액티브펀드의 성과와 종목선택능력에 대한 연구
The Performance of Actively Managed Mutual Funds and its Determinants in Korea
고봉찬(서울대학교); 김진우(부산대학교)
28권 4호, 1~31쪽
초록
본 연구는 주식 보유비중이 70% 이상이면서 순자산가치가 50억 원 이상인 국내 액티브펀드 684개의 성과를 분석하고 그 결정요인을 분석하였다. 실증분석 결과, 2002년 1월부터 2008년 6월까지의 표본기간 동안 액티브펀드는 월평균 0.20%의 유의한 위험조정수익률을 얻는 것으로 나타났다. 이러한 액티브펀드들의 투자성과를 결정짓는 요인으로서 일반적으로 알려진 시장타이밍능력과 종목선택능력의 중요도를 평가하기 위하여, 이들을 각각 추적오차(tracking error：TE)와 적극적투자비중(active share：AS)으로 측정하여 이에 따른 투자성과의 차이를 분석하였다. 분석 결과, AS가 가장 높은 펀드그룹과 가장 낮은 펀드그룹 간의 위험조정수익률 차이가 월평균 0.22%로(시장조정 누적수익률 차이는 전체 표본기간 동안 17.79%) 유의하게 나타난 반면, TE를 기준으로 한 분석에서는 펀드그룹 간 위험조정수익률 차이가 월평균 0.05%로 비유의적이어서 액티브펀드들의 투자성과 차이는 주로 종목선택능력에서 발생하는 것으로 나타났다. 이처럼 AS가 증가할수록 액티브펀드의 성과가 높아지는 현상은 펀드규모, 과거 펀드성과, 과거 펀드자금 순유입액 등을 통제하고도 여전히 유의한 것으로 분석되었으며, 액티브펀드 수익률의성분분해 분석에서도 종목선택능력으로 인한 수익률만이 통계적으로 유의한 0.46%의 월평균 수익률을 제공하는 것으로 나타났다.
Abstract
This paper examines whether there are significant differences in performances among mutual funds in Korea grouped by the degree of investment activeness measured as the annualized tracking error (TE)and the active shares (AS). The TE and AS are considered as a measure of the market timing ability and the stock selection ability of fund managers, respectively. Using the monthly returns and stock holdings data of 684 Korean actively managed mutual funds with more than 5 billion won of NAV and more than 70% of stock holdings in the fund portfolio from January 2002 to June 2008, we find that Korean active funds earn significantly positive monthly risk-adjusted returns, 0.20%, on average, and that the fund returns are increasing as the investment activeness increases. When we divide the sample into 5 fund groups based on AS and compute their monthly returns over the sample period, the difference between the highest and lowest groups is 17.79% for the case of cumulative market-adjusted returns and 0.23%(t=3.23) for the case of monthly risk-adjusted returns. The performance of the TE highest group is also higher than those of the other groups, but the difference in monthly risk-adjusted returns between highest and lowest TE groups is not significant. These results indicate that the performance of active funds is positively related to the investment activeness, but the performance difference is mainly drived by the stock selection ability of fund managers. These results are consistently supported when we consider other factors which affect the performance of active funds such as fund size, past 12 month performance for the performance persistence phenomenon, and past 12 month net fund-inflows for the smart money effect. Finally, we decompose the fund returns using the method of Daniel, Grinblatt, Titman, and Wermers(1997) and directly compare their return components attributable to stock selection ability, market timing ability, and fund style. The empirical result shows that the return component attributable to the stock selection ability is significantly positive, 0.46% per month, on average, whereas both return components attributable to the market timing ability and the fund style are not significant. This result supports consistently the finding that the stock selection ability is more important than the market timing ability.
- 발행기관:
- 한국재무관리학회
- 분류:
- 경영학