국내 기관투자가의 헤지펀드 수익률의 지속성에 관한 연구

Recently, Korean institutional Investors are expanding their allocation to foreign investment in order to improve their asset returns and diversify their portfolio. This research compares hedge fund returns used by Korean asset management companies with market indices. This research investigates whether hedge funds produce an alpha return by comparing their returns to Korean equity, fixed income, and foreign market returns in order to see if hedge funds are an efficient asset class. By investigating the short-term return durability for hedge fund returns’ 6-month and 12-month periods, this research will look into whether Korean institutional investors are making a correct decision by selecting funds with good records. For comparing return data, this research used recent 6 years and 9 months (2003.10∼2010.06) data for 83 hedge funds monthly returns, foreign market returns (CIBM, BIBM) for the same period, KOSPI returns and fixed income returns for the same period using Excel and SPSS. The findings are as below. Comparing hedge fund returns and market returns showed that hedge fund returns did not outperform equity, fixed income, foreign (CIBM, BIBM) returns. Also, winners did not continue to win and losers did not continue to lose in the short-term period analysis. So selecting hedge funds need a better asset allocation scheme and market timing and also must look at the management, philosophy, style of the company other than just past returns.