【作者】 许诺；

【导师】 汪炜；

【作者基本信息】 浙江大学 ， 金融， 2024， 硕士

【摘要】 近年来,随着私募基金规模不断扩大,对于其监管的规范化和政策的导向让更多投资者有兴趣参与私募基金理财业务。但由于私募基金的数量和种类繁多,普通投资者没有专业的金融知识难以选择适合自己的私募基金。因此,本文旨在通过研究基金经理特征的差异对于私募基金业绩和业绩持续性的影响,帮助个人投资者进行合理的资产配置,同时也能促进资本市场的健康发展。本文以2019年1月至2022年12月作为样本期,共选取30,396个数据样本,以相对收益率、最大回撤率、阿尔法、夏普比率、索提诺比率和卡玛比率六个指标为业绩评价指标,研究基金经理的性别、学历、从业年限、管理基金数、从业背景和办公地对私募基金业绩及其业绩持续性的影响。同时将四年细分为牛市、熊市和震荡市场对基金经理的不同特征应对不同市场环境时存在的区别进行实证研究。最后,本文还考虑了基金的幸存者偏差。实证结果发现:(1)男性私募基金经理在牛市时能够获得更好的基金业绩;(2)硕士学历私募基金经理在牛市时能获得更好的基金业绩;博士私募基金经理比其他学历基金经理能够获得更好的基金业绩;(3)从业年限越短的私募基金经理拥有更好的业绩,但从业年限越长的私募基金经理所管理的私募基金拥有更好的业绩持续性;(4)基金管理数越多的私募基金经理拥有更好的业绩及业绩持续性;(5)拥有券商从业背景的私募基金经理在牛市的业绩表现中不佳,但所管理的基金拥有更好的业绩持续性;拥有公募从业背景的私募基金经理在震荡市场中能够获得更好的业绩;(6)在北上广深或南方办公的基金经理所管理的私募基金拥有更好的业绩及业绩持续性;(7)基金存在幸存者偏差。最后,基于上述研究结论,本文对私募基金的基金公司、投资者和监管者提出了相关建议。更多还原

【Abstract】 In recent years,with the continuous expansion of the scale of private equity funds,the standardization of supervision and policy guidance have made more investors interested in participating in the financial management business of private equity funds.However,due to the large number and variety of private equity funds,ordinary investors without professional financial knowledge are difficult to choose suitable private equity funds.Therefore,this paper aims to help individual investors make reasonable asset allocation and promote the healthy development of the capital market by studying the impact of the differences in fund manager characteristics on the performance and performance sustainability of private equity funds.This paper takes January 2019 to December 2022 as the sample period,selects a total of 30,396 data samples,and takes Relative Rate of Return,Max Drawdown,Alpha,Sharp Ratio,Sotino Ratio and Calmar Ratio as the performance evaluation indexes to study the impact of fund manager’s gender,education,working years,number of funds managed,working background and office location on the performance and performance sustainability of private equity funds.At the same time,this paper also conducts an empirical study on the differences in the response of fund managers’ different characteristics to different market environments by dividing the four years into bull market,bear market and shock market.Finally,this paper also considers the survivor bias of funds.The results show that:(1)Male private equity fund managers can achieve better fund performance during bull markets;(2)Master’s degree private fund managers can achieve better fund performance during bull markets;Doctoral private fund managers are able to achieve better fund performance than other educational fund managers;(3)Private fund managers with shorter years of experience have better performance,but those with longer years of experience manage private funds with better performance sustainability;(4)Private equity fund managers with more fund managers have better performance and performance sustainability;(5)Private equity fund managers with a background in securities industry perform poorly in bull markets,but the funds they manage have better performance sustainability;Private fund managers with a background in public offering can achieve better performance in volatile markets;(6)Private equity funds managed by fund managers working in Beijing,Shanghai,Guangzhou,Shenzhen,or the South have better performance and performance sustainability;(7)There is a survivor bias in funds.Finally,based on the above conclusions,this paper puts forward relevant suggestions for private equity fund companies,investors and regulators.更多还原