阳光私募基金的绩效与评价

发布时间：2018-04-18 20:15

  本文选题：阳光私募基金 + Sharpe比率　； 参考：《证券市场导报》2014年11期

【摘要】：组合/策略业绩的非正态统计特征对Sharpe比率的估计偏差有着重要的影响,而概率Sharpe比率(PSR)统计量能够综合地度量业绩记录的长度、偏度与峰度等因素,是分析、评价基金产品绩效与投资技能的重要标尺。应用PSR统计量,本文实证分析了我国阳光私募基金1300多只产品自成立以来到2013年底的绩效与投资管理技能,发现仅有3%不到的基金产品表现出稳健的投资技能,在整体表现上良莠不齐,而统计结果表明各基金产品管理人在非正态风险尤其是尾部风险上的控制普遍不足。本文认为阳光私募基金唯有加强研究投入、建立良好的人才培养与激励机制以及完善公司治理才能获得稳健、持续业绩。
[Abstract]:The non-normal statistical characteristics of combination / strategy performance have an important influence on the estimation deviation of Sharpe ratio, and the probabilistic Sharpe ratio statistic can comprehensively measure the length, skewness and kurtosis of the performance record.Evaluation of fund product performance and investment skills of the important yardstick.By using PSR statistics, this paper empirically analyzes the performance and investment management skills of more than 1300 products of China's Sunshine Private Fund from its inception to the end of 2013. It is found that only less than 3% of the fund products exhibit sound investment skills.The results show that the non-normal risk, especially the tail risk, is generally inadequate.This paper holds that only by strengthening research investment, establishing good talent training and incentive mechanism, and perfecting corporate governance, can Sunshine Private Fund obtain steady and sustained performance.
【作者单位】： 国信证券博士后工作站;
【分类号】：F832.51;F224
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本文编号：1769899