뮤추얼펀드와의 비교를 통한 연금펀드의 운용전략과 성과에 관한 연구
Comparing Operational Strategy and Performance Between Mutual Fund and Pension Fund
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초록
본 연구에서는 위험조정방법과 DEA(자료포괄분석) 방법을 이용하여 국내 뮤추얼펀드와 연금펀드의 운용전략에 따른 성과를 측정하고 이를 비교하였다. 투자전략에 있어, 뮤추얼펀드는 초과수익능력인 알파를 추구하고, 연금펀드는 시장수익률을 장기적으로 추구한다. 또한 뮤추얼펀드는 약한 규제, 고유동성, 단기 투자, 과세 그리고 적은 환경제약조건 하에서 수익률을 극대화하고자 하는 반면, 연금펀드는 강한 규제, 저유동성, 장기 투자, 면세, 그리고 많은 환경제약조건 하에서 위험 및 분산을 최소화하고자 한다. 이러한 차이로 인하여 연금펀드는 뮤추얼펀드와는 다른 성과측정방법의 적용이 필요하다. 본 연구에서는 뮤추얼펀드와 연금펀드 1,454개를 대상으로 3년에 걸친 주간 자료를 이용하여 두 가지 펀드의 성과를 비교하였다. 실증분석 결과, 위험조정성과 측면에서 단기 수익성을 중시하는 뮤추얼펀드는 안정성을 중시하는 연금펀드보다 우수한 성과를 나타냈지만, 펀드의 수익률과 위험 이외의 요소도 고려한 DEA 분석은 이와는 다른 결과를 낳았다. 이러한 결과는 연금펀드의 성과측정 시 기존의 초과수익률과 위험요인 외에 다양한 요인들을 함께 고려하는 것이 타당함을 의미한다.
Abstract
The study compares performance between mutual fund and pension fund using risk-adjusted methods and DEA (Data Envelopment Analysis) according to their respective investment and operational strategies. In terms of investment strategy, mutual fund seeks for alpha while pension fund does for market rate of return on a long-term basis. The objective of mutual fund is to maximize returns under weak regulation, high liquidity, short-term investment, taxed return, and small number of operational constraints. On the other hand, the objective of pension fund is to minimize risk or variance under strong regulation, low liquidity, long-term investment, tax-exempted return, and large number of operational constraints. We conduct empirical analyses using weekly data of 1,454 mutual funds and pension funds over 3 years, which show that in terms of risk-adjusted performance, mutual fund emphasizing short-run return performs better than pension fund seeking for long-run stability; however, DEA produces different results. The results imply that various factors other than return and risk used in calculating traditional risk-adjusted performance should be considered for measuring balanced performance of pension fund.
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