연기금의 채권형 펀드 적정위탁규모와 위탁운용사 수에 관한 연구

Korean pension funds outsource significant portions of their fund to the private asset management firms. As the pension fund size increase, outsourcing becomes a more important task. While pension funds pay good attentions to select capable fund management firms, not much attentions are paid to designing a proper outsourcing policy such as an appropriate number of outside fund managers or optimal size of each fund. This study tries to answer these questions for fixed income outsourcing funds. Our findings are as follows. First, we found that raw return tend to increase as the fund size increase, but there exists an optimal outsourcing fund size which is between 100～200 billion won. Second, it is found that the size of fund has a significant influence on the fund performance especially after the global financial crisis as the low interest rate prevails. On the other hand, the number of outsouced fund manager and the performance has a negative relationship. Third, we found that risk adjusted return is more effective criteria to predict better outside fund managers. The findings in this study can contribute to improve the fund outsourcing policy and the overall performance for Korean pensions.