공모펀드와 연기금 위탁펀드의 성과, 운용스타일 및 성과지속성에 관한 비교 연구

The purpose of this study is to do a comparative analysis on the performance, style, and performance persistence between the public equity funds and the fiduciary pension funds and the results are in the following. First, our analysis shows that the fiduciary pension funds have higher surplus profitability rate against benchmark, after expense deductions, than the public equity funds. However, this superior performance of the fiduciary pension funds is mainly due to their lower expenses than those of the public equity funds. Second, our analysis shows that the fiduciary pension funds invest more in value stocks than the public equity funds while the public equity funds focus more on the short-term and momentum based investment than the fiduciary pension funds. Third, our analysis shows that the poor performance of the bottom performing public equity funds lasts in 3 month period, but it does not last over 3 month period. On the other hand, the superior performance of the top performing fiduciary pension funds lasts in 3 and 6 month periods, but it disappears in 12 month period. However, these results are valid only with some performance evaluation measures and we cannot conclude that there is a performance persistence in either of the public equity funds and the fiduciary pension funds.