우리나라 TDF의 적정 위험조정수익률 및 TDF 투자자들의 TDF 결정요인 분석

We proposes a methodology for evaluating the risk-adjusted returns of target-date funds (TDFs) in South Korea and assess their cash flows and market share. Employing Balduzzi and Reuter’s (2019) five-factor model, we adapt the framework to account for the unique characteristics of Korean TDFs. Given the limited allocation to alternative investments in these funds, we exclude the alternative investment factor. Instead, we incorporate four primary factors—domestic equities, foreign equities, domestic bonds, and foreign bonds—and augment the model with the USD/KRW exchange rate to capture the substantial overseas investment exposure, resulting in a modified five-factor model. Our findings reveal that both four-factor and five-factor alphas exhibit significant sensitivity to investor decisions, which in turn drive long-term TDF cash flows. Further analysis indicates a positive relationship between risk-adjusted returns and both cash flows and market share, with the five-factor alpha demonstrating a stronger influence than its four-factor counterpart. Notably, fund families achieving top-tier performance rankings (first or second place) experience pronounced market share growth. Korean TDF investors appear to rationally evaluate risk-adjusted returns while accounting for fund net assets. These results underscore the critical role of risk-adjusted performance in the Korean TDF market, offering valuable insights for financial regulators and fund families seeking to enhance competitiveness.