标题:
A 股私募基金业绩持续能力检验—以阳光私募为例Test of Performance Persistence of A Share Private Funds—Evidence from Sunshine Private Funds
作者:
刘建和, 曹建钢
关键字:
业绩持续性, 业绩持续能力, A 股私募基金, 阳光私募, 私募基金Performance Persistence; Performance Persistence Ability; A Share Private Fund; Sunshine Private Fund; Private Fund
期刊名称:
《Modern Management》, Vol.1 No.3, 2011-09-19
摘要:
业绩持续性作为评价基金业绩的一种方法，也成为考察基金经理投资能力的一种手段，但是目前相关A 股私募基金的业绩持续能力的检验成果却较少。本文以阳光私募(信托投资计划)这一A 股私募基金为研究对象，采用非参数检验和参数检验的方法，对其进行了风险调整收益排名的业绩持续性检验和跨周期的毛收益排名的持续能力考察。最终发现，阳光私募的中短期毛收益排名的业绩持续性较强，但风险调整收益排名的业绩持续性较弱。这说明A 股私募基金经理的投资业绩与其投资组合所承担的风险水平关系密切。
Performance persistence test is one way to value fund performance or to study fund manager’s investment capacity. But there are less empirical studies on performance persistence of A share private funds. This paper uses methods of non-parametric test and parametric test and tests performance persistence of A share private funds with data of sunshine private funds (Trust Investment Plans). The results show that inter-period performance persistence of A share private funds is strong but short run persistence is poor, and it is reasonable to believe A share private fund performance is closely related to corresponding risk.