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Korean Journal of Financial Studies 2014;43(1):23-46.
Published online February 28, 2014.
Does the Growth of External Funds Mean Indexation for Public Pension Funds?
Young Kyu Park, Mun Kyung Cheong, In Wook Song
연기금의 주식위탁운용 인덱스화 분석을 통한 위탁운용 확대정책의 타당성 연구
박영규, 정문경, 송인욱
Abstract
Korean public pension funds manage about a half of their assets through external fund managers. This study investigates the relationship between the growth of the size of external pensions funds (external funds hereafter) and its correlation with the broad market index. The results of this study are as follows. First, the external funds outperformed the stock market index (KOSPI) despite the growth of their size in term of individual fund level, of fund type level, and of the whole group level. Second, we found that the discrepancy between external funds and the market index does not decreases as the number of funds increases, but decreases as the number of fund types increases. Third, although the discrepancy decreases as the number of fund types increases, the statistically significant discrepancy between external funds and the market index remains as external funds do not highly diversify among themselves. In sum, this study results suggest that the increase of external funds would not make the overall performance of the external funds be close to the market index as public pension funds officials concern. Therefore, we advise that public pensions funds do not need to find out the limit of external funds size yet, but need to find out how effectively allocate the ever increasing external funds.
Key Words: 국내연기금,위탁운용,인덱스,펀드규모,펀드성과,External Funds,Fund Performance,Fund Size,Index,Public Pension Funds
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