우리나라 TDF 성과 및 성과변동성에 영향을 주는 요인 분석

This paper analyzes the impact of changes in the total expense ratios of Target Date Funds (TDFs), the emergence of new asset management companies, and the implementation of new TDF policies that influence TDF performance volatility and outcomes. The main findings of this paper are as follows. First, larger asset management companies are associated with reduced TDF volatility, whereas higher total expense ratios are associated with increased volatility. Second, while total expense ratios have a negative impact on risk-adjusted returns, the net asset size of asset management companies has a positive effect on risk-adjusted returns. Third, large asset management companies tend to allocate fewer assets to domestic equities and more to domestic bonds, with the top three asset management companies holding higher proportions of overseas assets. Fourth, total expense ratios are significant factors that negatively affect TDF performance, as confirmed by both Fama-MacBeth regression analysis and general regression analysis.The contributions of this paper are as follows. First, we find total expense ratios to be a critical factor influencing TDF market volatility and performance. Second, asset management company size is a significant factor positively impacting performance and reducing TDF market volatility. Third, the top three asset management companies manage performance effectively by appropriately assessing risk despite their higher performance volatility. This paper offers key insights by identifying variables that TDF investors should consider when making investment decisions. Furthermore, it provides guidance for financial authorities and asset managers, contributing to a better understanding of TDF-related policies.