연기금의 주식위탁운용 인덱스화 분석을 통한 위탁운용 확대정책의 타당성 연구

Korean public pension funds manage about a half of their assets through external fundmanagers. This study investigates the relationship between the growth of the size of externalpensions funds (external funds hereafter) and its correlation with the broad marketindex. The results of this study are as follows. First, the external funds outperformed thestock market index (KOSPI) despite the growth of their size in term of individual fundlevel, of fund type level, and of the whole group level. Second, we found that the discrepancybetween external funds and the market index does not decreases as the number of fundsincreases, but decreases as the number of fund types increases. Third, although the discrepancydecreases as the number of fund types increases, the statistically significant discrepancybetween external funds and the market index remains as external funds do not highlydiversify among themselves. In sum, this study results suggest that the increase of externalfunds would not make the overall performance of the external funds be close to the marketindex as public pension funds officials concern. Therefore, we advise that public pensionsfunds do not need to find out the limit of external funds size yet, but need to find outhow effectively allocate the ever increasing external funds.