R프로그램을 이용한 기금운용분석Ⅰ

 - 국민연금 국내주식 위탁펀드의 현금유입이 펀드의 운용행태에 미치는 영향 분석

요 약 ······································································································9

Ⅰ. 서 론 ·······························································································19
1. 연구배경 및 필요성 ····································································19
2. 연구목적 및 내용구성 ·································································19
3. R 프로그램의 개요 ···································································21

Ⅱ. 문헌연구 ··························································································27
1. 기존연구: 펀드의 자금흐름(flow)과 성과 간 관계 ·····················27
2. 기존연구: 펀드의 크기(size)와 성과 간 관계 ····························31

Ⅲ. 자료 및 방법론 ··············································································37
1. 자료 ····························································································37
2. 성과평가지표와 방법론 ·······························································37

Ⅳ. 자금유입으로 인한 공모펀드의 행태에 관한 실증분석 ···················43
1. 기초통계량 ··················································································43
2. 자금유입과 펀드의 종목수 변화의 관계 ·····································47
3. 자금유입과 지분율변화의 관계 ···················································50
4. 펀드의 종목수 및 규모가 펀드 성과에 미치는 영향 ··················51

Ⅴ. 자금유입으로 인한 국민연금 위탁펀드의 형태에 관한 실증분석 ··53
1. 기초통계량 ··················································································53
2. 자금유입과 국민연금의 위탁펀드의 종목수 변화의 관계 ············57
3. 자금유입과 국민연금의 위탁펀드의 지분율 변화의 관계 ············58
4. 펀드의 종목수 및 규모가 펀드 성과에 미치는 영향 ··················59

Ⅵ. 결론 ·································································································61

참고문헌 ·································································································65