이 연구는 국민연금 재정추계에서 가정한 기금 운용수익률 또는 요구수익률의 타당성을 검토하였다. 이 연구는 재정추계의 요구수익률 설정은 자산시장에서의 위험을 고려하지 않음으로써, 재정건전성을 과대평가할 가능성이 있음을 제시하였다. 최적화 모형을 이용하여 요구수익률 실현 가능성을 검토한 결과 목표수익률을 높이기 위한 포트폴리오 위험 증가가 장기적인 요구수익률을 달성하는데 제약으로 작용할 수 있음을 확인하였다. 따라서 자산시장의 기대수익률이 하락하는 상황에서 위험자산 비중 증가를 통한 자산배분 전략의 변화만으로 장기 요구수익률을 실현하지 못할 수 있음도 제시하였다. 이러한 연구 결과는 국민연금의 경우에도 일반적인 수익률의 기대치와 위험 사이의 상충관계가 존재하는 것을 구체적으로 확인할 수 있음을 지적하여, 장기투자자가 수익률 제고를 목표로 하는 경우 위험 감수에 따른 상반된 영향을 고려해야 함을 제시하였다는데 의의가 있다. 또한 이 연구는 정책적인 관점에서 국민연금의 재정추계 결과가 노후보장을 위한 세대간 부담을 결정하는 국민연금 제도 개편과 연관되는 것이니만큼, 자산시장의 환경을 반영하여 합리적으로 기금 운용수익률이 설정되는 것이 중요함을 지적하였다는 의의가 있다.

This study evaluates the rationality of the assumption on the expected returns of National Pension Fund by `the National Pension Fiscal Projection Committee` in 2013. Though the assumption on the expected returns is one of critical factors for evaluating the fiscal soundness of National Pension Fund, it has not been set up with fully considering current financial asset markets. This study indicates that the assumption did not consider the risk of financial markets so that it might over-evaluate the fiscal soundness of National Pension Fund. This study highlights that the fund can not increase the risk un-limitedly for accomplishing the objective returns or required returns by the National Pension Fund fiscal projection. Though the higher ex-ante risk in portfolio may induce the higher short-term expected returns, the increased volatility may cause the decrease of long-term accumulated portfolio returns. The reason is as follows; The increase of portfolio risk will increase the probability that the gap between ex-ante expected return an ex-post realized returns would widen. Then the wider gap between two returns also increase the probability that the long-term average returns will be lower than the short-term expected returns. Therefore, the increase of portfolio risk for higher expected returns may result in the counter-factual effect on decreasing the long-term average returns. This study analyzes the results of asset allocation optimization under the assumption of various financial asset markets by using some of optimal asset allocation models including Markowitz Model. Especially, considering the relationship between portfolio risk and long-term expected returns, this study evaluates the probability that the results of optimized asset allocation can meet the required returns of National Pension Fund which the National Pension Fiscal Projection Committee` assumed in 2013. The results show that it is less probable for National Pension Fund to meet the required returns even with considering all plausible asset allocation strategy. Under the current situation of decreasing expected returns of all asset classes, the higher portfolio risk strategy may have the long-term returns decrease by enlarging the gap between expected short-term returns and realized short-term returns and then lowering the accumulated returns, even if it may increase the short-term expected returns of portfolio. This suggests that the fiscal projection of National Pension Fund need to correct the assumption of expected or required returns in responding to the changing financial asset markets, and then re-evaluate the fiscal soundness of National Pension Fund. The fiscal soundness of Nation Pension fund is important in terms of income allocation between the generation, rather than depletion of fund itself. The mistaken evaluation on fiscal soundness may keep the implausible contribution-benefit system of National Pension, making impact on the distortion of intergenerational income allocation. The results of this paper imply that the National Pension System should be changed for fairness of intergenerational allocation, rationalizing the assumption of expected returns on the National Pension Fund and correcting the evaluation on the fiscal soundness of National Pension Fund.