Gaining a Seat at the Table: Enhancing the Attractiveness of Online Lending for Institutional Investors
提出一种基于贷款特征直接建模投资组合权重的方法（GCPP），利用LendingClub超百万笔贷款数据证明，在线贷款组合年化内部收益率可达8.86%-13.08%，优于传统资产且相关性低，对机构投资者具有吸引力。
This paper investigates the suitability of online loans as an investment through the lens of a portfolio optimization framework. We propose general characteristics-based portfolio policy (GCPP), a framework which overcomes unique challenges associated with building a portfolio of online loans. GCPP directly models the portfolio weight of a loan as a flexible function of its characteristics and does not require direct estimation of the distributional properties of loans. Using an extensive data set spanning over one million loans from 2013 to 2020 from LendingClub, we show that GCPP portfolios can achieve an average annualized internal rate of return (IRR) of 8.86% to 13.08%, significantly outperforming an equal-weight portfolio of loans. To assess the attractiveness of online loans, we then compare the performance of the GCPP portfolio to traditional investment vehicles including stocks, bonds, and real estate. The results demonstrate that a portfolio of online loans earns competitive or higher rates of return compared to traditional asset classes with limited comovement. These results indicate that online loans are an attractive novel asset class for investors. Together, we demonstrate that GCPP is an approach that can help platforms better serve both borrowers and lenders en route to growing their business.