本文選題：陽(yáng)光私募基金 + Sharpe比率��； 參考：《證券市場(chǎng)導(dǎo)報(bào)》2014年11期

【摘要】：組合/策略業(yè)績(jī)的非正態(tài)統(tǒng)計(jì)特征對(duì)Sharpe比率的估計(jì)偏差有著重要的影響,而概率Sharpe比率(PSR)統(tǒng)計(jì)量能夠綜合地度量業(yè)績(jī)記錄的長(zhǎng)度、偏度與峰度等因素,是分析、評(píng)價(jià)基金產(chǎn)品績(jī)效與投資技能的重要標(biāo)尺。應(yīng)用PSR統(tǒng)計(jì)量,本文實(shí)證分析了我國(guó)陽(yáng)光私募基金1300多只產(chǎn)品自成立以來(lái)到2013年底的績(jī)效與投資管理技能,發(fā)現(xiàn)僅有3%不到的基金產(chǎn)品表現(xiàn)出穩(wěn)健的投資技能,在整體表現(xiàn)上良莠不齊,而統(tǒng)計(jì)結(jié)果表明各基金產(chǎn)品管理人在非正態(tài)風(fēng)險(xiǎn)尤其是尾部風(fēng)險(xiǎn)上的控制普遍不足。本文認(rèn)為陽(yáng)光私募基金唯有加強(qiáng)研究投入、建立良好的人才培養(yǎng)與激勵(lì)機(jī)制以及完善公司治理才能獲得穩(wěn)健、持續(xù)業(yè)績(jī)。
[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.
【作者單位】： 國(guó)信證券博士后工作站;
【分類(lèi)號(hào)】：F832.51;F224
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本文編號(hào)：1769899