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Korean J Financ Stud > Volume 47(3); 2018 > Article
Korean Journal of Financial Studies 2018;47(3):435-470.
DOI: https://doi.org/10.26845/KJFS.2018.06.47.3.435    Published online June 30, 2018.
Does Activeness Contribute to Fund Performance? : A Top-Down Management Perspective
Jung Cheol Shin, Jong Won Park
액티브니스가 펀드 성과에 기여하는가
신중철, 박종원
1KG제로인
2서울시립대학교
Abstract
We introduce two activeness measures as proxies for private information which fund managers may possess. They are from portfolio information and represent common factor activeness and individual stocks activeness respectively. To address the collinearity between those measures, we invent a scheme to extract Pure Active Position (PAP) from Dirty Active Position (DAP) with the perspective of top-down portfolio management. It is showed that DAP from industry and PAP from stocks conditioned on the DAP effectively explain the excess returns of funds or hypothetical portfolios. Also they have robustness relative to some alternative measures derived from styles and stocks and/or with a view of bottom-up approach. With no requirement of time-series data, distinct to those previous studies such as Cremers and Petajisto (2009) and so on, our measures would be specially appropriate to the Korean asset management industry in which funds are easily launched and have a relatively shorter life.
Key Words: 혼합액티브티스,순액티브니스,성과요인,우월한 정보,포트폴리오 집중도,DAP (Dirty Active Position),PAP (Pure Active Position),Managerial Activeness,Portfolio Concentration,Private Information
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