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Korean Journal of Financial Studies 2016;45(5):1035-1074.
Published online December 31, 2016.
Performance Characteristics of KOSPI200 Index Funds
Juil Ban, Sungsin Kim, Sehoon Kwon
KOSPI200 인덱스펀드의 성과특성에 관한 연구
반주일, 김성신, 권세훈
We investigated the performance characteristics of KOSPI200 index funds, using the data such as the fund size, return, expenses, loads, and other portfolio information for a decade from July 2004 to June 2014, and our main findings are as follows. First, contrary to the general expectation that the fund returns would be similar because these funds are passive funds, the return range (the gap between the max and the min) is considerably wide: 3%~13%. Second, the whole set of the index funds exceeded the benchmark in terms of gross return, but the excess return was insignificant in terms of net return. In addition, the size of excess return in the second half of the period showed sharp decrease and the statistical significance disappeared compared to the first half of the period. Third, the high-expense and high-load funds did not show good performance in terms of gross return and showed negative excess return in terms of net return. Fourth, for the first half of the sample period, we observed the fund size effects, that is, the performance was better as the fund size grew bigger. But the effects disappeared for the second half period. We conjecture that the small sized fund`s under-performance situation was improved due to the small fund regulation by the government since 2010. Fifth, excess return seems to be unrelated with the Active Share that is an activeness measure of stock selection proposed by Cremers and Petajisto (2009), but excess return shows relatedness with the derivative holding ratio that measures the activeness of futures and options trading. This result implies that the fundamental source of the excess return comes from the index fund managers with quantitative arbitrage activity, not the stock selection. While the market size of the index funds grows consistently in Korea, our paper provides a standard on the fund selection criterion for the individual investors. Finally, this paper supplements the existing literature whose main focus was put on the performance characteristics of active funds by enhancing our understanding of passive fund performance characteristics.
Key Words: 규모효과,성과특성,인덱스펀드,초과성과,포트폴리오,Abnormal Return,Index Fund,Performance Characteristics,Portfolio,Size Effect

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