Management of the Pension Fund in Korea: Sharpe Ratio as a Measurement

• 영문명: Management of the Pension Fund in Korea: Sharpe Ratio as a Measurement
• 발행기관: People & Global Business Association
• 저자명: Mun-Kyung Cheong Yong-Hyeon Kim Kyoung-Ha Kim
• 간행물 정보: 『Global Business and Finance Review』Vol.28 No.6, 95~111쪽, 전체 17쪽
• 주제분류: 경제경영 > 경영학
• 파일형태: PDF
• 발행일자: 2023.11.30

영문 초록

Purpose: This study criticizes the existing benchmarks of the national equity fund specified by the National Pension Service and proposes alternative benchmarks. Design/methodology/approach: First, this study investigates whether the existing benchmarks returns are affected by the value and momentum factors. Second, we examine the effects of different factors on the benchmark returns of internal and outsourcing investments. Third, we propose three benchmarks by including the value factor and/or momentum factor. Finally, the Sharpe ratios of return-to-risk are used to measure these proposed benchmarks compared to the existing benchmarks. Findings: First, the existing benchmarks of internal and outsourcing investments are associated with value and momentum factors, which have been observed in many other countries. Second, the Sharpe ratios of the three proposed benchmarks - value oriented, momentum oriented, and value & momentum oriented - are always better than the existing benchmarks. Third, the Sharpe ratio of the value oriented benchmark is better than that of the momentum oriented and value & momentum oriented benchmarks. Finally, the Sharpe ratios are better with increased investment weights of value and/or momentum. Research limitations/implications: This study uses the Sharpe ratio to measure the return-to-risk relationship. There could be other measures to capture the relationship. Originality/value: This is the first research to analyze the national pension equity fund with proposed benchmarks in the Korean market.

목차

I. Introduction

II. Literature Review

III. Data and Methodology

IV. Empirical Results

V. Conclusion

Acknowledgments

References

키워드

National pension fund Benchmark Factor investing Sharpe ratio