액티브펀드의 성과와 주식시장의 이상현상

To understand the underperformance of actively managed equity funds in Korean markets, we examine whether fund managers hold relatively over-priced stocks. To this end, we combine the information associated with 10 well-known anomalies to construct the implied mispricing measure for each stock and define it as the stock’s A-score. On a fund level, we then construct the value-weighted average of the A-score decile ranks of individual stocks and define it as the investing measure. A fund with a high (low) investing measure means that it holds relatively undervalued (overvalued) stocks. Our empirical findings are as follows. First, on average, active funds do not hold undervalued stocks compared to benchmarks. Second, despite the underperformance of active funds, a subset of such funds persistently holds undervalued stocks. Third, our investing measure has a strong forecasting power regarding future performance. Funds with the highest 20% of the investing measure outperform those with the lowest 20% by an annualized four-factor alpha of 3.24%, which is statistically significant. Overall, our results suggest that the performance of active funds may be improved by exploiting stock market anomalies.