OCIO의 대리인 문제 (Agency Problems related to Outsourced Chief Investment Officers)

서지정보

· 발행기관 : 한국금융학회
· 수록지 정보 : 금융연구 / 34권 / 3호 / 33 ~ 60페이지
· 저자명 : 류두진, 박대현

초록

본 논문은 외부위탁운용관리(OCIO; outsourced chief investment officer)와 관련된 계약 기간과기금의 전문성을 중심으로 OCIO의 대리인 문제를 분석한다. 국내 OCIO의 경우, 대리인 문제로인하여 해외 OCIO와 비교하여 낮은 성과를 보이는 것으로 지적된다. 본 논문은 OCIO의기금운용과정에서 나타나는 대리인 문제를 분석하는 모형을 제시하며, OCIO의 계약 기간에따라 수익성이 증가하고, 기금의 전문성과 OCIO의 위험관리 수준에 따라 재계약 가능성이 변화하는것을 고려한다. 본 논문의 분석결과, OCIO는 계약 기간이 길수록, 기금의 전문성이 낮을수록대리인 문제를 일으킬 가능성이 커진다. 이는 기존 연구의 제안처럼 단순히 계약 기간을 늘려OCIO의 수익성을 개선하려 하면, OCIO가 기금위험관리에 소홀해지는 대리인 문제가 발생할수 있음을 시사한다. 따라서 OCIO의 대리인 문제를 감시하기 위해 기금의 투자 전문성을 일정수준 이상으로 확보한 후, 이에 맞게 계약 기간을 늘려 수익성을 개선해야 한다. 이는 기금과OCIO 사이의 장기적인 협력관계를 구축하여, 기금과 OCIO 간 계약과 업무의 효율성도 개선될것으로 기대된다.

영어초록

With the increasing demand and supply for outsourced chief investment officers (OCIOs) in Korea, they are frequently discussed in the literature.
Unlike OCIOs in other countries, those in Korea lack institutional efficiency; hence, some problems are being pointed out, such as the provision of low returns by them. Previous discussions define these as an agency problem related to OCIOs. They suggest that the fee system and short contract period cause these low returns and argue that a performance fee should be paid, or contract terms should be extended. However, they overlook OCIOs’ risk management. Even if an OCIO improves revenue, agency problems may arise if risk is not managed adequately. Accordingly, unlike previous research, this study investigates the issue of OCIOs’ risk management performance.
This study provides proof for the argument that improving funds’ expertise is essential. With increased instability and complexity in the financial market, funds are very likely to have limited access to information.
Thus, funds use OCIOs’ services because of the high cost of collecting information and evaluate the performance of the portfolio created by the OCIO according to their own expertise. In these circumstances, we review the impact of the fund’s expertise on the agency problem related to OCIOs. We also consider whether extending the contract period to improve an OCIO’s poor returns could cause agency problems related to OCIOs’ risk management.
In this study, we construct a model for analyzing the agency problem related to OCIOs, focusing on the contract period and the fund’s expertise.
As the contract period increases and the fund loses its expertise, the OCIO does not manage risk faithfully. However, it is necessary to extend the contract term to improve profitability. Thus, to prevent agency problems from occurring in the process of improving an OCIO’s returns, the contract period should be extended to an appropriate level after the fund’s expertise has increased. In economics, solutions to agency problems are classified as either proper incentive design or the direct monitoring of agents. We argue that the agency problem related to low returns in the OCIO structure can be solved through incentive design, whereas the problem related to risk management can be solved through monitoring. Increasing the contract term serves as an incentive for OCIOs to improve their returns, and evaluating funds based on an OCIO’s risk management performance induces the OCIO to manage risk. Thus, forging long-term partnerships between OCIOs and funds is essential for resolving agency issues.

참고자료

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