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A Study of the Performance Evaluation of National Pension Fund’s External Management of Domestic Equity Investments

Contents

I. Introduction

II. Literature Review

III. Current status of External Management of the National Pension Fund

IV. Data and Performance Evaluation Measures

 1. Data

 2. Performance Evaluation Models (The Carhart four-factor model)

V. Performance Analysis of the NPF’s Externally Managed Domestic Equity Investments
 1. Risk decomposition of externally managed domestic equity investments.

 2. Evaluation of active external management of domestic equity investments using risk-factor model.

 3. The distinction between in-house and external management of domestic equity investments

VI. Performance Analysis of NPF’s domestic equity investments by external funds type

 1. Analysis of stock selection ability

 2. Market Timing Ability Analysis

VII. Conclusion and Implications

• Attach
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