Q&A
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Q&A
 
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¡®Q&A¡¯¿¡¼­´Â ¿©·¯ºÐÀÇ ´Ù¾çÇÑ °æÇè°ú ³ëÇϿ츦 ³ª´©´Â Àå¼ÒÀÔ´Ï´Ù. ÁÁÀº Á¤º¸¿Í Áö½Ä °øÀ¯ÀÇ ÀåÀÌ µÉ ¼ö ÀÖµµ·Ï ¿©·¯ºÐÀÇ ¸¹Àº ÀÌ¿ë ¹Ù¶ó¸ç, ¿©·¯ºÐ²² µµ¿òÀ» µå¸®°íÀÚ ³ë·ÂÇÏ°Ú½À´Ï´Ù.

°©·ÐÀ»¹Ú Æݵ¥¸ÕÅÐ À妽º Àü·« 6090 107517

±ÝÀ¶¿µ¾î ¾î·Á¿ò ´ë·« 뷁³¢.

 

Criticisms and responses
Since the first research was disseminated, fundamentally based indexes have been criticized by proponents of capitalization weighting including John Bogle, Burton Malkiel, and Gus Sauter. Responses have come primarily from the publications of one of the founders of fundamentally based indexes, Robert Arnott.

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 °ø½ÄÈ­µÇ¾î 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 °ø½ÄÈ­µÇ¾î 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??)


Fundamentally based indices are exposed to the Fama French risk factors?that is they are value-biased and small cap-biased. These factors have historically led to outperformance. The current returns of fundamentally based indices are exaggerated because of the recent strong performance of value stocks.[14][15][16]

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]
Fama French factor ´Â ÆÝ´õ¸àÅÐ À妽ÌÀÇ ÆнúêÇÑ ¿î¿ëÀ» Àß º¸¿©ÁØ´Ù.

±×·¸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.


Fundamentally based indices have higher expense ratios than capitalization weighted ones. For example, the Powershares fundamentally based ETFs have an expense ratio of 0.6% while the PIMCO Fundamental IndexPLUS TR Fund charges 1.14% in annual expenses.[22] In comparison, the Vanguard 500 Index Fund charges 0.18% per annum.[23]

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°¢Çϸé

¾à°£ÀÇ º¸¼ö´Â ÃæºÐÈñ »ó¼âÇÒ¼ö ÀÖ´Ù.


The 2 to 2.5% of additional returns that come from fundamentally based indexes are back-tested, and fundamentally based index funds have not been around long enough to draw any conclusions. We cannot know how the strategy will perform in the future.[6]

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]


ÆÝ´õ¸àÅÐ Àε¦½Ì Àü·«Àº ÃÖ±Ù¿¡ ³ª¿Â°ÍÀ̸ç, ±×·¸±â¿¡ °ú°Å ÀÚ·á¿¡ ´ëÀÔÇÑ°ÍÀÌ´Ù.

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¡?

 

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