阳光私募:消亡现象与幸存者偏误  

China's Hedge Funds:Attrition and Survivor Bias

作　　者：陈道轮[1] 陈强[1] 陈工孟[1] 

机构地区：[1]上海交通大学安泰经济与管理学院

出　　处：《上海管理科学》2013年第5期65-72,共8页Shanghai Management Science

基　　金：2012年中国国家留学基金资助项目(编号:留金发[2012]3013号)

摘　　要：本文首次利用包括消亡基金在内的大样本阳光私募分析了尚未在公募基金中发生的消亡现象。我们发现该行业的年消亡率达13.55%,相应的幸存者偏误为0.99%/年。Probit消亡模型表明,不同于美国对冲基金,我国阳光私募的消亡与其原始收益率无关,但与风格调整后收益率(原始收益率与同期行业平均收益率的差额)显著负相关。另外,业绩波动大、规模小和年轻的基金容易消亡,而固定管理费和业绩提成费高的基金则容易存活。Using a large sample of China＇s hedge funds which includes disappeared funds, we investigate this industry＇ s attrition phenomenon for the first time. We find that the yearly attrition rate is 13.55% and the corresponding survivorship bias is 0.99%. Probit analysis shows that fund＇s attrition is irrelevant to its historical raw return, which is different from that of US hedge funds. However, it is negatively related to the return adjusted by the industry benchmark. Additionally, younger funds with larger volatility and smaller initial AUM are more likely to disappear, while funds with higher management and incentive fees are easier to survive.

关 键 词：阳光私募 消亡 幸存者偏误 

分 类 号：F832[经济管理—金融学]