목차

<요약>

I. 서론 ··············································································································· 1

1. 연구의 배경 ····························································································· 1

2. 연구의 목적 및 구성 ············································································· 2

II. 자산배분, 액티브/패시브 운용 및 위험예산 ······························· 4

1. 국민연금기금의 자산배분 ····································································· 4

가. 전략적 자산배분(SAA) ···································································· 4

나. 전술적 자산배분(TAA) ··································································· 7

다. 국민연금기금의 자산배분 현황 ····················································· 8

2. 액티브 운용과 패시브 운용 ································································· 9

가. 알파와 베타 ······················································································· 9

나. 액티브 운용과 패시브 운용 ························································· 10

다. 연기금 자산운용전략과 알파 ······················································· 17

라. 액티브 대 패시브 운용 논쟁 ······················································· 19

마. 액티브 운용 성과와 정보 비율(IR) ············································ 28

3. 국민연금기금의 위험배분 ·································································· 30

가. 총 허용위험한도 배정과 자산별 액티브 위험한도 배정 ······· 30

나. 벤치마크의 설정과 액티브 위험의 측정 및 관리 ··················· 32

III. 선행연구검토 ························································································ 35

1. 액티브 운용의 이론과 실증 분석 ···················································· 35

가. 운용 스타일과 성과 ······································································· 36

나. 인덱스 펀드 성과 ··········································································· 41

2. 액티브 위험과 최적 배분 ·································································· 42

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IV. 국내 펀드시장 여건분석 ································································· 45

1. 국내펀드시장 현황 ·············································································· 46

가. 자산 규모 및 추이 ········································································· 46

나. 펀드 유형별 자산 규모 ································································· 51

2. 주식 및 채권펀드 수익률 분석 ························································ 54

가. 주식형 펀드 ····················································································· 54

나. 주식부문 세부유형별 투자현황 ··················································· 60

3. 액티브 운용과 패시브 운용 수익률의 비교 ·································· 67

가. 국내주식 직접운용 유형별 수익률 ············································· 67

나. 국내주식 외부위탁 유형별 수익률 ············································· 68

다. 위험 분석 ························································································· 70

라. 위험조정 수익률 분석 ··································································· 73

4. 국내 인덱스 펀드에 대한 분석 ························································ 74

V. 국민연금기금의 적정 액티브 투자 비중 ···································· 75

1. 분석방법과 자료 ·················································································· 75

2. 위험과 정보비율 ·················································································· 77

가. 수익률과 위험 ················································································· 77

나. 위험측정치의 선정 ········································································· 80

다. 정보비율과 위험예산 ····································································· 82

3. 허용위험수준 하의 최적화모형 ························································ 84

4. 최적화모형을 통한 운용비율 추정 ·················································· 88

가. 평균-분산 모형에 의한 자산배분 ·············································· 88

나. 주식부문의 최적화 ········································································· 89

VI. 결론 ······································································································· 97