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Korean Academic Society of Business Administration
[ Article ]
korean management review - Vol. 53, No. 6, pp.1325-1351
ISSN: 1226-1874 (Print)
Print publication date 31 Dec 2024
Received 29 Apr 2024 Accepted 07 Jun 2024
DOI: https://doi.org/10.17287/kmr.2024.53.6.1325

우리나라 TDF 성과 및 성과변동성에 영향을 주는 요인 분석

최재윤 ; 송인욱 ; 박영규
(주저자) 성균관대학교 경영연구소 연구원
(공저자) 한국펀드평가 리서치센터 센터장
(교신저자) 성균관대학교 경영학과 교수
An Analysis of Factors Affecting Performance and Performance Volatility of Target Date Funds (TDFs) in South Korea
Jaeyoon Choi ; Inwook Song ; Young Kyu Park
(First Author) Researcher, Sungkyunkwan University, Business School ky_1128@naver.com
(Co-Author) Director, Korea Fund Ratings Co., Research Center iwsong@kfr.co.kr
(Corresponding Author) Professor, Sungkyunkwan University, Business School ykpark@skku.edu


Copyright 2024 THE KOREAN ACADEMIC SOCIETY OF BUSINESS ADMINISTRATION
This is an open access article distributed under the terms of the Creative Commons Attribution License 4.0, which permits unrestricted, distribution, and reproduction in any medium, provided the original work is properly cited.

초록

본 연구는 TDF 총보수의 변화와 신규운용사의 유입, TDF 유인정책 도입 등 TDF 시장의 변화가 TDF 성과변동성과 성과에 미치는 영향을 분석하였다.

본 연구의 주요 결과는 다음과 같이 요약할 수 있다. 첫째, 운용사의 규모가 클수록 TDF 변동성이 감소하는 것으로 나타났다. 반면, 총보수가 비쌀수록 변동성이 높은 것으로 나타났다. 둘째, 총보수는 위험조정수익률에 부정적 영향을 주지만 운용사 순자산 규모는 위험조정수익률에 긍정적 영향을 주는 것으로 나타났다. 셋째, 대형운용사들은 국내주식에 대한 자산배분을 적게 보유하고 국내채권은 많이 보유하는 것으로 나타났으며 상위3사는 해외자산을 많이 보유하는 것으로 나타났다. 넷째, Fama-MacBeth 회귀분석과 일반회귀분석에서 총보수는 TDF 성과에 부정적 영향을 미치는 주요 요인으로 나타났다

본 연구의 의의는 다음과 같다. 첫째, TDF 총보수는 TDF 시장변동성과 성과에 영향을 주는 중요한 변수다. 둘째, 운용사의 규모는 성과에 긍정적 영향을 미치고 TDF 시장변동성을 감소시키는 것으로 나타났다. 셋째, 상위3사는 성과변동성이 다른 운용사보다 높은 편이지만 위험을 적절하게 평가하여 성과를 준수하게 관리하는 것으로 나타났다.

본 연구는 TDF 투자자들이 투자 시 고려해야 할 주요 변수들을 제시하고, 금융당국과 운용사에게 TDF 정책에 대한 이해를 높이는 데 기여한다는 점에서 시사점이 있다.

Abstract

This paper analyzes the impact of changes in the total expense ratios of Target Date Funds (TDFs), the emergence of new asset management companies, and the implementation of new TDF policies that influence TDF performance volatility and outcomes.

The main findings of this paper are as follows. First, larger asset management companies are associated with reduced TDF volatility, whereas higher total expense ratios are associated with increased volatility. Second, while total expense ratios have a negative impact on risk-adjusted returns, the net asset size of asset management companies has a positive effect on risk-adjusted returns. Third, large asset management companies tend to allocate fewer assets to domestic equities and more to domestic bonds, with the top three asset management companies holding higher proportions of overseas assets. Fourth, total expense ratios are significant factors that negatively affect TDF performance, as confirmed by both Fama-MacBeth regression analysis and general regression analysis.

The contributions of this paper are as follows. First, we find total expense ratios to be a critical factor influencing TDF market volatility and performance. Second, asset management company size is a significant factor positively impacting performance and reducing TDF market volatility. Third, the top three asset management companies manage performance effectively by appropriately assessing risk despite their higher performance volatility.

This paper offers key insights by identifying variables that TDF investors should consider when making investment decisions. Furthermore, it provides guidance for financial authorities and asset managers, contributing to a better understanding of TDF-related policies.

Keywords:

Target Date Fund (TDF), Performance, Cross-Sectional Variance, Standard Deviation, Total Fund Fee

키워드:

성과, 횡단면 분산, 표준편차, 펀드총보수

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∙저자 최재윤은 현재 성균관대학교 경영연구소 연구원으로 재직중이다. 명지대학교 경제학과를 졸업하고 동 대학의 경제학과 석사를 취 득하고 성균관대학교 박사 학위를 취득하였다. 주요연구분야는 경제사, 투자론, 확률론 등이다.

∙저자 송인욱은 현재 한국펀드평가 리서치센터 센터장으로 재직 중이다. 성균관대학교 수학과를 졸업하여, 동 대학의 경영학과 재무전공으로 석사와 박사 학위를 취득하였다. 석사 졸업 후 한국펀드평가에 평가팀장, 연구소장 등을 역임한 후 현재 리서치센터 센터장으로 재직 중이며, 성균관대학교 경영학과 재무관리 겸임교수로도 활동 중이다. 주요연구분야는 투자론, 포트폴리오이론, 펀드 및 연기금의 자산운용 등이다.

∙저자 박영규는 현재 성균관대학교 경영대학 교수로 재직 중이다. 미국 미네소타 대학에서 통계학을 전공하고 컬럼비아 경영대학원(MBA)을 거쳐 쌍용투자증권에서 애널리스트로 근무하였다. 이후 미국 조지 워싱턴 대학 경영대학원에서 경영학 박사 학위를 취득하였다. 주요연구분야는 투자론, 포트폴리오이론, 펀드 및 연기금의 자산운용 등이다.