국민연금 국내주식 위탁운용규모와 수익에 관한 연구

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

Ⅰ. 서론 ································································································21

Ⅱ. 문헌 연구 ·······················································································23
1. 이론적 고찰 ················································································23
2. 실증적 고찰 ················································································30
1) 펀드 성과와 규모와의 관계 ······················································31
2) 펀드의 자금흐름과 성과의 관계 ···············································36
3. 소결과 시사점 ·············································································45

Ⅲ. 국민연금의 위탁운용 프로세스 ·····················································47
1. 위탁운용 기본방향 ······································································47
2. 자산별 위탁운용계획 ···································································48
3. 위탁운용체계 ···············································································49
1) 위탁운용체계 ···········································································49
2) 국민연금의 외부위탁 현황 분석 ···············································53

Ⅳ. 실증 분석 ·······················································································55
1. 자료 ··························································································55
2. 성과평가지표 ···············································································59
1) Jensen의 단일요인 성과평가 지표 ···········································59
2) Fama and French의 3요인 성과평가 지표 ·····························60
3) Carhart의 4요인 성과평가 지표 ··············································62
4) 벤치마치마크 대비 초과수익률 ·················································63
5) 정보비율 ··················································································64
3. 위탁규모와 성과의 관계 ······························································65
4. 위탁규모와 추적오차의 관계 ························································69
1) 규모에 따른 추적오차의 변화 ···················································70
2) 운용사 수 증가에 따른 추적오차의 변화 ··································74
5. 소결과 시사점 ·············································································83

Ⅴ. 결론 및 시사점 ··············································································85

참고문헌 ································································································87