Empirical variables
| Variables | Defining variables |
|---|---|
| 1. Key explanatory and control variables | |
| ocio | OCIO dummy variable (1 if fund adopts OCIO or 0) |
| tot_amt | Total Fund Size (KRW billion) |
| long_wt | Share of medium- and long-term assets (%) |
| sf_wt | Maximum percentage of assets at risk when applying the Shortfall Risk limit (%) |
| 2. The dependent variable | |
| return | Asset allocation plan for the target year (%) |
| vol | Standard deviation (%) for the target year with the asset allocation plan |
| sharpe | Sharpe Ratio for a target year with an asset allocation plan |
| 3. Dependent variable: score of each fund per indicator in the (unconstrained) randomized portfolio | |
| return_rnk | Return % ranking score of funds in the randomized portfolio (the higher the score, the better the return) |
| vol_rnk | Standard deviation of funds in the random portfolio %Rank score (higher, lower risk) |
| sharpe_rnk | Sharpe Ratio of Funds in Random Portfolio %Rank Score |
| 4. Dependent variable: score of the fund per indicator in the (constrained) randomized portfolio | |
| return_rnk_sf | Return % ranking score of funds in the randomized portfolio (the higher the score, the better the return) |
| vol_rnk_sf | Standard deviation of funds in the random portfolio %Rank score (higher, lower risk) |
| sharpe_rnk_sf | Sharpe Ratio of Funds in Random Portfolio %Rank Score |
| 5. Dependent variable: Fund's evaluation outcome rating (outstanding/excellent/good/moderate/weak/very weak) | |
| test_0_flag | Fundraising Overall Rating |
| test_1_flag | Rating of the “System” portion of the Fund's evaluation (decision-making structure and organization) |
| test_2_flag | Rating the “policy” portion of the fund evaluation (related to asset allocation, risk, etc.) |
| test_3_flag | Rating the “Enforcement” portion of the fund assessment (related to TAA, risk management and performance evaluation) |
| Variables | Defining variables |
|---|---|
| 1. Key explanatory and control variables | |
| ocio | OCIO dummy variable (1 if fund adopts OCIO or 0) |
| tot_amt | Total Fund Size (KRW billion) |
| long_wt | Share of medium- and long-term assets (%) |
| sf_wt | Maximum percentage of assets at risk when applying the Shortfall Risk limit (%) |
| 2. The dependent variable | |
| return | Asset allocation plan for the target year (%) |
| vol | Standard deviation (%) for the target year with the asset allocation plan |
| sharpe | Sharpe Ratio for a target year with an asset allocation plan |
| 3. Dependent variable: score of each fund per indicator in the (unconstrained) randomized portfolio | |
| return_rnk | Return % ranking score of funds in the randomized portfolio (the higher the score, the better the return) |
| vol_rnk | Standard deviation of funds in the random portfolio %Rank score (higher, lower risk) |
| sharpe_rnk | Sharpe Ratio of Funds in Random Portfolio %Rank Score |
| 4. Dependent variable: score of the fund per indicator in the (constrained) randomized portfolio | |
| return_rnk_sf | Return % ranking score of funds in the randomized portfolio (the higher the score, the better the return) |
| vol_rnk_sf | Standard deviation of funds in the random portfolio %Rank score (higher, lower risk) |
| sharpe_rnk_sf | Sharpe Ratio of Funds in Random Portfolio %Rank Score |
| 5. Dependent variable: Fund's evaluation outcome rating (outstanding/excellent/good/moderate/weak/very weak) | |
| test_0_flag | Fundraising Overall Rating |
| test_1_flag | Rating of the “System” portion of the Fund's evaluation (decision-making structure and organization) |
| test_2_flag | Rating the “policy” portion of the fund evaluation (related to asset allocation, risk, etc.) |
| test_3_flag | Rating the “Enforcement” portion of the fund assessment (related to TAA, risk management and performance evaluation) |
Source(s): Author's work (This table reports the definitions of variables we use in this study.)
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