확정기여형 퇴직연금의 자산배분전략과 성과

This study examines several asset allocation strategies of the defined contribution, and empirically compares their respective performance employing Sharp index and DEA (Data Envelopment Analysis) efficiency score. From the empirical analysis, it is shown that the performance of asset allocation strategy according to investors’ risk preference turns out to be the best in terms of Sharp index. The performance of optimized asset allocation strategy follows next, and the one of life cycle asset allocation strategy places itself on the third. The longer the planning horizon becomes, however, the performance of the life cycle strategy exceeds the one of the optimized strategy. Regarding performance indicators, Sharp index gives higher score to the strategy of investing more in risky assets. On the contrary, DEA efficiency score provides the highest score to the optimized asset allocation strategy which has a low level of investment in risky assets. This result implies that the performances of competing asset allocation strategies should be evaluated employing both the traditional Sharp index and DEA efficiency scores suggested in this study to consider the relativity of the comparing strategies.