CAJ | 학술논문

组合/策略业绩的非正态统计特征对Sharpe比率的估计偏差有着重要的影响,而概率Sharpe比率（PSR）统计量能够综合地度量业绩记录的长度、偏度与峰度等因素,是分析、评价基金产品绩效与投资技能的重要标尺。应用PSR统计量,本文实证分析了我国阳光私募基金1300多只产品自成立以来到2013年底的绩效与投资管理技能,发现仅有3%不到的基金产品表现出稳健的投资技能,在整体表现上良莠不齐,而统计结果表明各基金产品管理人在非正态风险尤其是尾部风险上的控制普遍不足。本文认为阳光私募基金唯有加强研究投入、建立良好的人才培养与激励机制以及完善公司治理才能获得稳健、持续业绩。
조합/책략업적적비정태통계특정대Sharpe비솔적고계편차유착중요적영향,이개솔Sharpe비솔（PSR）통계량능구종합지도량업적기록적장도、편도여봉도등인소,시분석、평개기금산품적효여투자기능적중요표척。응용PSR통계량,본문실증분석료아국양광사모기금1300다지산품자성립이래도2013년저적적효여투자관리기능,발현부유3%불도적기금산품표현출은건적투자기능,재정체표현상량유불제,이통계결과표명각기금산품관리인재비정태풍험우기시미부풍험상적공제보편불족。본문인위양광사모기금유유가강연구투입、건립량호적인재배양여격려궤제이급완선공사치리재능획득은건、지속업적。
Non-normal statistical characteristics of portfolios＇ performance have a great impact on the estimation errors of Sharpe ratio, while the probabilistic Sharpe ratio（PSR） statistics can comprehensively take the length, skewness and kurtosis of track records into account for analyzing and evaluating performance of fund products. Utilizing PSR statistic, we empirically studied the performance and investment skill of Chinese ‘sunshine＇ private funds since its inception to the end of 2013, and found that only less than 3% of fund products exhibited levelheaded investment skills, intermingled with good and bad in the overall performance. Statistically, the results indicate that the non-normal risks, especially the tail risk, are not well-managed. We believed that levelheaded and sustainable performances of the sunshine private funds should be powered by research efforts, well-established training and incentive mechanisms, and good corporate governance.