주식형 펀드의 위험지표
Risk Measures for Equity Funds in Korea
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초록
본 논문은 우리나라 주식형 펀드의 자료를 이용하여 위험-성과 사이의 관계와 펀드해지와 위험의 연관성을 살펴보았다. 위험지표로 널리 이용되는 표준편차 외에 하방위험을 측정하는 SEM, VaR 및 ES 등의 위험지표를 고려하였는데, 1개월 선행 수익률은 위험과 통계적으로 유의한 관계를 가지지 않으나, SEM 및 VaR 등의 하방위험이 높을수록 1분기 선행 수익률이 낮은 저변동성 이례현상이 존재함을 확인되었다. 표본을 생존펀드와 해지펀드로 구분하면 생존펀드의 경우 ES로 측정되는 위험과 수익의 상충관계가 확인되는 데 반해, 해지된 펀드의 경우 하방위험지표인 ES가 높을수록 수익률이 저하되는 관계가 존재하여 생존여부에 따라 위험-수익의 관계가 달라짐을 확인하였다. 또한 펀드해지를 예측하는 데 있어 위험지표로서 표준편차의 정보적 유용성은 제한적이며, 하방위험지표들이 펀드해지를 예측하는 유의미한 변수임을 확인할 수 있었다.
Abstract
Using data on equity funds in Korea, this paper considers downside risk measures as well as traditional risk measures such as standard deviation in investigating risk-return trade-off and predicting equity fund failure. The risk-return trade-off does not exist when considering short-term fund performance such as one-month ahead returns. But downside risk measure such as semi-deviation, and value-at-risk(VaR) explain the cross sectional variation in fund returns in the sense of low volatility anomaly, i.e. low risk-high return phenomenon. Moreover, survival funds have positive relations between risk and returns while terminating funds exhibit a negative association between expected shortfall(ES) and returns. Survival analysis shows that standard deviation does not have the explanatory power in predicting fund failure, but funds with larger downside risk have a higher hazard rate.
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