中国私募股权母基金的投资绩效研究  

The Performance of Private Equity Funds of Funds in China

作　　者：周翔翼[1] 仲晓雨 侯晓辉[2] Xiangyi Zhou;Xiaoyu Zhong;Xiaohui Hou(Jinhe Center for Economic Research,Xi'an Jiaotong University;School of Economics and Finance,Xi'an Jiaotong University)

机构地区：[1]西安交通大学金禾经济研究中心 [2]西安交通大学经济与金融学院

出　　处：《经济管理学刊》2023年第4期279-322,共44页Quarterly Journal of Economics and Management

基　　金：国家社会科学基金后期资助项目“私募股权基金有限合伙人的投资行为和绩效研究”(23FGLB033);国家社会科学基金年度项目(22BJY113)的资助。

摘　　要：本文开创性地实证研究了中国私募股权母基金的投资绩效,探讨了基于中国特色的不同类别母基金的投资绩效差异及形成原因。研究发现,母基金投资绩效差于直投基金;市场化母基金背景有限合伙人(LP)的投资绩效优于政府背景LP,但差于企业背景LP和金融机构背景LP;政府引导基金的投资绩效差于市场化母基金;在两种市场化母基金中,国有背景母基金的投资绩效高于民营背景母基金;非聚焦投资的母基金的投资绩效优于其他各类聚焦投资的母基金。模拟抽样的结果显示,合成母基金的投资绩效优于真实母基金,说明中国私募股权母基金不具备筛选优质子基金的能力,这与政府引导基金筛选能力较差有一定关联。本文的研究结果有助于了解当前母基金的生存状况和投资绩效,有效推动相关领域的研究前沿。同时,也可为母基金,特别是政府引导基金提升配置水平和提高基金筛选能力提供一定的指导与帮助。In recent years,China's private equity market has undergone significant development and maturation.Compared with direct investment funds,Funds of Funds(FOFs)have developed rapidly by virtue of their qualities such as diversified investment risks,professional service management,and access to high-quality investment opportunities.Through empirical research,this paper analyzes the investment performance of private equity FOFs in China and explores the underlying factors that influence the FOF performance.This study analyzes performance variations and potential drivers of diverging performance across different types of private equity FOFs unique to the Chinese market.Our results suggest that FOFs underperform against direct investment funds.Limited partners with FOF background exhibit higher investment performance compared to those with a government background,but lower compared to those with enterprise,financial institution,and other backgrounds.Moreover,government-guided funds have significantly lower performance than market-oriented FOFs.Between the two market-oriented FOF types,state-owned FOFs have demonstrated superior performance in comparison to private FOFs.The performance of diversified FOFs is superior to FOFs with focused investments.Simulation sampling demonstrates that synthetic FOFs outperform real ones,indicating that the FOFs in the private equity market of China lack the ability to screen high-quality sub-funds.A preliminary investigation into the insufficient screening ability of FOFs suggests that the unsatisfactory screening ability of government-guided funds substantially diminishes the overall screening proficiency of FOFs.Despite considering the policy limitation of prioritizing local and early-stage investments,government-guided funds continue to exhibit inadequate screening capability.The paper presents four primary contributions.Firstly,it conducts a pioneering and comprehensive examination of the investment performance of FOFs in China's private equity market from multiple perspectives.Mor

关 键 词：私募股权基金 私募股权母基金 有限合伙人 投资绩效 

分 类 号：F830[经济管理—金融学]