Korea Investment Trust Management, No.1 Performance in 1-Year Retirement Pension Robo-Advisor Testbed

1-Year Top Average Cumulative Return and Sharpe Ratio
Cumulative Return 24.01% · Sharpe Ratio 2.58
Algorithmizing Asset Allocation Fund Operation Rules
Systematic Operation Process Enhances Algorithm Performance

Korea Investment Trust Management announced on the 16th that its "Robo-advisor for Retirement Pension Discretionary Services" (KimRobo) ranked first overall in both the average cumulative return and average Sharpe ratio among participating companies in the testbed. This achievement was made one year after starting operations in the robo-advisor testbed on December 11 last year.

According to the Koscom Robo-advisor Testbed Center, as of the 11th, the average cumulative return of all KimRobo algorithms managed by Korea Investment Trust Management recorded 24.01%. This is the highest figure among the average cumulative returns of all 17 participating companies that passed the "22nd Retirement Pension Robo-advisor Testbed Regular Review" conducted by Koscom. During the same period, the KOSPI total return index recorded -1.98%, and the KIS Composite Bond Index (AA- or higher) recorded a return of 9.06%.

The Sharpe ratio (risk-adjusted return), a key evaluation indicator in retirement pension investment, also showed remarkable performance. The average Sharpe ratio of all KimRobo algorithms was 2.58, ranking first among the 17 participating companies. Since retirement pension investment is a long-term investment, the risk-adjusted return is important to secure stable profits.

Korea Investment Trust Management is currently operating a total of 18 algorithms in the robo-advisor testbed since December last year for the ongoing "Innovative Financial Service (Financial Regulatory Sandbox) designation review for retirement pension discretionary services." KimRobo aims to achieve stable long-term returns by promoting itself as a "pension-appropriate robo-advisor." Algorithms were registered according to combinations of investment goals, investment universes, and investment styles. For each algorithm, one account is managed for each of the three investment tendencies: conservative, risk-neutral, and aggressive.

They apply a four-step operation process including Long-Term Capital Market Assumptions (LTCMA), Strategic Asset Allocation (SAA), Tactical Asset Allocation (TAA), and Actual Portfolio (AP) construction. At the membership registration stage, risk preference analysis and investment tendency classification are conducted through surveys, and at the algorithm type decision stage, additional surveys determine the combination of investment objectives, investment styles, and universes. Including the number of parameter cases selected for each investment objective, up to 246 different portfolios can be provided.

Kang Sung-soo, Executive Director in charge of solutions at Korea Investment Trust Management, explained, "The robo-advisor investment algorithms are not simply backtest results but are algorithms based on funds actually managed by the dedicated pension management headquarters using rule-based operations." He added, "Although the robo-advisor testbed return calculation period is one year, considering the fund management period, the actual operation period is much longer than the testbed period."

He also emphasized, "The management philosophy and verified process are the secrets that allow KimRobo to maintain an advantage over comparison groups."