경기국면과 운용스타일이 펀드성과에 미치는 영향: Jensen모형, Fama-French모형, Carhart모형을 이용

Fund performance is measured by the difference between the fund's actual rate of return and the benchmark rate of return, which is the alpha of the risk-adjusted rate of return. The Jensen model (1968), Fama-French model (1993) and Carhart model (1997) are widely used to estimate benchmark returns. The three models assume that the (factor) beta remains constant. In recent years, however, it has been revealed that the beta changes, hence fund performance changes, according to economic fluctuations. Moreover, it has been reported that fund performance differs depending upon the investment style of funds. The National Pension Investment Guidelines established by the Fund Management Committee in Korea specify that internal (or direct) investment is aimed at a passive style and outsourcing (or external) investment is aimed at an active style. This paper empirically analyzed whether fund performance in the Korean stock market differs depending on the business cycle (recession period vs. expansion period) and investment style (internal investment vs. outsourcing investment). Monthly data from the National Fund in Korea from January 2002 to December 2013 were used. We used the state-dependent regime-switching versions of the Jensen, Fama-French, and Carhart models. The empirical findings indicate that fund performance is affected by the business cycle. More importantly, the fund performances of overall and outsourcing investments are much better in a recession period than in an expansion period, which is consistent with foreign empirical studies. This pattern was not found in direct investments, which are aimed at a passive style. We also found that the fund performance of overall investment was positively affected by market and momentum factors, but not affected by book-to-market and firm size factors. Meanwhile, the effects of risk factors on the performance of internal investment were similar to overall investment except for the negative effect of the momentum factor. Lastly, the fund performance of outsourcing investment was positively affected by market, firm size and momentum factors, but not affected by the book-to-market factor. In a nutshell, this paper clearly shows that fund performance was better in bad states of the economy than in good states, and the relationships between fund performance and risk factors changed with the state of the economy. This paper did not include recent data, since the National Fund in Korea is reluctant to disclose its fund performance data. In addition, the time-series of the current paper is shorter than that of foreign empirical papers. These may be the limitations of this study and the challenging tasks of subsequent studies.