확률할인요소 및 가상펀드를 이용한 주식형 펀드의 성과 평가
A Performance Evaluation of Stock Mutual Funds Using the Stochastic Discount Factor and the Artificial Fund
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본 연구는 확률할인모형을 이용하여 국내 주식형 펀드의 성과를 평가하였다. 모수적 모형으로서 Sharpe(1964) 등의 CAPM과 Fama and French(1993)의 3요인 모형(이하 FF3모형)을, 비모수적 모형으로서 Hansen and Jagannathan(1991)의 무차익 확률할인모형을 사용하였다. 분석결과, 대상펀드의 약 35%가 양(+)의 위험조정초과수익률을 보였으나 대부분의 t-값이 유의하지 않아 국내 주식형 펀드산업이 대상자산을 매입하여 보유하는 전략(buy-and-hold strategy)보다 우월한 성과를 보여주지 못하였다. 그러나 상대적으로 펀드규모와 위탁보수율이 클수록 위험조정초과수익률도 크게 나왔으며, 펀드유형별로는 테마주식형보다 일반주식 혹은 지수형 펀드의 성과가 좋았다. 본 연구는 펀드평가의 특수성을 고려하여 펀드매니저의 종목선택능력과 시장예측능력을 간접적으로 평가할 수 있는 가상펀드수익률을 제시하였다. 확률할인모형을 이용하여 이를 평가한 결과, 모든 모형에서 펀드성과추정치 및 t-값이 가상펀드매니저의 투자능력지표인 와 뚜렷한 선형관계를 보여주어, 본 연구에서 제시한 확률할인모형이 펀드의 투자능력을 잘 감별해낸다는 것을 알 수 있었다. 그러나 국내 주식형펀드의 성과추정치는 대부분 가 영(0)인 중립적 가상펀드의 성과추정치와 비슷하여 앞의 비유의적인 펀드평가결과와 마찬가지로 시장효율성을 지지하였다
Abstract
In this paper, we evaluate performances of stock mutual funds of Korea using the stochastic discount factor model. We use the standard CAPM and the three-factor model of Fama and French(1993) as parametric models and the no arbitrage model of Hansen and Jagannathan(1991)as nonparametric model. To estimate the stochastic discount factor, industry portfolios and risk free asset are chosen as reference assets. We find that while about one third of the funds analyzed show positive excess returns, most of their magnitudes are not statistically significant. Thus domestic stock funds did not outperform the passive strategy using reference assets. A regression analysis shows that the relative performance is better as the size and the management fee of the fund is greater. To evaluate stock picking and market timing abilities of fund managers we construct artificial stock picking and market timing funds and use their realized returns as benchmarks. Their risk-adjusted excess returns under the stochastic discount factor model shows a positive relation with the information signal, which represents the investment ability of the artificial fund. This evidence implies that the stochastic discount factor model is appropriate for evaluation of fund performances. Finally, we find that most of the funds analyzed performed as well as the artificial fund whose information signal is zero. This result is consistent with the earlier result that excess returns on most of funds are statistically insignificant.
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