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Is OCIO superior in asset allocation performance?

Author

Listed:
  • Myungjoo Kang
  • Inwook Song
  • Seiwan Kim

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.

Suggested Citation

  • Myungjoo Kang & Inwook Song & Seiwan Kim, 2023. "Is OCIO superior in asset allocation performance?," Journal of Derivatives and Quantitative Studies: 선물연구, Emerald Group Publishing Limited, vol. 31(2), pages 139-161, May.
    • Handle: RePEc:eme:jdqspp:jdqs-12-2022-0029
    DOI: 10.1108/JDQS-12-2022-0029
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    More about this item

    Keywords

    OCIO; Asset allocation; Random portfolio; SAA; Performance; G10; G30;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G30 - Financial Economics - - Corporate Finance and Governance - - - General

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