阳光私募基金经理具有卓越的投资能力吗?

Do “Sunshine” Private Fund Managers Have Superior Investment Skills?

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。

By using the hand-collected data of 493 unstructured sunshine private funds for the first time, this paper comprehensively employs eight factor models based on CAPM and FF3 to study the performance of sunshine private funds from the perspectives of individual fund, fund portfolio and past occupational experiences of fund managers （divided into mutual-fund type, brokerage type and folk type）. It comes to the conclusions as follows. firstly, overall, sunshine private funds outperform the market, and the per- formance of mutual-fund type funds is the best, followed by brokerage type and folk type funds; secondly, as for the security-selecting and market-tim- ing abilities,managers of mutual-fund type and brokerage type have no obvi- ous market-timing abilities, but show strong security-selecting abilities, and folk type fund managers have certain security-selecting abilities, but show poor market-timing abilities; thirdly, FF3-based factor models provide the more perfect explanation of fund performance and GII-FF3 model is more effective to identify market-timing ability.