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Korean J Financ Stud > Volume 46(1); 2017 > Article
Korean Journal of Financial Studies 2017;46(1):187-216.
DOI: https://doi.org/10.26845/KJFS.2017.02.46.1.187    Published online February 28, 2017.
Performance Analyses of Private Funds: From an Alternative Investment Perspective
Junesuh Yi
사모펀드 성과분석
이준서
Abstract
This study estimates the performance of private funds that are now classified as the professional investment type as a result of a reform of the legal system for private funds. The private funds composing the professional investment type include absolute return, real estate, and other funds in the major categorization. Bond alpha, market neutral, IPO high yield, real estate loans, real estate rents, special assets, and convertible bond funds are in the minor categorization. The performance analyses of the private funds from 2005 to 2014 based on Zero-In benchmark, Fama French 5 factor model, and Korean hedge fund 8 factor model indicate that the real estate private fund ranks the highest performance. Among the sub types of the real estate private fund, the real estate rent fund achieves the best performance in pooled analyses and 42% of the real estate loan fund displays statistically significant abnormal returns in individual fund analyses. Fund performances vary depending on the inception year and have improved since the global financial crisis. Funds launched in 2009 surprisingly present positive abnormal returns. In addition, funds managed by big asset management companies display better performance than funds managed by medium or small companies. In terms of fund performance and flow, the fund outflow is subsequent to good performance and this relationship is manifested in the special asset funds and in funds managed by big asset management companies. Meanwhile the fund inflow is followed by performance deterioration. The AUM of private funds unprecedently exceeded that of the public funds and there has been a reform in the legal system for private funds. This study contributes to academia and practitioners in light of the increased interest in private funds. We can henceforth measure the growth potential of the private funds classified as the professional investment type. This study also provides information of a new alternative investment vehicle to investors searching for an appropriate investment outlet in the contemporary low interest era. In addition, this study shows the systemic implications and the practical solutions for managing the professional investment type fund and the business participation type fund.
Key Words: 대체투자,사모펀드,성과평가,전문투자형,현금흐름,Alternative Investment,Cash Flow,Performance Estimates,Private Fund,Professional Investment Type


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