국내 연기금 위탁운용펀드의 성과분석 및 운용보수구조의 적정성 연구

Korea public pension funds manage significant portion of their assets through external fund managers. The fee structures for some of the external pension funds(external fund here after) include performance incentive fees. This study compares the performance of public pension funds having incentive fee structures with the performance of mutual funds having no incentive fee structures. Summarizing the results of this study, they are as follows. First, the active type external funds outperformed the mutual funds, whereas the passive type external funds did not. Second, the market beta of the external funds in the lowest performance quartile in the first half of the year is increased in the second half of the year. This increase was statistically significant. Third, the performance of external funds was satisfactory in the sense that the estimates of total fees paid out to external funds were larger than the industry average fees to mutual funds because of external funds' good performances. From the perspective of option values of external funds' performance fee schemes, their performance was also satisfactory because their realized fees were larger than the option values. Fourth, the option values of incentive fee schemes were analytically estimated to be in the range of 20bp～30bp. Finally, we suggest that, in designing the fee scheme to external funds, public pension funds first decide the total value of incentive fees, and then negotiate with external funds on how it is decomposed into base fee and incentive fee.