적극적 투자비중과 추적오차를 이용한 펀드의 성과분석 : 연기금 위탁펀드와 공모펀드의 비교

We investigate the performance of both mutual and pension consigned funds using active share and tracking error, as suggested by Cremers and Petajisto(2009). Active share, measure of active management, is the percentage of fund’s portfolio that differs from the fund’s benchmark index. The other measure of active management is tracking error volatility, which is the time series standard deviation of the difference the fund return and its benchmark return. We found that the degree of active management in both pension consigned funds and mutual funds ar similar in terms of active shares and tracking error. Mutual funds, which have high active shares and tracking errors, perform significantly higher risk-adjusted return after fee than those which have low active shares and tracking errors. That is similar results as Cremers and Petajisto’s studies. But pension funds, which have high active shares and tracking errors, perform lower risk-adjusted return after fee than those which have low active shares and tracking errors even though not significantly. That is different from mutual fund’s results. That might be due to the bigger size in pension funds compared to mutual funds.