An analysis of performance and ability of the National Pension Fund
Min-Cheol Woo
Cheol-Won Yang
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 you are making a profit, where is the source of that ability? To answer this question, this study directly analyzes the Korean stock portfolio held by the NPS. The monthly stock holdings of NPS from 2008 to 2018 were calculated by combining the report on the status of domestic stock holdings reported by the NPS and the trading data of the Korea Exchange(KRX). Based on this, the performance of the Korean stock holdings by the NPS is calculated and evaluated for the past 11 years. The analysis shows that the stock portfolio held by the NPS from 2009 to 2018 has an average return of 0.57% per month. Risk-adjusted returns using the market model, Fama-French (1993) three-factor model, and he four-factor model of Carhart (1997) all had statistical significance. When the stocks are categorized by market, the return on the KOSPI market stocks (0.58%) is much higher than the return on KOSDAQ stocks (-0.01%). When decomposing the NPS portfolio performance according to the methodology of Daniel et al. (1997), the stock selection capability (CS) is 0.44%, the market timing capability (CT) is ?0.16%, and the investment style (AS) is 0.30%. The results of this study find that the return on investment of the NPS Fund is largely due to the stock selection ability (AS) and investment style (AS) of Korean stocks.
The National Pension Fund,Performance,Characteristic Selectivity(CS),Characteristic Timing(CT),Average Style(AS).