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펀드매니저 교체가 펀드의 성과, 위험, 자금흐름에 미치는 영향 연구

  • 박영규 성균관대학교 경영대학 교수
  • 주효근 한화자산운용
본 논문은 펀드매니저 교체가 펀드의 성과, 위험, 자금흐름에 어떠한 영향을 미치는가를 연구하였다. 2004년부터 2015년 3월 말까지의 기간 동안 펀드매니저 교체 전후의 성과 및 위험 등의 변화를 분석한 결과, 첫째, 펀드매니저 교체 이후 NP(Negative Performance) 펀드는 성과가 개선되지만, PP(Positive Performance) 펀드는 성과가 저조해지는 것으로 나타났으며 이는 +1 기간보다 +2 기간에 더 뚜렷해지는 것으로 확인되었다. 둘째, 펀드매니저 교체 이후 NP 펀드는 펀드의 위험이 감소되었으나 PP 펀드는 유의한 위험의 변화가 없었다. 셋째, NP 펀드 중 +2 기간 이후까지 생존한 펀드에서만 유의한 스타일의 변화가 발견되었으며 이는 펀드매니저 교체 이후 스타일의 변화가 기여했기 때문으로 해석할 수 있다. 넷째, 자금유입증가율에 영향을 미칠 수 있는 요인들을 통제할 경우 NP 펀드 및 PP 펀드 모두 펀드매니저 교체 전후 유의한 수준의 자금유입의 변화는 없는 것으로 확인되었다. 펀드매니저 교체가 성과에 영향을 미침에도 불구하고 자금흐름에 유의한 변화가 없다는 것은 국내시장에서 펀드매니저 교체와 같은 중요한 정보가 투자자에게 잘 전달되지 않는 문제가 존재함을 확인시켜주는 것이며 본 연구 결과는 이에 대한 개선이 필요함을 시사한다.
펀드; 펀드매니저 교체; 운용성과; 위험; 자금유입증가율;Fund; Fund Manager Replacement; Performance; Risk; New Money Flow

The Effect of Fund Manager Replacement on Fund Performance, Risk, and Money Flows

  • Young Kyu Park
  • Hyo Keun Joo
We examine the effects of a fund manager replacement on fund performance, risk, and money flows using data from January 2004 to March 2015. We define a fund as either a positive performance (PP) fund or a negative performance (NP) fund depending on whether it belongs to the upper 50% or lower 50% based on its performance in the previous year. We then compare the effects of manager replacement between the two groups. First, we find that the performance of an NP fund improves after the fund manager replacement, while that of a PP fund decreases. This phenomenon becomes more pronounced for the +2 year period compared with the +1 year period. This result implies that while it is feasible to find a qualified manager to replace a manager whose performance is below average, it is difficult to find a better manager to replace one whose performance is above average. Therefore, manager replacement can be a positive event for investors in an NP fund and a negative event for investors in a PP fund. However, investors should understand that it takes some time for fund performance to change, as the fund performance of a PP fund remains better than that of an NP fund for +1 year after the manager replacement. The improved performance of the NP fund and decreased performance of the PP fund become significant from the +2 year period after the fund manager replacement. Second, the risk level of the NP fund decreases after the manager replacement, whereas that of the PP fund remains virtually the same. We find that both the standard deviation of excess return and the one factor beta of the NP fund are higher than those of the PP fund for the -1 year period. We conjecture that this is because poorly performing fund managers take more risks to recover their inferior performance. This result is consistent with the U.S. market findings of Brown et al. (1996). The risk level of the NP fund decreases significantly after the fund manager replacement, whereas no significant change occurs for the PP fund. Third, we find a significant change in the style of the fund that survives more than two years after the manager replacement, with the fund manager replacement slowly contributing to the fund style change. Comparing the styles before and after the manager replacement, we find that the PP fund has a higher coefficient for the SMB and PR1YR factors and a lower coefficient for the HML factor. This implies that PP fund managers prefer small and medium-sized stocks, growth, and momentum. The meaningful style change is not found for the +1 year period for either the PP fund or NP fund, as it may require some time to change the fund portfolios and style. However, for the +2 year period, we find a significant style change for the NP fund; its negative SMB coefficient increases and its negative HML coefficient decreases, which means the proportion of large and value stocks increases in its portfolio. Fourth, after controlling for the various factors that may affect the fund money flows, we find no significant change in the new money flows before and after the fund manager replacement. We find that the money flows for both the NP and PP funds are negative for the +1 year period, although statistically significant so only for the NP fund. We use a number of control variables to check whether the inferior fund performance or the fund manager replacement causes the negative money flow for the NP fund. We use past performance, the excess return standard deviation, turnover, fund size, and management fee as control variables and run the regression on the new money flow for the fund manager replacement. Our regression results show that the fund manager replacement has no significant effect on the fund money flows. This indicates that important information such as the fund manager replacement is not delivered efficiently to fund investors in the Korean market. Therefore, we recommend that fund management companies and regulatory agencies establish practical methods to promptly deliver crucial information such as fund manager replacements to fund investors to protect the investors’ rights. This study is the first to examine the effects of fund manager replacement on fund performance and risk in the Korean market. However, fund manager research in Korea carries some limitations. We collect the fund manager replacement data from fund rating companies since 2004; therefore, the study period is rather short and can be period dependent. Furthermore, many fund management companies do not specify the name or responsible fund manager, but instead use the chief investment officer’s name or multiple manager names to identify the head manager of a fund. We hope future research on this topic will resolve the limits of our study and deliver further findings on the effect of fund manager replacement on fund performance.