本文選題：陽光私募基金 + Sharpe比率�。� 參考：《證券市場導報》2014年11期

【摘要】：組合/策略業(yè)績的非正態(tài)統(tǒng)計特征對Sharpe比率的估計偏差有著重要的影響,而概率Sharpe比率(PSR)統(tǒng)計量能夠綜合地度量業(yè)績記錄的長度、偏度與峰度等因素,是分析、評價基金產品績效與投資技能的重要標尺。應用PSR統(tǒng)計量,本文實證分析了我國陽光私募基金1300多只產品自成立以來到2013年底的績效與投資管理技能,發(fā)現(xiàn)僅有3%不到的基金產品表現(xiàn)出穩(wěn)健的投資技能,在整體表現(xiàn)上良莠不齊,而統(tǒng)計結果表明各基金產品管理人在非正態(tài)風險尤其是尾部風險上的控制普遍不足。本文認為陽光私募基金唯有加強研究投入、建立良好的人才培養(yǎng)與激勵機制以及完善公司治理才能獲得穩(wěn)健、持續(xù)業(yè)績。
[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】： 國信證券博士后工作站;
【分類號】：F832.51;F224
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本文編號：1769899