 (NPS) 의자산별수익률 출처 : 국민연금 (NPS) 13
NPS 의대체투자자산구성 국내부동산포트폴리오배분현황 주 ) CBD= 도심권역, GBD= 강남권역, YBD= 여의도권역 14
NPS 의대체투자자산구성 국내인프라투자포트폴리오배분현황 전체투자현황 15
NPS 의대체투자자산구성 국내인프라투자포트폴리오배분현황 직접 / 위탁포트폴리오현황 16
NPS 의대체투자자산구성 국내인프라투자포트폴리오배분현황 투자형태및운영현황 17
NPS 의대체투자자산구성 국내인프라투자포트폴리오배분현황 직접 (BTO, BTL) 포트폴리오투자부문 18
NPS 의대체투자자산구성 국내기타대체투자포트폴리오배분현황 포트폴리오배분현황 ( 투자잔액기준 ) 19
NPS 의대체투자자산구성 국내기타대체투자포트폴리오배분현황 운용방식별비중 20
NPS 의대체투자자산구성 해외사모포트폴리오분산현황 지역별 21
NPS 의대체투자자산구성 해외사모포트폴리오분산현황 전략별 22
NPS 의대체투자자산구성 해외인프라포트폴리오분산현황 지역별 (NAV 기준 ) 23
NPS 의대체투자자산구성 해외인프라포트폴리오분산현황 지역별 (NAV 기준 + 잔여약정금액기준 ) 24
NPS 의대체투자자산구성 해외인프라포트폴리오분산현황 섹터별 (NAV 기준 ) 25
NPS 의대체투자자산구성 해외인프라포트폴리오분산현황 섹터별 (NAV 기준 + 잔여약정금액기준 ) 26
NPS 의대체투자자산구성 해외부동산포트폴리오분산현황 지역별 27
NPS 의대체투자자산구성 해외부동산포트폴리오분산현황 전략별 28
NPS 의대체투자자산구성 해외부동산포트폴리오분산현황 섹터별 29
연금자산구성의국가간비교 (2014) Pension asset allocation P7 in 2014 출처 : Towers Watson and secondary sources 30
Why do global pensions invest in AI? (survey, 복수응답가능 ) Motivation for Private Equity Investment 출처 : CEM Benchmarking Inc. 31
Why do global pensions invest in AI? (survey, 복수응답가능 ) Motivation for Real Estate Investment 출처 : CEM Benchmarking Inc. 32
Why do global pensions invest in AI? (survey, 복수응답가능 ) Motivation for Unlisted Infrastructure Investment 출처 : CEM Benchmarking Inc. 33
Behind motive; Ever growing global pensions anticipated risk premium CalPERS Increasing Risk Premium 출처 : Analysis by The Pew Charitable Trusts of U.S Treasury data and CalPERS Comprehensive Annual Financial Reports 34
Change of AI motive; less α(outperformance), more β(diversification) 출처 : Rose and Seligman(2014), Alternative Investments? State & Local Pension Portfolio Use and Performance 35
Recent Market Trend of Al assets (Towers Watson(2015)): PE Stable performance in both good and bad times <=> positive feedback <=> Buoyant fund raising and all time high price in US & Europe Downward pressure on fee over the long run : Fund of funds( ), Direct business purchase by large asset owners( ) Growing secondary market; increase of liquidity 36
Recent Market Trends Al assets: PE Maturing market with some longer dated funds; longer target holding periods(more than 12 years), charging lower fees Increased implementation options; more flexibility for sophisticated investors => NOT ONLY primary fund investment, BUT ALSO co-investing, secondary activity, strategic partnership with investors of large scale and quality governance 37
Recent market trends of Al assets : real estate A strong market like 2007 Double digit return, healthy spread relative to gov. bonds Low bond yield, low debt costs and high LTV environments Healthy rental growth in many markets Transaction volume at multi-year highs Record breaking fund raising (both speed and size) Question: Some speculative development to reemerge? 38
Recent market trends of Al assets : real estate Long lease property strategy in Europe appealing, except for weak supermarket sector Several core open end Asian property funds launched in spite to difficulties in core funds reaching a critical mass Growing interests for co-investments, joint venture, and direct deals More control and visibility on assets and pricing 39
Recent market trends of Al assets : real estate Growing interests for alternative property sectors Health care(demographics), residential/storage(urbanization), student assets, etc. Diversification against cyclicality of office sector Conclusion: Need to more patient and selective assuming a current peak time 40
Recent market trends of Al assets : Infrastructure Trend of co-investment and direct deal from investors continues, but growing interests for segregated accounts with traditional asset manager traditional asset manager to assist in asset execution(both origination and asset management) Often focused on areas where the asset owner would struggle to access without assistance of professional expertise. 41
Recent market trends of Al assets : Infrastructure Growing mid-market infrastructure already high price of larger market but, mid-market is getting more competitive Challenges in Gov. supported infra projects regulatory framework change perspective change about risk transfer between the public and private sectors 42
Recent market trends of Al assets : Hedge Funds Cons Criticism of high fees and dispersed returns (black box) CalPERS example Diminishing average managers skill level => relatively low benchmark returns Pros Top manager s α capacity still applicable? Construction of portfolio with differentiated strategy 43
Recent market trends of Al assets : Hedge Funds Evolution of hedge funds industry Compartmentalization of return/risk drivers and creation of alternative β α : manager skill bulk β : equity or credit alternative β : insurance premium, carry, volatility, momentum Hedge fund as an asset class => more granular return/risk driver approach 44
Recent market trends of Al assets : Hedge Funds Partnership around terms, strategy focus, implementation and idea sharing 45
Recent market trends of Al assets : Commodities Substantial volatility increase of commodity price over past 15 years Uncertain future outlook Uncertainty around demand and supply dynamics Oil market Supply; number of active US rigs Demand; growth prospect of developed and emerging economy 46
Recent market trends of Al assets : Real Assets Wider range of strategies and implementation routes Traditional farmland strategy; Cash-lease to operate farm Private Equity investments in agriculture across the whole value chain Investment in water: water rights, water infrastructure, club deal, direct investment, pooled funds Global timberland, livestock(beef), aqua-culture mixed strategy(water + agriculture) 47
Recent market trends of Al assets : Real Assets Sustainability is still important: ESG Stable Investment Demand Characteristics of strong down-side protection Demographic trend, food and resource hedge purpose of emerging economy(china, Russia) Direct investment from Sovereign Wealth Fund in farmland and agriculture 48
Recent market trends of Al assets : Illiquid Credit All closed-end fund with focus on credit direct lending, commercial real estate debt, mezzanine, distressed debt, etc. Distressed Debt Non-performing loan from banks(europe) US energy sector More competitive as investors consider taking on both greater illiquidity and risk in their credit portfolio 49
Issues and what to do?; Cost matters. 출처 : CEM Benchmarking Inc. 50
Issues and what to do?; Cost matters. 출처 : CEM Benchmarking Inc. 51
Issues and what to do?; Cost matters. 출처 : CEM Benchmarking Inc. 52
Issues and what to do?; Cost matters. Full Cost Disclosure of Dutch Funds New reporting standard in 2012 Denmark and Switzerland recently 출처 : CEM Benchmarking Inc. 53
Issues and what to do?; Cost matters. Benefit of Full Cost Disclosure Improved disclosure and transparency Understanding true costs can lead to better negotiation with managers Change of the proportion of portfolio company fees(or revenue) split; 0%(LP)/100%(GP)=>85%/15% May lead to more efficient investment vehicle selection 54
CalPERS 사례 55
CalPERS 사례 56
CalPERS 사례 57
CalPERS 사례 58
CalPERS 사례 59
CalPERS 사례 60
CalPERS 사례 61
Issues and what to do?; Proper benchmark and performance evaluations Underperformance of AI relative benchmark Why underperformance?; Imprecise Benchmark 출처 : CEM Benchmarking Inc. 62
Issues and what to do?; Proper benchmark and performance evaluations Current Benchmark of Global Pension 글로벌연기금의대체투자에대한벤치마크수익률을선정하는기준 사모투자전통자산시장 (public market) (56%) 피어그룹인덱스 (peer based) (29%) 부동산 피어그룹인덱스 (peer based) (64%) 물가상승률 (CPI based) (8%) 확정된명목수익률 (fixed nominal return) (8%) 인프라 물가상승률 (CPI based) 기준 (55%) 주식 / 채권수익률혼합 (mixed stock and bond) (14%) 상장된인프라투자 (listed infra) (9%) 확정된수익률 (fixed return) (5%) 채권수 익률 (5%) 출처 : CEM Benchmarking Inc. 63
Issues and what to do?; Proper benchmark and performance evaluations Flaws of the current benchmark Timing mismatches (e.g. lag synchronization) Smoothed Returns Un-investable benchmarks Leverage Mismatches Aspirational premiums Mismatch between regions, mix of sectors and etc. 64
Issues and what to do?; Proper benchmark and performance evaluations Overhaul of current benchmark NPS: BM 자체개발 65
Issues and what to do?; Risk Management of AI Investments Risk Management of AI investments Ex-ante RM vs Ex-post RM Ex-ante RM = Due Diligence= Investment Decision Who is responsible for what? Investment Staff vs. RM Staff Ex-post RM Limited tool Effectiveness 66
Issues and what to do?; Risk Management of AI Investments Ex-post RM Exposure limit from total portfolio perspective; Concentration risk 사후관리업무 ( 부동산등 ) Key Risk Indicators(KRI) monitoring Risk Coverage: 시장위험, 운영위험, 신용위험, 회수위험등 적정임계치 (Threshold levels) 설정 Green: Yellow: Red 신속, 정확한공정가치적용 67
Issues and what to do?; Risk Management of AI Investments KRI 사례 시장위험 IRR, 수익배수, NAV/ 순투자금액 시간가치고려여부, 투자총액 / 순액 레버리지위험 부채비율 운영위험 부동산 : 임대율, 준공지연, 비용증가 PE, 인프라 : EBITDA, 주가 68
Issues and what to do?; Risk Management of AI Investments KRI 사례 신용위험 투자대상 / 임차인의신용위험, 보장조건이행가능성 회수위험 회수지연가능성 환위험 환율변동 69
Issues and what to do?; Good governance Positive correlation of performance and governance index Listokin and etc.(2014), US public pension funds and alternative investments; Uneven Investment Policies, Uneven Results The size(aum) of pension fund is not predictor of good governance structure. Fund size does not predict stronger negotiating power in fees or success in returns 70
Issues and what to do?; Good governance Hidden Pitfall of AI Herding for AI investment criticism insurance prudent investor rule just follow what others do AI provides means for funds to limit information about performance Not as capable of being marked-to-market as publicly-traded investments Not easy to evaluate performance 71
Issues and what to do?; Organization and Staff manpower (CPPIB 사례 ) 이사회전문성 vs. 미국연기금 ( 대표성, 노동자대표등 ) Correlation of performance with governance 온타리오교원연금모델추종 10 명의 stewards(9: 주정부재무장관, 1: 연방정부재무장관 ) 의이사회멤버임명 외부기관의 outsourcing 의통한전문성강화 뉴질랜드슈퍼애뉴에이션펀드가 CPPIB 모델추종 ; 하이리스크 / 하이리턴추종, 80% 주식투자, 전문성에기반한높은위험자산비중 싱가폴국부펀드사례 72
CPPIB 스태프 1,000 여명 운용전담 : 400~500 명 나머지 : 언론홍보, 법률, IT, 오퍼레이션, 미디어등 해외오피스 ; 런던, 뉴욕, 홍콩, 상파울로 (2014) 위험관리 : Investment Risk(30 명 ), total portfolio management(60 명, 일부리서치겸임 ), enterprise risk(5 명 ) 73
CPPIB 직접투자 vs. 위탁투자 초기 100% 위탁투자 직접투자비중확대 Public market: 직접 70%, 위탁 30% 비용문제 Compensation 민간기관 (CPPIB acts); 보상문제의걸림돌없음. 보수관련 autonomy 핵심인력 : 200~300 만 $ 가능 이사회산하 compensation committee 보수비용 : 전체운용자산의 2bp 74
CPPIB ALM 운용자산으로총 liability의 10% 만커버 전체 ALM은정부의 chief actuary office가담당 대체투자 300 여명 staff 대부분 in-house 투자 매트릭스조직구조 : 지역별 / 자산별교차커버 Head of Int l Investment: 홍콩거주인사 Benchmark; 자체적지표개발 ( 퍼브릭인덱스참조, lagging) 75
CPPIB Active 한주주권행사 환헤지및회계 채권만 100% 헤지 포트폴리오의국가별 Currency risk exposure 비중 ; 미국달러 59%, Euro 16%, 영국파운드 6%, 일본엔 5%, 호주달러 4%, 홍콩달러 2% 등 분기별시가평가 일부자산에대한시가평가예외고민중 76
CPPIB 기타 10~15 년정도장기전략적자산배분 : 레퍼런스포트폴리오 Investment planning committee 에서대부분전략적자산배분및 risk budget 등주요의사결정 동산하 Investment dept decision committee 에서개별투자건결정 CEO 임기제한없음. 77
CPPIB 기타 타연기금에대한평가 ; 싱가폴국부펀드, 뉴질랜드슈퍼에뉴에이션, 호주퓨처펀드등호평가 유럽펀드 : 전반적위험회피경향, 노르웨이국부펀드 ( 투명성높지만규모너무커서어려움 ) 아부다비국부펀드 ; 스텝 1,500 명, 왕에대한 ALM^^ 78
감사합니다 79