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액티브/패시브 운용의 성과기여도 비교분석 : 전략적 자산배분 관점에서 국가별 실증연구

  • 김광남 서울시립대학교 박사과정
  • 김태용 모닝스타투자자문(주)
  • 이지연 모닝스타투자자문(주)
  • 김채린 한국금융연구원
본 연구는 자산운용상 중요한 정책적 과정인 자산배분의 수익률 기여도를 분석하기 위해 한국, 미국, 영국 및 호주의 주식형펀드와 혼합형펀드를 대상으로 시계열 및 횡단면 회귀분석을 수행하고 결정계수를 산출, 비교하였다. 회귀분석 시 수익률 분해방식을 달리하여, 회귀분석의 종속변수로 총 수익률과 초과수익률을 이용한 두 가지 회귀식을 구성하였고, 각각의 회귀식에 대해 시계열 및 횡단면 분석을 수행하였다. 본 연구의 결과를 요약하면 다음과 같다. 총 수익률을 이용한 시계열 회귀분석 결과, 4개국의 주식형 및 혼합형펀드 모두 자산배분효과인 패시브 운용이 운용성과에 대한 설명력이 가장 높은 것으로 나타났고, 시장초과 수익률을 이용한 시계열 회귀분석에서는 운용성과의 대부분이 시장 움직임(market movement)에 의해 설명되는 것으로 분석되었다. 그리고 시장 움직임이 통제된 초과수익률을 이용한 횡단면 회귀분석의 결과, 4개국에서 공통적으로 주식형펀드는 액티브 운용의 설명력이 패시브 운용보다 높거나 유사한 수준이었고, 혼합형펀드는 패시브 운용의 설명력이 더 높았다.
자산배분, 운용성과, 패시브 운용, 액티브 운용, 성과요인 분해

A Comparison of the Performance Attribution for Active/Passive Management : An Empirical Study of Four Countries from an Asset Allocation Perspective

  • Kwangnam Kim
  • Taeyong Kim
  • Jiyeon Lee
  • Chaerin Kim
Asset allocation is one of the most important decisions made in the asset management process to achieve a portfolio’s target return within the constraints of its risk tolerance level. Brinson et al. (1986, 1991) conclude that asset allocation policy explains 93.6% or 91.5% of performance. This greatly helps practitioners understand the importance of asset allocation in asset management. However, at the same time, it triggers the publication of other studies with different views on its empirical testing and different interpretations of its results. For example, Ibbotson et al. (2000) and Vardharaj et al. (2007) conduct empirical tests using regression models to measure the explanatory powers of asset allocation in fund performance and find that the dispersion of R2 in their models is wider than those of Brinson et al. Alternatively, Xiong et al. (2010) decompose the total return into three components: market movement, asset allocation policy return in excess of the market return, and active return. They then run time-series and cross-sectional regressions on total returns and excess market returns for both equity and blend funds, respectively. Based on their regression analyses, Xiong et al. (2010) conclude that market movement dominates the other two components. Additionally, they find that the explanatory powers of passive management (asset allocation policy) and active management are at similar levels. In sum, although multiple studies propose different conclusions from Brinson et al. (1986), they all agree that asset allocation is significant in the asset management process. Applying the methodologies of Brinson et al. (1986) and Xiong et al. (2010), this study performs time-series and cross-sectional analyses of equity and blend fund returns in Korea, the U.S., the U.K. and Australia, based on each country’s style benchmark and leading market index returns. A performance attribution analysis is conducted to determine the contribution of passive and active management to fund performance by comparing the coefficients of determination (R2) for each country’s regression models. The results indicate that in accordance with the time-series regression analysis of Brinson et al. (1986), the explanatory power of asset allocation reaches its highest level when the total fund return is explained by benchmark returns reflecting market movement. However, in all four countries, when market movement is separated, it’s the greatest contribution to the performance of both equity and blend funds. When a market-movement-excluded excess return is used, in three countries, excluding the U.K., active management has higher explanatory power for equity funds and passive management has higher explanatory power for blend funds. When a cross-sectional regression analysis is conducted using the methodology of Xiong et al. (2010) to measure the explanatory power of asset allocation performance without market movement, the explanatory power of active management is higher for equity funds in all four countries. In the case of blend funds, however, the explanatory power of active management is higher in the U.S. and U.K., where equities hold a larger portion of funds than bonds. Finally, passive management shows higher explanatory power in Korea, where its funds are composed of similar levels of equities and bonds. Comprehensively reviewing the results of this study from a mid- and long-term investment policy perspective, we conclude that the selected variables in strategic asset allocation consist of investors’ risk preferences and asset class risk premiums, not short-term market movements. Therefore, it is difficult to agree with Xiong et al. (2010) that it is reasonable to exclude market movements from returns because the contribution to investment performance for mid- and long-term market movements are already reflected in risk premiums. We add, however, that if market movements are under control, which can be explained as constant asset class risk premiums, then we support the finding of preceding studies that active management is as significant as passive management in terms of its contribution to performance.
Asset Allocation, Performance, Passive Management, Active Management, Attribution Analysis