Is OCIO superior in asset allocation performance?
- 주제(키워드) Asset allocation , OCIO , Performance , Random portfolio , SAA
- 등재 SCOPUS, KCI등재
- OA유형 All Open Access; Gold Open Access
- 발행기관 Emerald Publishing
- 발행년도 2023
- 총서유형 Journal
- URI http://www.dcollection.net/handler/ewha/000000209574
- 본문언어 영어
- Published As https://doi.org/10.1108/JDQS-12-2022-0029
초록/요약
: This study aims to empirically analyze the asset allocation capabilities of Outsourced Chief Investment Officers (OCIOs) in Korea. The empirical analysis used data from 35 funds that were evaluated by the Ministry of Strategy and Finance from 2012 to 2020. The results of the analysis are summarized as follows. First, this study found that funds that adopted OCIO improved their asset allocation performance. Second, the sensitivity between risk-taking and performance decreased for funds that adopted OCIO. Third, it is found that OCIO adoption improves a fund's asset management execution (tactical capabilities). This study has methodological limitations in which the methodology used in this study is not based on theoretical prior research, but on practical applications. However, considering the need to clearly analyze the capabilities of OCIO and the timeliness of the topic, this study is valuable and can provide meaningful information to funders who are considering adopting OCIO in the future. © 2023, Myungjoo Kang, Inwook Song and Seiwan Kim.
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