주식형 펀드의 성과 지속성 = Performance Persistence of Equity Funds

국문 초록 (Abstract)

본 연구는 2004년부터 2006년까지 국내 주식형펀드의 성과 지속성을 실증분석 하였다. 적립식 펀드의 유입으로 주식형 펀드가 급증한 동 기간 국내주식형 펀드의 생존편의를 추정하였고, 펀드성과의 성과지속성을 분할표와 회귀분석을 통해 검토하였다. 분석결과 분석기간의 생존편의는 연 1.82%로 추정되었으며, 성과 지속성은 총펀드에서는 연간보다는 2년 이상에서 지속성이 나타났고, 총펀드를 성과에 따라 구분하여 추정한 결과 하위펀드는 단기 지속성이 강하게 나타난 반면, 상위펀드는 2년 이상의 성과지속성이 나타났다. 주식형 펀드의 성과 지속성에 관한 연구결과는 향후 투자자의 펀드 투자에 유용한 시사점을 줄 것으로 기대된다.

다국어 초록 (Multilingual Abstract)

This study analyses the persistence of the Korean equity funds from 2003 to 2006 using database that has been made up of surviving funds and complete funds free of the survivorship bias. Persistence means that past performance is related with future performance.
On a contingency table analysis, it seems that short-term persistence, whether good or bad, was found positive, but weak and unstable between past and future performance rankings over years.
On a regression model of Jensen's alpha, the persistence of complete funds composed of free of the survivorship bias is not evident on short-term 1 year basis, but evident on long-term 2year basis. As the holding period lengthens, the persistent results became more sensitive to the beginning date and ending date of the period under examination.
The persistence of the losing funds was evident on short-term basis when holding periods of 12 months were used, but the persistence of the winning funds was evident on long-term basis when holding periods of 24 months were used. Performance was improved by the use of long horizon investment. it was not meaningfully related with performance over the short-term.

목차 (Table of Contents)

• Ⅰ. 서론
• Ⅱ. 주식형펀드 자료 및 생존편의
• Ⅲ. 성과지속성에 관한 선행연구
• Ⅳ. 실증분석
• Ⅴ. 결론
• 참고문헌
• Abstract

참고문헌 (Reference)

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