|
|||
°©·ÐÀ»¹Ú Æݵ¥¸ÕÅÐ À妽º Àü·« |
±ÝÀ¶¿µ¾î ¾î·Á¿ò ´ë·« 뷁³¢.
Criticisms and responses ÆÝ´õ¸àÅÐ À妽ºÀÇ ¿¬±¸ÀÚ·á°¡ ¹èÆ÷µÇ°í ³ª¼ ½ÃÃÑ°¡Áß À妽ºÀÇ ÃßÁ¾ÀÚÀÎ Á¸ º¸±Û ¸áų Gus Sauter ·ÎºÎÅÍ ¸¹Àº ºñÆÇÀÌ Á¦±âµÇ¾ú´Ù. ¹Ý·ÐÀº ÆÝ´õ¸àÅÐ À妽ºÀÇ Ã¢½ÃÀÚÀÎ ·Ó ¾Æ³ëÆ®ÀÇ Ãâ°£¹°¿¡¼ ¹ßÃéÇÏ¿´´Ù. Fundamentally based indexes are really being actively managed. By avoiding capitalization weighting, they are making bets that certain stocks will outperform the market.[12][13] ÆÝ´õ¸àÅÐ À妽º´Â ±Ùº»ÀûÀ¸·Î ¾×Ƽºê Àü·«ÀÌ´Ù. ½ÃÃÑ°¡Áß¹æ½ÄÀ» ÇÇÇÏ°í, ½ÃÀåÆò±ÕÀ» »óȸÇÒ°Í °°Àº Á¾¸ñ¿¡ ´õ ¹èÆÃÇϱ⠶§¹®ÀÌ´Ù. Response: Although not necessarily generalizable, referring to his own company¡¯s fundamentally based indexes, Robert Arnott said, ¡°Our fundamental index is formulaic, transparent, and is objectively and rigorously constructed.... The [free float capitalization weighted] S&P 500 is not objective. It is not formulaic. It is not transparent. And it is not replicable.¡±[3] ¹Ý·Ð : ±×·±½ÄÀ¸·Î ÀϹÝÈ´Â °ï¶õÇÏ´Ù. ÆÝ´õ¸àÅÐ À妽ÌÀº °ø½ÄȵǾî ÀÖ°í, Åõ¸íÇÏ°í °´°üÀûÀÌ°í ¸Å¿ì ¾ÈÁ¤ÀûÀÌ´Ù. ±×Àú S&P 500 ¿¡ ÁúÁú ²ø·Á´Ù´Ï´Â°ÍÀÌ ¹«½¼ ÃÖ°íÀÇ ¸ñÇ¥Àΰ¡? S&P 500 Àº °ø½ÄȵǾî ÀÖÁöµµ ¾Ê°í, Åõ¸íÇÏÁöµµ ¾Ê°í ÃßÁ¾ÇÒ¸¸ÇÏÁöµµ ¾Ê´Ù.
(¾Æ³ëÆ® »ç¸¶ÀÇ S&P 500 µ¶¼³Àº ÀÌÇØ°¡ ¾È°¨, ¹º¶æÀΰ¡? Ȥ½Ã ¾Æ´ÂºÐ??)
ÆÝ´õ¸àÅÐ À妽º Æݵå´Â Fama French risk Factor ¿¡ ´ëÀÔÇغ¼¶§ ¸Å¿ì ÆíÇâµÈ °á°ú¸¦ º¸¿©ÁØ´Ù. ¼ÒÇü°¡Ä¡ÁÖ¿¡ ¸Å¿ì ÆíÇâµÈ ¸ð½ÀÀ» º¸¿©Áִµ¥ ÇöÀç ÆÝ´õ¸àÅÐ À妽º Æݵ尡 º¸¿©ÁÖ´Â ¼º°ú´Â ¼ÒÇü°¡Ä¡ÁÖ Àå¼¼¿¡¼ ºñ·ÔÇÑ°ÍÀÌ´Ù. (뷁뷁.. Fama French rick Factor °¡ ¹ºÁö ºÃ´õ´Ï Á¶³½ ¾î·ÆÁö¸¸, ÇÏ¿©°£¿¡ Àüü Æ÷Æ®Æú¸®¿À¿¡¼ ¼ÒÇüÁÖ¿Í °¡Ä¡ÁÖ°¡ Â÷ÁöÇÏ´Â ºñÁßÁ¤µµ ÀÌ´Ù. ¾Æ¸¶µµ ³ôÀ»¼ö·Ï ¼ÒÇü/°¡Ä¡ÁÖ ÂÊ¿¡ Ä¡¿ìÄ£°ÍÀÌ µÈ´Ù.) Response: It is true that the Fama French factors explain much of the returns of fundamentally based indexes as they do for most passive portfolios. If they did not, it would demonstrate a flaw in the Fama French model. After controlling for Fama French risk factors, fundamentally based indexes exhibit a small positive alpha?-albeit a statistically insignificant one?-as compared to other value-biased indexes that exhibit negative alpha like the S&P 500 Equal Weight or the Russell 1000 Value.[17] ±×·¸Áö ¾Ê´Ù¸é Fama French factor °¡ À߸øµÈ°ÍÀ̶ó°í ÇÒ¼ö ÀÖ´Ù. ÆÝ´õ¸àÅÐ À妽ºÆݵå´Â ¸Å¿ì ¿ì¼öÇÑ Ç÷¯½º °ªÀ» º¸¿©Áִµ¥, ÀÌ´Â µ¿ÀÏ°¡ÁßÄ¡ ȤÀº ½ÃÃÑ°¡ÁßÄ¡º¸´Ù ¸Å¿ì ¿ì¼öÇÑ °ªÀÌ´Ù. (뷁뷁.. À¯Áø Æĸ¶ÀÇ °æ¿ì ¼ÒÇü/°¡Ä¡ÁÖ°¡ Àå±âÀûÀ¸·Î ½ÃÀåÀ» »óȸÇÏ´Â °á°ú¸¦ º¸¿´´Ù°í ÁÖÀåÇÑ´Ù.) Fundamentally based indices have higher turnover and therefore higher costs than capitalization weighted indices.[18] ÆÝ´õ¸àÅÐ À妽º Æݵå´Â ÁÖ½Ä È¸ÀüÀ²ÀÌ ³ô¾Æ¼ ½ÃÃÑ°¡Áß À妽º Æݵ庸´Ù ´õ ¸¹Àº ºñ¿ëÀÌ µé¾î°£´Ù. Response: Fundamentally based indices do have a higher turnover than capitalization weighted indices. However, the turnover is so low that its costs do not substantially affect returns. For example, the U.S. Fundamental Index 1000¡¯s turnover ranges between 10 and 12 percent per annum[19][20] versus 6% for an annually rebalanced capitalization-weighted index of the largest 1000 stocks. Furthermore, fundamentally based indexes experience most of their turnover in large, liquid stocks while capitalization-weighted indices experience most of their turnover in small, illiquid stocks.[21] ÆÝ´õ¸àÅÐ À妽º Æݵ尡 ´õ ÁÖ½ÄȸÀüÀ²ÀÌ ³ôÀº°ÍÀº »ç½ÇÀÌÁö¸¸, ±× Â÷ÀÌ´Â ¹Ì¹ÌÇÏ¿© ±×·±Æ¯¼ºÀÌ ¼öÀÍÀ²À» ÈѼÕÇÏÁö´Â ¾Ê´Â´Ù, US ÆÝ´õ¸àÅÐ 1000 Áö¼öÀÇ ÁÖ½ÄȸÀüÀ²Àº ¿¬Æò±Õ 10 ~ 12% Àε¥ ½ÃÃÑ°¡Áß À妽ÌÀÇ ÁÖ½ÄȸÀüÀ²Àº ¿¬Æò±Õ 6% Á¤µµÀÌ´Ù. °Ô´Ù°¡ ÆÝ´õ¸àÅÐ À妽º Æݵå´Â ȯ±Ý¼ºÁÁ°í °Å·¡Çϱ⠽¬¿î ºí·çĨÀ» ÁַΠȸÀü½ÃÅ°Áö¸¸ ½ÃÃÑ°¡Áß À妽ºÆݵå´Â °Å·¡°¡ Èûµç ¼ÒÇüÁÖ¸¦ ÁַΠȸÀü½ÃŲ´Ù.
ÆÝ´õ¸àÅÐ À妽º Æݵå´Â ½ÃÃÑ°¡Áß À妽º Æݵå´ëºñ º¸¼ö°¡ ºñ½Î´Ù. PowerShare »çÀÇ ÆÝ´õ¸àÅÐ À妽º ETF ´Â ¿¬ 0.6% ÀÇ º¸¼ö¸¦ ¹Þ°í PIMCO »çÀÇ ÆÝ´õ¸àÅÐ À妽º ETF ´Â 1.14% ÀÇ º¸¼ö¸¦ ¹Þ´Â´Ù. ±×¿¡ ºñÇؼ ¹ð°¡µåÀÇ À妽º Æݵå´Â 0.18% ¸¦ ¹ÞÀ» »ÓÀÌ´Ù
(뷁뷁.. ÃѺ¸¼ö 0.15% À¯¸® ÇÇ°¡·Î ½º¸¶Æ® À妽º¿¡ ¸Å¿ì °¨»ç. ¿ì¸®³ª¶ó Æݵ庸¼ö°¡ ¹ÌÄ´Ù ´õ Àú·ÅÇÑ°ÍÀÌ´Ù.)
Response: Fundamentally based ETFs do have higher expense ratios than capitalization-weighted ones but the 2 to 2.5% of additional returns per annum far outweigh the additional expenses incurred.[24] ¹Ý·Ð ÆÝ´õ¸àÅÐ À妽º ETF ÀÇ º¸¼ö°¡ ´õ ºñ½Î±â´Â ÇÏÁö¸¸ ½ÃÃÑ°¡Áß À妽ºÆÝµå ´ëºñ ¿¬Æò±Õ 2% ¿¡¼ 2.5% ÀÇ Ãß°ú¼öÀÍÀ» ³½´Ù´ÂÁ¡À» »ý°¢ÇÏ¸é ¾à°£ÀÇ º¸¼ö´Â ÃæºÐÈñ »ó¼âÇÒ¼ö ÀÖ´Ù.
2% ¿¡¼ 2.5% ÀÇ ¿¬Æò±Õ ÃÊ°ú ¼öÀÍÀ̶ó´Â°Íµµ °ú°Å µ¥ÀÌŸ¸¦ °¡Áö°í ½ÇÇèÇÑ°ÍÀÌ°í ÆÝ´õ¸àÅÐ À妽º´Â È®½ÇÇÑ °á·ÐÀ» ¾òÀ»¸¸Å ½ÇÀü¿¡¼ ÃæºÐÇÑ ½Ã°£µ¿¾È Å×½ºÆ®µÇÁö ¾Ê¾Ò´Ù. ¹Ì·¡¸¦ ±âÁØÀ¸·Î ÆÝ´õ¸àÅÐ À妽º°¡ ¾î¶² ¼öÀÍÀ» ³¾Áö ¾Ë¼ö ¾ø´Ù. Response: The strategy has only been recently implemented, but the back-tested results come from multiple countries and over multiple time periods.[4][10]
ÇÏÁö¸¸ ¼ö¸¹Àº ³ª¶ó¿¡¼ ¹æ´ëÇÑ µ¥ÀÌÅ͸¦ »ç¿ëÇÏ¿© Å×½ºÆ®¸¦ ¼öÇàÇÏ¿´´Ù.
ÆÝ´õ¸àÅÐ À妽º vs ½ÃÃÑ°¡Áß À妽º ´ë·« °©·ÐÀ»¹ÚÀÇ Àç¹ÌÀÖ´Â ½Î¿ò. °ú¿¬ ´©°¡ À̱æ°ÍÀΰ¡? |