Korea Investment Management's 'ACE TDF ETF' Series Ranks First by Vintage in One-Year Sharpe Ratio

One Year Since Listing in March Last Year
Outstanding Risk-Adjusted Returns

Korea Investment Management Co., Ltd. announced on March 16 that the one-year Sharpe ratio for its "ACE TDF ETF Series" ranked among the top for each vintage (target date). The Sharpe ratio indicates the risk-adjusted return.

This series is a product that combines the lifecycle fund (TDF) management strategy with the structure of an exchange-traded fund (ETF), thereby increasing trading convenience. In March of last year, Korea Investment Management Co., Ltd. listed three products: ACE TDF2030 Active ETF, ACE TDF2050 Active ETF, and ACE Long-Term Asset Allocation Active ETF.

According to the Korea Investment Management Co., Ltd. website, as of March 11, the one-year Sharpe ratios for the three ACE ETFs ranged from 1.63 to 2.21, representing the highest figures among TDF ETFs overall or by vintage (2030·2050), based on the ACE Long-Term Asset Allocation Active ETF. A higher risk-adjusted return means that, for the same level of risk, the potential profit is greater.

The returns are also impressive. The one-year returns were calculated as 14.05% for ACE TDF2030 Active, 27.39% for ACE TDF2050 Active, and 36.63% for ACE Long-Term Asset Allocation Active. The ACE TDF2030 Active ETF and ACE TDF2050 Active ETF recorded top-tier returns within their respective vintages (2nd in 2030, 1st in 2050), while the ACE Long-Term Asset Allocation Active ETF, which does not have a direct vintage comparison, achieved the highest return among all TDF ETFs. Over the past six months, returns ranged from 5.17% to 18.11%.

Korea Investment Management Co., Ltd. explained that these strong results are due to the implementation of its glide path and Long-Term Capital Market Assumptions (LTCMA) in its management strategies. The company has developed a customized glide path for Korean investors, taking into account factors such as income and life expectancy, and applies this to both the ACE TDF ETF series and the Korea Investment TDF Automatic ETF Focus Fund series. Furthermore, when developing management strategies, the company analyzes over 40 years of economic indicators and business cycles, using LTCMA calculated in Korean won as a standard.

The performance of the funds is also reflected in capital inflows. The combined net asset value of the ACE TDF ETF series has reached 97.2 billion won, approaching 100 billion won. Since the beginning of this year alone, the net asset value has increased by 32.2 billion won.

Kang Seongsu, Head of the Solutions Division at Korea Investment Management Co., Ltd., stated, "We have continuously improved the Sharpe ratio by utilizing our internally developed LTCMA and glide path, which are optimized for domestic investors’ asset allocation strategies. As a result, we have reduced uncertainty regarding the timing of investment and achieved stable performance." He further emphasized, "Since TDFs are long-term investment products suitable for retirement planning, it is important to consider not only short-term returns but also long-term performance and indicators such as the Sharpe ratio."

This content was produced with the assistance of AI translation services.