@article{ART001975059},
author={Roh, Sangyoun},
title={A Study on the Customized Benchmark Indices of Domestic SOC Investment},
journal={Korea Real Estate Review},
issn={2092-5395},
year={2015},
volume={25},
number={1},
pages={89-104}
TY - JOUR
AU - Roh, Sangyoun
TI - A Study on the Customized Benchmark Indices of Domestic SOC Investment
JO - Korea Real Estate Review
PY - 2015
VL - 25
IS - 1
PB - korea real estate research institute
SP - 89
EP - 104
SN - 2092-5395
AB - The purpose of this study is on how to make the Customized Benchmark(CBM) Indices that is for use in evaluating the short-term, mid-term and long-term performance by the investors who are participating in the domestic SOC(Infrastructure) investment market. It suggests the four ways to create a kind of synthetic indices to reflect the properties of the holding portfolio of the investor. In addition, it shows that virtually calculate the CBM to reflect the characteristics of the MKIF’s portfolio and use them, I could evaluate the short-term, medium-term and long-term excess performance. The major findings of this study are as follows. First, the CBM should be make more reasonably to reflect the investor's investment strategy, vehicles and types. Second, the equity type BM should be determined by the equity risk premium reflected to the resonable beta of the equity and the market risk premium, at the same time, the loan type BM should be determined by the loan risk premium that is the sum of the credit risk and liquidity risk of the bond market. Third, we need the measures to reflect the characteristics of the alternative investment asset class, having a J-curve effects and long-term horizon, to evaluate the long-term investment perspective by calculating the BM, using a five-year moving average of the yield time series of stock and bond markets. The results of this study could be very useful when you need more rational benchmark for performance evaluation of SOC portfolio for the long-term investment-oriented funds or company such as pension funds, asset management companies, life insurance or whole life insurance company.
KW - SOC(Social Overhead Capital);Infrastructure;Benchmark;Performance Evaluation
DO -
UR -
ER -
Roh, Sangyoun. (2015). A Study on the Customized Benchmark Indices of Domestic SOC Investment. Korea Real Estate Review, 25(1), 89-104.
Roh, Sangyoun. 2015, "A Study on the Customized Benchmark Indices of Domestic SOC Investment", Korea Real Estate Review, vol.25, no.1 pp.89-104.
Roh, Sangyoun "A Study on the Customized Benchmark Indices of Domestic SOC Investment" Korea Real Estate Review 25.1 pp.89-104 (2015) : 89.
Roh, Sangyoun. A Study on the Customized Benchmark Indices of Domestic SOC Investment. 2015; 25(1), 89-104.
Roh, Sangyoun. "A Study on the Customized Benchmark Indices of Domestic SOC Investment" Korea Real Estate Review 25, no.1 (2015) : 89-104.
Roh, Sangyoun. A Study on the Customized Benchmark Indices of Domestic SOC Investment. Korea Real Estate Review, 25(1), 89-104.
Roh, Sangyoun. A Study on the Customized Benchmark Indices of Domestic SOC Investment. Korea Real Estate Review. 2015; 25(1) 89-104.
Roh, Sangyoun. A Study on the Customized Benchmark Indices of Domestic SOC Investment. 2015; 25(1), 89-104.
Roh, Sangyoun. "A Study on the Customized Benchmark Indices of Domestic SOC Investment" Korea Real Estate Review 25, no.1 (2015) : 89-104.
