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Is OCIO superior in asset allocation performance?
- Title
- Is OCIO superior in asset allocation performance?
- Authors
- Kang M.; Song I.; Kim S.
- Ewha Authors
- 김세완
- SCOPUS Author ID
- 김세완
- Issue Date
- 2023
- Journal Title
- Journal of Derivatives and Quantitative Studies
- ISSN
- 1229-988X
- Citation
- Journal of Derivatives and Quantitative Studies vol. 31, no. 2, pp. 139 - 161
- Keywords
- Asset allocation; OCIO; Performance; Random portfolio; SAA
- Publisher
- Emerald Publishing
- Indexed
- SCOPUS; KCI
- Document Type
- Article
- Abstract
- : 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.
- DOI
- 10.1108/JDQS-12-2022-0029
- Appears in Collections:
- 사회과학대학 > 경제학전공 > Journal papers
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