연금기관의 자산배분 및 투자행태에 관한 연구

A Study on the Asset Allocation and Investment Behavior of Korean pension funds

Korean pension funds have been building up asset and risk management systems at the level of developed countries for stable pension management and improving the returns. They are also constantly trying to improve asset management through systematic and scientific asset allocation. Researches about asset allocations of National Pension Service, Korea Teachers Pension, Government Employees Pension Service reveal that allocations to fixed income, which had been regarded as the safe asset, have decreased while alternative and equity investments have increased. In the area of assessment, net average return and time-adjusted return as well as risk-adjusted return that takes into account risk tolerance level and risk adjustment. However, analysis of pension funds' last four years of asset allocation and investments and also foreign pension funds' asset allocation has revealed that room for a few improvements exists. Firstly, there must be an assessment not based on short-term but with a long-term horizon. Secondly, the asset managers must be specialized in their areas. Thirdly, internal auditing system must be systematically implemented so that excessive auditing will not cause a gap in asset management or conservative asset management. Fourthly, an external auditing company must conduct a fair and transparent audit and examination on the overall asset management. Fifthly, system must be set up for the implementation of Global Investments Performance Standards for the assessment system. Sixthly, the asset allocation must be diversified and allocations to alternative investments and equity investments must be continually increased.