中国私募证券投资基金的业绩持续性研究
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摘要
对中国股票多头私募证券投资基金的业绩持续性问题做了比较全面的实证研究,研究的基金样本覆盖了大量2011年至2017年间存续期6个月以上的私募证券投资基金产品,建议的业绩指标不仅包括收益类指标,还扩展到风险类和风险调整后收益类等常用基金评价指标。研究采用两期模型,用参数和非参数两类方式并细分为六种检验方法,对季度、半年和一年期持续性分别检验。研究结果发现收益类指标的持续性较差,而风险类指标的持续性很强,风险调整后收益类指标中对于沪深300的Alpha值和夏普比率表现出一定的持续性。
In this paper,we study the performance persistency of Chinese long only hedge funds.The data covers a large amount of hedge fund products with life over 6 months from 2011 to 2017.The performance indicators include not only returns,but also risks and risk adjusted returns.We use two period model framework,and totally six different parametric and non-parametric tests over quarter,half year and year intervals separately.We find that persistence of returns is weak,persistence of risks is very strong.And among risk adjusted returns,Jensen's Alpha again HS300 index and sharpe ratio have more persistence.
In this paper,we study the performance persistency of Chinese long only hedge funds.The data covers a large amount of hedge fund products with life over 6 months from 2011 to 2017.The performance indicators include not only returns,but also risks and risk adjusted returns.We use two period model framework,and totally six different parametric and non-parametric tests over quarter,half year and year intervals separately.We find that persistence of returns is weak,persistence of risks is very strong.And among risk adjusted returns,Jensen's Alpha again HS300 index and sharpe ratio have more persistence.
引文
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[3] BRORSEN B W,HARRI A.Performance persistence and the source of returns for hedge funds[J].Applied Financial Economics,2004(14):131-141.
[4] BROWN S J.Offshore hedge funds:Survival and performance,1989-1995[J].Journal of Business,1999,72(1).
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[6] CARHART M M.On persistence in mutual fund performance[J].The Journal of finance,1997,52(1):57-82.
[7]李德辉,方兆本.证券投资基金业绩持续性研究综述[J].证券市场导报,2005(8):38-43.
[8]刘建和,曹建钢.A股私募基金业绩持续能力检验—以阳光私募为例[J].Modern Management,2011(3):137-142.
[9]刘建和,朱启勉,林鲁森.生存偏差对阳光私募基金业绩持续性的影响[J].财会月刊,2017(8):111-117.
[2] BOYSON N M.Do hedge funds show performance persistence?A new approach[J].Financial Analyst Journal,2008,64(6):27-44.
[3] BRORSEN B W,HARRI A.Performance persistence and the source of returns for hedge funds[J].Applied Financial Economics,2004(14):131-141.
[4] BROWN S J.Offshore hedge funds:Survival and performance,1989-1995[J].Journal of Business,1999,72(1).
[5] BROWN S J,GOETZMANN W N.Performance persistence[J].Journal of Finance,1995,50(2):679-698.
[6] CARHART M M.On persistence in mutual fund performance[J].The Journal of finance,1997,52(1):57-82.
[7]李德辉,方兆本.证券投资基金业绩持续性研究综述[J].证券市场导报,2005(8):38-43.
[8]刘建和,曹建钢.A股私募基金业绩持续能力检验—以阳光私募为例[J].Modern Management,2011(3):137-142.
[9]刘建和,朱启勉,林鲁森.生存偏差对阳光私募基金业绩持续性的影响[J].财会月刊,2017(8):111-117.