阳光私募基金经理具有卓越的投资能力吗?
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财经研究 2013 年 第 39 卷第 12 期, 页码：87 - 101
摘要
参考文献
摘要
文章首次利用手工收集的我国493只非结构化阳光私募基金数据,综合使用基于CAPM和FF3的八种因子模型,从基金个体、基金组合和基金经理以往职业经历(分为公募系、券商系和民间系)等角度考察了阳光私募基金的绩效。研究发现:(1)阳光私募基金总体上跑赢了市场,其中公募系的表现最优,券商系次之,民间系最差。(2)在区分选股能力和择时能力后,公募系和券商系私募基金经理虽没有明显的择时能力,但具有较强的选股能力;民间系基金经理虽具有一定的选股能力,但表现出糟糕的择时能力。(3)基于FF3的因子模型解释能力较强,其中GII-FF3模型能够更加有效地识别基金的择时能力。
[1]李红权,马超群.中国证券投资基金绩效评价的理论与实证研究[J].财经研究,2004,(7):56-65.
[2]夏斌.中国“私募基金”报告[J].金融研究,2001,(8):18-31.
[3]肖峻,石劲.基金业绩与资金流量:我国基金市场存在“赎回异象”吗?[J].经济研究,2011,(1):112-125.
[4]肖欣荣,田存志.私募基金的管理规模与最优激励契约[J].经济研究,2011,(3):119-130.
[5]姚正春,邓淑芳,李志文.封闭式基金经理的竞争压力[J].金融研究,2006,(9):81-92.
[6]Agarwal V,Naik N Y.Risks and portfolio decisions involving hedge funds[J].Review of Financial Studies,2004,17(1):63-98.
[7]Berk J B,Green R C.Mutual fund flows and performance in rational markets[J].Journal of Political Economy,2004,112(6):1269-1295.
[8]Chen Y,Liang B.Do market timing hedge funds time the market?[J].Journal of Financial and Quantitative Analysis,2007,42(4):827-856.
[9]Chevalier J,Ellison G.Are some mutual fund managers better than others?Cross-sectional patterns in behavior and performance[J].Journal of Finance,1999,54(3):875-899.
[10]Fama E F,French K R.The cross-section of expected stock returns[J].Journal of Finance,1992,47(2):427-465.
[11]Fama E F,French K R.Common risk factors in the returns on stocks and bonds[J].Journal of Financial Economics,1993,33(1):3-56.
[12]Fama E F,French K R.Multifactor explanations of asset pricing anomalies[J].Journal of Finance,1996,51(1):55-84.
[13]Fung W,Hsieh D A.Empirical characteristics of dynamic trading strategies:The case of hedge funds[J].Review of Financial Studies,1997,10(2):275-302.
[14]Fung W,Hsieh D A.Hedge fund benchmarks:A risk-based approach[J].Financial Analysts Journal,2004,60(5):65-80.
[15]Goetzmann W N,Ingersoll J,Ivkovi Z.Monthly measurement of daily timers[J].Journal of Financial and Quantitative Analysis,2000,35(03):257-290.
[16]Henriksson R D,Merton R C.On market timing and investment performance.II.Statistical procedures for evaluating forecasting skills[J].Journal of Business,1981,54(4):513-533.
[17]Ibbotson R G,Chen P,Zhu K X.The ABCs of hedge funds:Alphas,betas,and costs[J].Financial Analysts Journal,2011,67(1):15-25.
[18]Jensen M C.The performance of mutual funds in the period 1945-1964[J].Journal of Finance,1968,23(2):389-416.
[19]Lintner J.Security prices,risk,and maximal gains from diversification[J].Journal of Finance,1965,20(4):587-615.
[20]Merton R C.On market timing and investment performance.I.An equilibrium theory of value for market forecasts[J].Journal of Business,1981,54(3):363-406.
[21]Nohel T,Wang Z J,Zheng L.Side-by-side management of hedge funds and mutual funds[J].Review of Financial Studies,2010,23(6):2342-2373.
[22]Ross S A.The arbitrage theory of capital asset pricing[J].Journal of Economic Theory,1976,13(3):341-360.
[23]Sharpe W F.Capital asset prices:A theory of market equilibrium under conditions of risk[J].Journal of Finance,1964,19(3):425-442.
[24]Switzer L N,Omelchak A.Are there benefits from dynamic asset allocation strategies across hedge funds?[J].Journal of Portfolio Management,2011,37(3):116-120.
[25]Treynor J L.How to rate management of investment funds[J].Harvard Business Review,1965,43(1):63-75.
[26]Treynor J L,Mazuy K K.Can mutual funds outguess the market?[J].Harvard Business Review,1966,44(4):131-136.
①阳光私募按投资者结构可分为结构化和非结构化两种类型。其中,结构化阳光私募把投资者分为“一般”和“优先”两类。一般投资者通常是基金发起人或者管理人,而优先投资者则为普通投资者。当基金表现不佳时,前者保证后者的本金不受损失或者有一定的收益;当基金盈利时,前者则提取后者的一部分盈利作为风险补偿。因此,结构化阳光私募一般对外公布针对两类投资者的净值数据,由此得到的历史收益率无法反映基金真正的投资收益。非结构化阳光私募的所有投资者则共担风险并共享收益,由此得到的历史收益率可以反映基金的实际投资收益。鉴于此,本文仅考察非结构化阳光私募。
②2008-2012年,有近50篇文章发表在国际四大金融学术杂志上(Journal of Finance、Review of Financial Studies、Journal of Financial Economics和Journal of Financial and Quantitative Analysis)。
③据我们了解,国内目前仅有两篇关于私募基金的研究文献。其中,夏斌(2001)在调查我国私募基金生存状况和考察国外相关法律的基础上,提出了大力发展并立法监管私募基金的建议。肖欣荣和田存志(2011)从理论上研究了私募基金管理者与投资人之间的委托-代理关系,给出了私募基金的最优管理规模和业绩提成比例。
④肖峻和石劲(2011)研究了公募基金业绩与资金流量之间的“赎回异象”,他们声称所使用的204只基金为迄今国内相关研究中最大的样本。
[2]夏斌.中国“私募基金”报告[J].金融研究,2001,(8):18-31.
[3]肖峻,石劲.基金业绩与资金流量:我国基金市场存在“赎回异象”吗?[J].经济研究,2011,(1):112-125.
[4]肖欣荣,田存志.私募基金的管理规模与最优激励契约[J].经济研究,2011,(3):119-130.
[5]姚正春,邓淑芳,李志文.封闭式基金经理的竞争压力[J].金融研究,2006,(9):81-92.
[6]Agarwal V,Naik N Y.Risks and portfolio decisions involving hedge funds[J].Review of Financial Studies,2004,17(1):63-98.
[7]Berk J B,Green R C.Mutual fund flows and performance in rational markets[J].Journal of Political Economy,2004,112(6):1269-1295.
[8]Chen Y,Liang B.Do market timing hedge funds time the market?[J].Journal of Financial and Quantitative Analysis,2007,42(4):827-856.
[9]Chevalier J,Ellison G.Are some mutual fund managers better than others?Cross-sectional patterns in behavior and performance[J].Journal of Finance,1999,54(3):875-899.
[10]Fama E F,French K R.The cross-section of expected stock returns[J].Journal of Finance,1992,47(2):427-465.
[11]Fama E F,French K R.Common risk factors in the returns on stocks and bonds[J].Journal of Financial Economics,1993,33(1):3-56.
[12]Fama E F,French K R.Multifactor explanations of asset pricing anomalies[J].Journal of Finance,1996,51(1):55-84.
[13]Fung W,Hsieh D A.Empirical characteristics of dynamic trading strategies:The case of hedge funds[J].Review of Financial Studies,1997,10(2):275-302.
[14]Fung W,Hsieh D A.Hedge fund benchmarks:A risk-based approach[J].Financial Analysts Journal,2004,60(5):65-80.
[15]Goetzmann W N,Ingersoll J,Ivkovi Z.Monthly measurement of daily timers[J].Journal of Financial and Quantitative Analysis,2000,35(03):257-290.
[16]Henriksson R D,Merton R C.On market timing and investment performance.II.Statistical procedures for evaluating forecasting skills[J].Journal of Business,1981,54(4):513-533.
[17]Ibbotson R G,Chen P,Zhu K X.The ABCs of hedge funds:Alphas,betas,and costs[J].Financial Analysts Journal,2011,67(1):15-25.
[18]Jensen M C.The performance of mutual funds in the period 1945-1964[J].Journal of Finance,1968,23(2):389-416.
[19]Lintner J.Security prices,risk,and maximal gains from diversification[J].Journal of Finance,1965,20(4):587-615.
[20]Merton R C.On market timing and investment performance.I.An equilibrium theory of value for market forecasts[J].Journal of Business,1981,54(3):363-406.
[21]Nohel T,Wang Z J,Zheng L.Side-by-side management of hedge funds and mutual funds[J].Review of Financial Studies,2010,23(6):2342-2373.
[22]Ross S A.The arbitrage theory of capital asset pricing[J].Journal of Economic Theory,1976,13(3):341-360.
[23]Sharpe W F.Capital asset prices:A theory of market equilibrium under conditions of risk[J].Journal of Finance,1964,19(3):425-442.
[24]Switzer L N,Omelchak A.Are there benefits from dynamic asset allocation strategies across hedge funds?[J].Journal of Portfolio Management,2011,37(3):116-120.
[25]Treynor J L.How to rate management of investment funds[J].Harvard Business Review,1965,43(1):63-75.
[26]Treynor J L,Mazuy K K.Can mutual funds outguess the market?[J].Harvard Business Review,1966,44(4):131-136.
①阳光私募按投资者结构可分为结构化和非结构化两种类型。其中,结构化阳光私募把投资者分为“一般”和“优先”两类。一般投资者通常是基金发起人或者管理人,而优先投资者则为普通投资者。当基金表现不佳时,前者保证后者的本金不受损失或者有一定的收益;当基金盈利时,前者则提取后者的一部分盈利作为风险补偿。因此,结构化阳光私募一般对外公布针对两类投资者的净值数据,由此得到的历史收益率无法反映基金真正的投资收益。非结构化阳光私募的所有投资者则共担风险并共享收益,由此得到的历史收益率可以反映基金的实际投资收益。鉴于此,本文仅考察非结构化阳光私募。
②2008-2012年,有近50篇文章发表在国际四大金融学术杂志上(Journal of Finance、Review of Financial Studies、Journal of Financial Economics和Journal of Financial and Quantitative Analysis)。
③据我们了解,国内目前仅有两篇关于私募基金的研究文献。其中,夏斌(2001)在调查我国私募基金生存状况和考察国外相关法律的基础上,提出了大力发展并立法监管私募基金的建议。肖欣荣和田存志(2011)从理论上研究了私募基金管理者与投资人之间的委托-代理关系,给出了私募基金的最优管理规模和业绩提成比例。
④肖峻和石劲(2011)研究了公募基金业绩与资金流量之间的“赎回异象”,他们声称所使用的204只基金为迄今国内相关研究中最大的样本。
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陈道轮, 陈欣, 陈工孟, 等. 阳光私募基金经理具有卓越的投资能力吗?[J]. 财经研究, 2013, 39(12): 87–101.
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