基金经理公募转私募前后业绩比较研究

发布时间：2018-04-20 16:00

本文选题：基金经理 + “奔私”　；参考：《山东大学》2014年硕士论文

【摘要】：阳光私募基金是借助信托公司发行,经过监管机构备案,资金实现第三方银行托管,有定期业绩报告的投资于股票市场的基金。由于借助信托公司平台发行保证了私募认购者的资金安全,而且它比一般地下私募证券投资基金更为规范化和透明化,又有着公募证券投资基金并不具备的灵活性与高收益性,因此阳光私募基金在最近几年得到了快速的发展,成为了民间金融一股不可忽视的投资力量。但学术领域这方面研究的欠缺,与现实中阳光私募的迅猛发展形成明显反差,因此,关于阳光私募基金更深层次的研究已经刻不容缓。而另一方面,从2006年第一只“公募派”背景的阳光私募信托产品成立以来,近8年“奔私”的公募基金经理已超过90位。明星基金经理们为什么纷纷转战私募?顶着业绩的光环毅然转投私募的那些基金经理们,现状如何呢?针对基金经理“跳槽”这一现象,目前绝大多数研究局限于基金经理在公募基金内部“改换门庭”,几乎没有学者对公募基金经理“奔私”现象进行实证分析。综上,本文拟以公募派阳光私募基金经理为研究标的,从选股择时能力的角度对基金经理在其公募阶段和阳光私募阶段的业绩表现展开实证对比,进一步完善目前学术界对基金经理“奔私”这一现象的研究,具有一定的理论意义。而实证对比研究所得的结论,一方面希望对阳光私募的未来发展和公募基金的薪酬激励改革给出一些启示,另一方面也希望可以为基金经理职业生涯规划和有意投资于阳关私募的投资者提供参考,具有一定的实践意义。本文对基金经理“奔私”现象进行了理论方面与实证方面的深入研究。理论方面,主要介绍了国外关于基金业绩评价的经典理论模型,并对公募与阳光私募的特点展开对比分析；实证方面,本文采用TM-Fama-French三因素模型考察了41位基金经理管理的77只股票型公募基金和216只阳光私募基金的选股择时能力,加之T检验来考察基金经理在公募转私募前后业绩表现是否发生了显著改变。通过实证研究,本文得到以下几个结论： 1.公募基金整体体现出了不显著的正向选股能力和负向择时能力；阳光私募基金择时选股能力都不显著为负。 2.基金经理公转私后,选股能力显著退步了,择时能力虽仍为负,但较公募阶段有不显著的进步。笔者认为,选股能力显著退步是因为失去了公募基金投研平台的支持；而择时能力有不显著提高,是由于“奔私”后没有了一系列投资和仓位限制,基金经理通过股票和国债、现金之间的转换以规避系统风险的意识和体验有所增加。 3.没有足够的证据表明阳光私募的薪酬激励机制能提升业绩。 4.传统的因子模型虽然能够解释公募基金业绩,但是无法很好地解释阳光私募基金业绩。
[Abstract]:Sunshine Private funds are funds invested in the stock market through the issuance of trust companies, the filing by regulators, the realization of third party bank custody and regular performance reports. Because the issuance of trust company platform ensures the fund safety of private investors, and it is more standardized and transparent than the general underground private equity investment fund, it also has the flexibility and high profitability that the public offering securities investment fund does not have. Therefore, the Sunshine Private Fund has developed rapidly in recent years and has become an important investment force in private finance. However, the lack of academic research in this area is in contrast to the rapid development of sunshine private equity in reality. Therefore, the deeper research on sunshine private equity funds has become urgent. On the other hand, since the establishment of the first "public offering" background Sunshine Private Equity Trust in 2006, there have been more than 90 public fund managers in the past eight years. Why do star fund managers turn to private equity? Bear the halo of performance of those fund managers who resolutely turned to private equity, how is the status quo? In view of the phenomenon of "job-hopping" of fund managers, at present, most of the studies are confined to the "changing doors" of fund managers in the public offering fund, and few scholars have made an empirical analysis on the phenomenon of "running for private" in public fund managers. To sum up, this paper intends to compare the performance of the fund managers in the public offering stage and the sunshine private placement stage from the perspective of the timing ability of stock selection, taking the public offering fund managers as the research object, and comparing the performance of the fund managers in the public offering stage and the sunshine private equity stage. It is of certain theoretical significance to further improve the current academic research on fund managers'"running for private" phenomenon. On the one hand, I hope to give some enlightenment to the future development of Sunshine Private Equity and the reform of compensation incentive of public offering fund. On the other hand, it also hopes to provide reference for fund managers' career planning and investors who are interested in investing in Yangguan private equity. This paper makes a theoretical and empirical study on the phenomenon of fund managers running for personal gains. In theory, it mainly introduces the classical theoretical model of fund performance evaluation in foreign countries, and analyzes the characteristics of public offering and sunshine private placement. This paper investigates the timing ability of 77 public offering funds and 216 sunshine private equity funds, which are managed by 41 fund managers, using the TM-Fama-French three-factor model. In addition, T-test to investigate whether the performance of fund managers before and after public offering private placement has changed significantly. Through empirical research, this paper draws the following conclusions: 1. The public offering funds as a whole reflect the ability of both positive stock selection and negative timing, while the ability of sunshine private equity funds is not significantly negative. 2. Fund managers' ability to choose stocks has been significantly reduced, although the ability of timing is still negative, but there is no significant progress compared with the stage of public offering. The author believes that the significant decline in stock selection ability is due to the loss of the support of the public offering fund investment and research platform, but the lack of significant improvement in the timing ability is due to the absence of a series of investment and position restrictions after "going private", and fund managers pass through stocks and treasury bonds. Cash conversion to avoid systematic risk awareness and experience has increased. 3. There is not enough evidence that Sunshine's pay incentives can improve performance. 4. Although the traditional factor model can explain the performance of public offering fund, it can not explain the performance of sunshine private fund.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.39

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