시뮬레이션을 이용한 국민연금기금의 분할운용에 관한 연구

The Korean government provided reform plans for the National Pension Fund’s governance structure in 2007. The reform plan focuses on organizational separation of fund management from system management and strengthening of fund management expertise for the organization. The reform plans for the improvement of governance structure for the National Pension Fund aim to increase rate of return from investment of fund and to achieve long term fiscal balance and stabilization of fund. The reform plans also discuss problems posed by the gigantic size of pension fund and introduce a possible scheme for dividing the organization of fund management. This study quantitatively analyzes contribution of strengthening of fund management’s organizational expertise and division of control for the gigantic fund management on the fund’s fiscal stability and profitability by a simulation method. Furthermore this study provides a basic framework for future development of the Korean National Fund's separation schemes for the fund management. The current National Pension Fund carries out a single asset allocation strategy decision by a single fund management committee, but new possible separation scheme will have multiple independent fund management organizations which will carry out their own asset allocation strategies. The separation scheme of National Pension Fund may take one of two possible forms : Multiple fund management committees could be established or single fund management committee with delegation of decision making roles to multiple fund management organizations. We expect several positive effects from the separation of National Pension Fund. First, separation scheme could result in a higher rate of return by enhancement of competition among separated multiple fund management organizations with their active asset allocation strategies than the case of a single gigantic fund with its conservative asset allocation strategy. Second, an asset allocation based on a possible forecasting error made by a single gigantic organization could exert a negative influence on the profitability of the fund on the other hand a diversification effect of asset allocation made by the multiple fund management organizations could enhance the stability of the fund. Main results from the study can be summarized as follows. Strengthening fund management expertise for the single organization with proper compensation scheme could achieve a higher rate of return from the fund when the stock market is volatile. Also, the division of the gigantic fund show two effects : the first one is an increase of rate of return induced from the decrease in the market impact cost, and the second is a decrease in the volatility of rate of returns induced from a decrease of asset allocation risks. The size of these positive effects was analyzed to be bigger as the number of fund management organizations becomes larger. There exists discrepancy in the overall performances during the period of high stock market volatility if you compare the cases of fund allocation with a uniform proportion irrespective of their performances and with a differentiated proportion according to their performances. When the stock market is volatile, a differentiated allocation by ‘short-term’ performances shows no effects on the increase of rate of return which could be induced from strengthening fund management expertise. On the contrary a differentiated allocation by ‘long-term’ performances shows a large effect on the increase of profitability of the fund and a delaying effect on its depletion timing. These conclusions were drawn from a specific simulation model with specific values of parameters thus have some limitations for applying to general cases. In spite of this limitation, this paper made its own contribution for deriving implications of a division of National Pension Fund by applying quantitative analysis from previous qualitative discussions. And a more comprehensive study on the performances of the fund is expected by adding future analysis on the area of definition of risk of fund reserves. Furthermore, this study could be applied to the prediction of a market impact cost and studies on effects of a division of a gigantic private fund.