스마트 베타 전략에 따른 액티브 주식형 펀드의 최적 추적오차

• 영문명: The Optimal Tracking Error of Active Stock Fund by Smart Beta Strategy
• 발행기관: 강원대학교 경영경제연구소
• 저자명: 이재현
• 간행물 정보: 『아태비즈니스연구』제13권 제4호, 163~175쪽, 전체 13쪽
• 주제분류: 인문학 > 문학
• 파일형태: PDF
• 발행일자: 2022.12.31

영문 초록

Purpose - This study introduces a methodology for finding the optimal tracking error of active stock funds. Tracking error is commonly used in risk budgeting techniques as a concept of cost for alpha creation. Design/methodology/approach - This study uses a post-optimal smart beta portfolio that maximizes alpha under the given tracking error constraint. Findings - As a result of the analysis, the smart beta strategy that maximized alpha under the constraint of 0.15% daily tracking error shows the highest IR. This means the maximum theoretically achievable efficiency. In this regard, a fixed-effect panel regression analysis is conducted to evaluate the active efficiency of domestic stock funds. In addition to control variables based on previous studies, the effect of tracking error on alpha is analyzed. The alpha used in this model is calculated using the smart beta portfolio according to the size of the constraint of the tracking error as a benchmark. Contrary to theoretical estimates, in Korea, the alpha performance is maximized under a daily tracking error of 0.1%. This indicates that the active efficiency of domestic equity funds is lower than the theoretical maximum. Research implications or Originality - Based on this study, it is expected that it can be used for active risk management of pension funds and performance evaluation of active strategies.

목차

Ⅰ. 서론

Ⅱ. 최적 스마트베타 포트폴리오

Ⅲ. 스마트 베타 포트폴리오의 최적 추적오차

Ⅳ. 액티브 펀드 수익률 자료를 이용한 실증분석

Ⅴ. 결론

References

키워드

Tracking Error Risk Budgeting Smart Beta Active Risk Pension Fund