earticle

영어

The National Pension Service(NPS) has increased the share of risky assets such as stocks to raise profitability with concerns over fund depletion. If so, has the NPS been making a profit on investments in risky assets so far? If the NPS are making a profit, where is the source of that ability? To answer this question, we directly analyzes the Korean stock portfolio held by the NPS. The objective of this study is to examine the operational performance of NPS investments in the Korean stock market over the past decade, as well as the sources for this performance. The NPS invests in a variety of risky assets, including stocks, bonds, and alternative investments. Of these, domestic stocks account for about 14% of the total as of the end of 2023, amounting to KRW 148 trillion in investments. The NPS is also the largest institutional investor in the domestic stock market and has a huge influence on the market, so it is very important. We obtain the monthly holdings of NPS in domestic stocks from 2009 to 2018 by combining the report on large holdings of stocks reported by the NPS and the trading data from the Korea Exchange (KRX). Specifically, we calculate the transaction history of the NPS from the KRX. The KRX's intraday trading data contains information on the seller and buyer for every transaction, and we use the seller and buyer information to identify the NPS accounts. The process is as follows. First, we obtain the name, dates, quantity and price of purchase and sale stocks from 72,622 reports from 2008 to 2018 in the name of the NPS through the “Report on Large Holdings of Stocks and Other Securities” and “Report on Ownership of Certain Securities by Officers and Major Shareholders.” Second, we identify the NPS accounts by matching the transaction details of each account with the transaction data of the KRX. Based on 72,622 reports, we identify 12,449 NPS accounts from 46 securities firms. This study analyzes the performance of NPS using two methods in addition to the raw portfolio return. First, we evaluate the performance of the NPS using various benchmarks. We examine risk-adjusted returns by using single factor or multi-factor models. However, it has the disadvantage of evaluating the performance based on the assumptions of the risk factor model. Second, we use the Daniel et al. (DGTW, 1997) methodology to decompose returns by controlling for a benchmark portfolio based on firm characteristics. This methodology overcomes the shortcomings of the traditional risk factor model. The main results of the empirical analysis are as follows First, the domestic equity portfolio held by the NPS has an average monthly return of 0.57% over the period from 2009 to 2018. This is equivalent to an annualized rate of 6.84%. The risk-adjusted return using a one-factor model of market returns is 0.31% per month, which is statistically significant. The risk-adjusted return using the Fama-French (1993) three-factor model is 0.49% per month and the risk-adjusted return using the Carhart (1997) four-factor model is 0.48% per month, both statistically significant. This shows that even after controlling for risk, the NPS is still generating significant returns. By year, the risk-adjusted returns are higher and statistically significant mainly in 2012 and 2013. Second, we separate the returns of the NPS into the KOSPI and the KOSDAQ market. The return on the KOSPI stocks is 0.58%, which is much larger than the return on KOSDAQ stocks (-0.01%). The NPS earns most of its returns from investing in the KOSPI market stocks and loses money in the KOSDAQ market. The risk-adjusted returns of the KOSPI stocks are also statistically significant at 0.33%, 0.51%, and 0.51%, respectively, while the risk-adjusted returns of the KOSDAQ stocks are not statistically significant. Overall, the performance of the NPS is better in the KOSPI market than in the KOSDAQ. Third, we decompose the investment performance of NPS according to the methodology of Daniel et al. (DGTW, 1997). DGTW decomposes fund performance into characteristic selectivity (CS), market timing (CT), and average style (AS). The analysis shows that the portfolio return is composed of 0.44% for CS, -0.16% for CT, and 0.30% for AS. The largest return comes from stock selection, while market timing is not significant with a negative return. This result is similar to other studies in the U.S. and Korea that decompose the performance of active funds. When we decompose the portfolio returns of the NPS into the KOSPI and KOSDAQ markets, we also find that the returns of the NPS are mostly due to stock selection ability (CS) and investment style (AS). Our results show that the majority of the NPS's investment performance is attributable to its ability to select Korean equities and average style performance.

한국어

국민연금은 기금 고갈에 대한 우려와 함께 수익성 제고를 위해 주식 등 위험자산의 비중을 확대해 왔다. 그렇다면 지금까지 위험자산 투자에서 국민연금은 어느 정도 수익을 내고 있는가? 그 수익의 원천은 어디인가? 본 연구는 이에 대해 답하기 위해서 국민연금이 보유한 국내 주식 포트폴리오를 직접 분석하였다. 국민연금이 보고한 국내 주식 보유현황 신고 자료와 한국거래소의 매매내역 자료를 결합하여 2009년부터 2018년까지의 국민연금 국내 주식 월별 보유내역을 계산하였다. 이를 바탕으로 국민 연금의 10년간 운용성과를 계산하고 평가하였다. 분석결과, 국민연금이 보유한 국내 주식 포트폴리오는 월평균 0.57%(연 6.84%)의 수익률을 얻었다. 다양한 위험조정 수익률도 모두 통계적 유의성을 보였다. 보유주식을 시장별로 구분하였을 때, 유가증 권시장 주식의 수익률이 0.58%로 코스닥시장 수익률 –0.01% 보다 훨씬 컸다. Daniel et al.(1997)의 방법론에 따라 국민연금 투자성과를 분해하였을 때, 종목선택 능력(CS, characteristic selectivity)은 0.44%, 시장타이밍능력(CT, characteristic timing)은 –0.16%, 그리고 투자스타일(AS, average style)은 0.30%로 구성되었 다. 본 연구를 통해 국민연금의 투자수익률 대부분이 유가증권 주식에 대한 종목선택 능력(CS)와 투자스타일(AS)에서 기인함을 발견하였다.