확정급여형 연기금의 투자성과 평가지표에 관한 연구

In the past, the investment of defined benefit pension funds was focused largely on maximizing their returns and/or showing better performance compared to certain benchmarks or peer funds. These days, however, it is getting more important to set up an investment strategy considering assets and liabilities together, particularly due to a continuing low interest rate environment and the implementation of IFRS. For these backgrounds, a liability-driven investment(LDI) is getting more attention than before among pension fund managers. Amid developed countries, pension investment strategies are rapidly shifting from asset-only towards liability-linked. As the investment environment develops, it is also necessary to reflect such changes to the evaluation methods of investment performance. In this study, we review and redefine traditional performance evaluation methods from the perspective of liabilities. As a result, we drive out new approach(hereby called surplus information ratio(SIR)) and then, we compare traditional evaluation methods with SIR using empirical data sets of pension funds. We find out that SIR of bond-type funds shows relatively higher ranks overall whereas other type funds are somewhat under-ranked compared to when the traditional measures are employed. Conclusively, this result suggests that SIR is likely to be effective and appropriate for evaluating the performance of DB funds invested in LDI strategies.