Omega比率：衡量私募基金绩效的良好指标

[table_main]策略报告类模板_new基金研究/专题投资策略报告|2012年Omega比率：衡量私募基金绩效的良好指标[table_research]研究员：胡新业证书编号：S0570510120053cfahu@/4041考虑了收益率的整体分布投资要点：投资要点：经典的投资组合理论是建立在均值-方差基础上的，基本的假设是收益率服从正态分布。收益率是否服从正态分布受到了强有力的挑战。对于私募基金而言，收益率一般是不服从正态分布的，因此传统的业绩衡量指标，比如夏普比率，信息比率等，都存在缺陷。ShadwickandKeating(2002b)提出了一个新的业绩衡量指标，Omega比率，该指标实际上考虑了收益的整个分布信息，因此包括了所有高阶矩的信息。Omega在国外已经受到广泛的认可，包括学者和业界，并且有对冲基金评级公司将该指标作为主要的评级依据。在收益率不服从正态分布的时候，Omega是非常好的替代，并且得到了金融从业人员的认可。国外对冲基金的评价较多的使用该指标。如果高阶矩影响不大，Omega和传统的绩效指标相差不大，因此该指标具有很好的适应性。实证检验表明，我国私募基金的收益率不是对称的，具有尖峰厚尾的性质，并且多数是不服从正态分布的，因此用传统的基于正态分布的业绩衡量指标是存在问题的。最低收益率的选择对Omega比率的影响并不是太大，表明该比率具有较好的稳健性。我们发现，用周收益率来计算Omega，对于按照月公布净值的私募基金存在较大的误差。这样就带来了困难，用周收益率来计算，可以得到更多的数据点。这需要实际的权衡了，从准确的角度看，我们评级过程中，倾向于采用月收益率来进行计算。目录Omega比率：考虑了收益分布的更高矩 3Omega比率：具有良好的灵活性和适应性 4我国私募基金收益率分布性质检验 4Omega比率参数的选择 6Omega比率的应用 8图表目录TOC\h\z\c"图表"图表1Omega比率的图形表示 3图表2私募基金偏度统计量分布 5图表3私募基金峰度统计量分布 5图表4私募基金JB检验统计量P值分布 6图表5Omega比率在不同的最低要求收益率下的相关性 6图表6Omega比率与累计收益率之间的相关系数 7图表7最低要求收益率等于10%时Omega与累计收益率之间的关系 8图表8沪深300指数与展博1期Omega函数图 8图表9沪深300指数与明达基金Omega函数图 9图表10306只私募基金周收益率均值，中位数，JB统计量等 10图表11私募基金不同最低要求收益率下的Omega值 17

Omega比率：考虑了收益分布的更高矩经典的投资组合理论是建立在均值-方差基础上的，基本的假设是收益率服从正态分布。收益率是否服从正态分布受到了强有力的挑战。对于私募基金而言，收益率一般是不服从正态分布的，因此传统的业绩衡量指标，比如夏普比率，信息比率等，都存在缺陷。考虑更高的矩，比如偏度和峰度等，又比较复杂。ShadwickandKeating(2002b)提出了一个新的业绩衡量指标，Omega比率，该指标实际上考虑了收益的整个分布信息，因此包括了所有高阶矩的信息。Omega在国外已经受到广泛的认可，包括学者和业界，并且有对冲基金评级公司将该指标作为主要的评级依据。Omega指标定义如下：临界收益率用来区分收益或损失，高于临界收益率的，视为收益，低于临界收益率的，视为损失,也可以称为最低要求收益率。取不同的临界收益率，可以得到关于r的Omega函数。该函数是递减的，并且如果收益率的累计分布函数可微，Omega函数可以二阶微分。在临界收益率等于均值的时候，Omega比率等于1。在相同的临界收益率下，对于不同的投资选择，Omega比率越大越好。可以用下图来理解该指标的计算。Omega比率就等于CAB的面积除以EDB的面积。图表SEQ图表\*ARABIC1Omega比率的图形表示从其定义可以看出，Omega指标实际上利用了收益率分布的所有信息，因此考虑了所有的高阶矩。该指标易于理解，计算方便，刻画了收益风险的所有特征。该指标也可以适合不同风险偏好的投资者。对于风险容忍度较低的投资者，可以选择较低的临界收益率，反之，可选择较高的临界收益率。Omega比率：具有良好的灵活性和适应性Omega指标，等价于整个收益率分布，可以直接衡量投资业绩，而无须引入效用函数，唯一的假设就是投资者偏好更多的财富。除了纠正均值-方差指标的偏差外，Omega指标通过临界收益率，可以清楚的区别收益和损失。即使收益率服从正态分布，Omega指标也可以提供额外的更多的有用信息。为了说明该指标的性质，我们举一些例子。假设存在两个服从两个正态分布的投资，投资A均值为7，方差为1.44，投资B均值为7，方差为2.25。假设临界收益率为8。按照夏普比率，应该选择投资A。夏普比率使得损失最小化，但同时也最小化了收益的潜力。基于均值-方差的绩效指标认为大的收益率和大的损失都代表了风险。考虑一位特定的投资者，他将高于8的收益率视为超额收益，低于8的收益率视为损失。这样，从概率的角度看，反而是投资B更具有吸引力。对于投资B来说，25%的收益率高于8，而对于投资A来说，只有20%的收益率高于8。收益对损失的比率，投资B是33.8%，投资A是25.4%，因此应该选择投资B。而如果临界收益率是6的话，投资A具有吸引力了。因此可以看到，以均值为分界点，不同的临界收益率产生不同的投资优劣。而且可以证明，Omega指标考虑了更高的矩，因此可以更精密的刻画投资的优劣。金融从业人员清楚的了解高阶矩具有重要的影响，但是直接把高阶矩引入均值-分析框架是困难的，尤其对于私募基金而言，净值并不是每个交易日都报告，而且存在较多的噪音。Omega可以容易的解决高阶矩问题，并且在组合优化中也有良好的应用。在收益率不服从正态分布的时候，Omega是非常好的替代，并且得到了金融从业人员的认可。国外对冲基金的评价较多的使用该指标。如果高阶矩影响不大，Omega和传统的绩效指标相差不大，因此该指标具有很好的适应性。我国私募基金收益率分布性质检验我们统计了我国306只股票型的私募基金从2010年初至2012年8月中旬的周收益率，对于缺失的净值，采用插值法进行补足。我们的目的不在于给基金评级，而是在于检验Omega比率与收益率之间的关系，最低要求收益率的选择，以及收益率计算的频率。因此可以将本报告使用的数据看成是具有模拟性质，而不是实际的，这是需要强调的，因此，本报告按照Omega比率的私募基金业绩评价是建立在插值基础上的，不一定代表基金的实际业绩，按照周计算，对于按月公布净值的基金有较大的误差。306只私募基金平均偏度为-0.20，306只基金中，214只私募基金的偏度统计量为负，占比为70%。图表SEQ图表\*ARABIC2私募基金偏度统计量分布峰度统计量，小于3.00的基金共有83只，223只基金峰度大于3，具有尖峰厚尾的性质。图表SEQ图表\*ARABIC3私募基金峰度统计量分布我们对样本中的私募基金也进行了正态分布检验。JB检验的原假设是序列服从正态分布，P值越大，表明可以接受原假设。172只基金的伴随概率小于等于5%，表明这些基金的收益率在5%的显著性水平下，不能认为服从正态分布。图表SEQ图表\*ARABIC4私募基金JB检验统计量P值分布因此我们认为，私募基金的收益率不是对称的，具有尖峰厚尾的性质，并且多数是不服从正态分布的，因此用传统的基于正态分布的业绩衡量指标是存在问题的。Omega比率参数的选择计算Omega比率，第一个重要的参数是最低要求收益率，我们计算了从0-14%，间隔1%的15个Omega比率序列，计算了两两之间的相关系数，从下表可以看出，当最低收益率较为接近的时候，相关系数相当的高，说明最低收益率的选择对Omega比率的影响并不是太大，表明该比率具有较好的稳健性。图表SEQ图表\*ARABIC5Omega比率在不同的最低要求收益率下的相关性1.00%2.00%3.00%4.00%5.00%6.00%7.00%0.00%1.001.000.990.990.980.970.951.00%1.001.000.990.980.980.962.00%1.001.000.990.980.973.00%1.001.000.990.984.00%1.001.000.995.00%1.000.996.00%1.007.00%8.00%9.00%10.00%11.00%12.00%13.00%0.080.090.100.110.120.130.140.00%0.930.910.870.840.800.750.711.00%0.940.920.890.850.820.770.732.00%0.960.930.910.870.840.800.763.00%0.970.950.920.890.860.820.784.00%0.980.960.940.910.880.850.815.00%0.990.970.950.930.900.870.836.00%0.990.980.970.950.920.890.867.00%1.000.990.980.960.940.920.898.00%1.000.990.980.960.940.919.00%1.000.990.980.960.9410.00%1.000.990.980.9611.00%1.000.990.9812.00%1.000.9913.00%1.00Omega比率与期间的累计收益率之间的相关性如何呢？从下图可以看出，当最低要求收益率为10%的时候，两者的相关关系达到最大，为47.39%。这是否说明，私募基金投资者实际要求的最低收益率就是10%呢？这个问题值得进一步研究。不过如果从业绩预测的角度看，最低收益率应该选择10%，因为此时相关性最好。图表SEQ图表\*ARABIC6Omega比率与累计收益率之间的相关系数其次，我们发现，用周收益率来计算Omega，对于按照月公布净值的私募基金评级存在较大的误差。这样就带来了困难，用周收益率来计算，可以得到更多的数据点。这需要实际的权衡了，从准确的角度看，我们评级过程中，倾向于采用月收益率来进行计算。图表SEQ图表\*ARABIC7最低要求收益率等于10%时Omega与累计收益率之间的关系Omega比率的应用使用Omega比率衡量私募基金的业绩，该比率越大，越好。比如下图中表明，展博1期的Omega比率在不同的最低要求收益率水平上，高于沪深300指数，表明该基金以Omega比率计算的风险调整后收益优于沪深300指数。图表SEQ图表\*ARABIC8沪深300指数与展博1期Omega函数图使用Omega比率来选择基金，还可以适应不同风险偏好的投资者。一般来说，投资者是风险厌恶的，因此不同风险偏好的投资者，对于相同的基金集合进行排序，顺序也是完全不一样的。从下图可以看出，当最低要求的20个交易日的收益率为0.035%时，明达私募基金与沪深300的Omega函数具有交点，低于该收益率，明达基金优于沪深300指数，反之，沪深300指数优于明达私募基金。图表SEQ图表\*ARABIC9沪深300指数与明达基金Omega函数图

图表SEQ图表\*ARABIC10306只私募基金周收益率均值，中位数，JB统计量等基金名称均值中位数标准差偏度统计量峰度统计量JB统计量JB检验的P值明达-0.01%0.13%2.03%-0.282.861.960.38天马稳健增长0.01%0.27%1.79%-0.794.4726.860.00天马-0.02%0.22%0.84%-0.322.454.090.13明达2期-0.01%-0.19%1.43%-0.072.372.390.30惠理价值1期-0.08%0.14%1.92%-0.172.591.650.44亿龙中国1期-0.06%-0.14%0.42%1.004.8643.290.00金牛1期-0.09%-0.01%2.17%-0.434.4516.500.00睿信-0.14%0.12%1.74%-0.703.3111.870.00泓湖1期-0.03%-0.13%0.73%0.422.316.820.03东方港湾马拉松0.08%0.04%2.57%-0.363.786.520.04证大1期-0.20%0.16%2.71%-0.614.1416.010.00景林丰收0.12%0.22%0.87%-0.122.422.280.32尚诚-0.24%0.19%1.54%0.092.174.160.13明达3期0.02%0.18%1.53%-0.342.464.370.11万利富达0.03%0.02%1.00%0.142.432.350.31睿信2期-0.14%-0.16%1.61%-0.934.9742.460.00睿信3期-0.14%-0.14%1.62%-0.985.1148.000.00民森A号0.06%0.06%1.14%0.675.5146.730.00新同方-0.20%-0.05%0.47%-0.642.769.850.01睿信4期-0.13%-0.05%1.61%-1.045.2654.770.00民森B号0.05%0.06%1.24%0.666.0262.920.00星石1期0.02%0.03%0.14%0.012.501.420.49云程泰资本增值0.10%0.02%3.02%-0.203.966.350.04星石3期0.03%0.03%0.14%0.092.511.580.45朱雀1期(深国投)-0.02%0.22%0.93%-0.112.910.310.86景泰复利回报1期(国投)-0.06%0.11%2.36%-0.153.622.760.25道合-0.10%-0.03%1.17%-0.123.220.610.74淡水泉成长1期-0.02%0.09%2.26%-0.674.0316.400.00美联融通1期-0.25%-0.19%1.53%-0.763.6415.740.00红山1期-0.32%-0.08%1.55%-0.872.8817.460.00林园2期0.25%0.37%1.18%0.012.441.800.41林园3期0.28%0.43%1.21%0.032.193.800.15尚雅1期(深国投)-0.12%0.10%1.65%0.142.144.680.10武当1期-0.16%-0.02%1.94%-0.432.974.260.12武当2期(深国投)-0.12%0.11%1.87%-0.503.416.740.03鑫鹏1期-0.26%-0.01%1.28%-1.235.5974.080.00开宝1期-0.35%-0.18%1.57%-1.125.5867.710.00龙马-0.42%-0.50%1.01%0.864.8637.360.00君丰1期-0.13%-0.21%1.64%-0.023.080.050.97时策1期-0.84%-0.84%1.56%0.142.243.810.15金域蓝湾1期-0.22%-0.41%1.19%-0.073.511.600.45塔晶老虎1期0.00%-0.01%2.24%0.844.1924.540.00证大价值-0.15%-0.11%2.21%-0.153.481.910.38尚雅2期-0.18%0.07%1.56%0.152.075.570.06励石1号-0.04%0.08%1.82%-0.373.665.620.06先锋1号-0.13%-0.01%1.24%-0.673.3611.180.00尚雅3期-0.23%-0.40%1.43%-0.212.791.260.53中国优质1号-0.25%-0.23%1.67%-0.343.323.260.20龙腾-0.20%-0.40%1.30%0.763.0013.430.00景泰复利回报2期-0.05%0.18%2.32%-0.193.462.020.36银信宝-0.29%-0.28%1.31%0.182.502.190.33中国机会3期-0.01%0.14%2.26%-0.624.0615.430.00瑞象丰年-0.09%0.09%1.33%-0.502.776.140.05合志同方1号-0.16%-0.06%0.92%-0.373.003.120.21星石2期0.02%0.03%0.14%0.062.441.890.39朱雀2期(深国投)-0.03%0.18%0.93%-0.062.980.080.96林园0.23%0.21%1.04%-0.292.742.300.32塔晶狮王-0.14%-0.03%3.66%0.395.1931.380.00塔晶狮王2号-0.15%-0.03%3.61%0.455.1130.280.00新价值1期-0.26%-0.02%2.49%-0.453.154.900.09金中和西鼎0.09%0.25%2.33%-0.054.5313.680.00合赢(粤财)0.00%0.20%2.48%-1.136.59103.930.00广金成长-0.25%-0.05%1.32%-0.162.303.390.18乾坤1号-0.15%-0.35%1.49%0.234.148.800.01以太-0.14%-0.05%1.09%0.073.140.220.89信合东方有限合伙0.44%0.36%0.43%1.547.43168.070.00鑫增长1号0.08%0.27%2.88%0.043.965.340.07星石4期0.03%0.03%0.14%0.072.501.570.46星石5期0.02%0.03%0.14%-0.012.431.880.39中欧瑞博成长1期-0.02%0.09%1.69%-0.233.331.860.39东方远见1期(国民)-0.20%0.00%1.97%-1.3413.94734.520.00博颐精选-0.04%-0.09%1.18%0.362.474.680.10世通1期0.17%0.04%1.96%0.162.135.000.08尚雅4期-0.20%-0.34%1.37%-0.202.771.200.55龙票1期(华润)-0.29%-0.29%1.06%-1.076.4495.030.00智博方略快乐人生1号-0.37%-0.58%1.06%0.172.184.510.10淡水泉2008-0.02%-0.03%2.26%-0.353.223.110.21华银金股典-0.47%-0.20%1.74%-0.503.185.990.05合德丰泰-0.22%-0.04%1.49%-0.733.7015.110.00鹏远核心1期-0.36%-0.16%2.39%-0.333.102.530.28景良能量1期-0.12%-0.01%0.64%-0.584.3318.210.00云程泰资本增值2期0.06%-0.03%3.00%-0.174.067.200.03从容优势2期-0.18%-0.05%1.89%-0.724.0018.020.00从容优势1期-0.22%-0.04%1.92%-0.864.3627.650.00世诚扬子2号0.01%0.00%1.86%-0.794.6430.160.00向日葵1号-0.06%0.03%1.55%-0.544.0312.870.00新同方2期-0.19%-0.03%0.52%-0.432.475.810.05国轩-0.29%-0.24%1.12%0.143.733.520.17泰石1期-0.04%0.12%1.40%-0.272.911.730.42新价值3期-0.10%-0.08%1.98%-0.133.180.570.75新价值2期(粤财)-0.29%-0.27%2.40%-0.102.481.780.41价值联成成长2号0.02%-0.02%1.79%-0.132.362.770.25翼虎成长1期0.11%0.02%1.30%0.445.5140.920.00汇阳汇峰-0.11%-0.14%1.26%0.834.5629.890.00铭远巴克莱-0.03%0.07%2.73%0.265.1027.040.00六禾银盏1期0.07%0.11%2.04%0.083.270.570.75武当3期-0.12%0.06%1.75%-0.353.112.930.23海昊1号-0.11%-0.38%2.29%1.246.36101.200.00智德持续增长-0.03%0.05%0.76%0.183.060.760.68普邦恒升聚富-0.11%0.00%0.98%-0.683.3211.310.00星石6期0.02%0.03%0.14%0.032.451.780.41瑞天价值成长-0.01%0.03%1.04%-0.624.2818.320.00宏利2期-0.28%-0.22%1.60%0.035.4434.480.00证大稳健增长-0.27%0.14%2.86%-0.713.8015.520.00同威1期(深国投)-0.35%-0.40%1.60%0.945.2750.330.00尚雅5期-0.02%-0.13%1.76%0.131.986.410.04麦尔斯通1期0.04%0.06%0.63%-0.314.9824.850.00君富1期-0.17%-0.33%2.41%-0.083.592.140.34汇利优选-0.05%0.06%1.95%-0.262.771.900.39未尔弗1期-0.23%-0.40%2.08%1.6410.85418.750.00价值联成成长3号-0.13%0.23%1.70%-0.164.5314.090.00武当4期-0.16%0.12%1.86%-0.463.074.900.09理成风景1号0.10%0.20%1.26%0.204.9122.180.00从容优势3期-0.20%-0.04%1.87%-0.744.0418.910.00星石7期0.02%0.03%0.14%0.022.461.690.43民森C号0.00%-0.08%1.07%-1.177.26136.810.00博鸿智富1号-0.14%-0.06%1.25%-0.757.60135.350.00乐晟精选0.07%0.18%1.30%-0.493.698.310.02鑫兰瑞0.06%-0.09%1.08%4.2829.844597.880.00重阳1期0.01%0.23%1.01%-0.142.382.680.26博颐精选2期-0.06%-0.10%1.18%0.292.404.020.13京福1号-0.21%0.12%2.20%-0.313.072.320.31金中和1期(深国投)-0.01%0.08%1.87%-0.333.614.680.10小海豚-0.16%-0.01%0.92%0.8910.41336.200.00创赢1号-0.11%-0.09%1.85%0.242.244.690.10鼎辉1号0.35%0.03%2.78%1.4610.67389.680.00混沌1号(中融)-0.09%0.06%2.45%0.012.640.740.69中欧瑞博1期0.02%0.16%0.94%-0.062.571.160.56鼎锋1期0.06%0.19%1.81%-0.063.220.350.84朱雀1期(陕国投)0.01%0.01%0.92%-0.393.535.110.08金瀛1号0.12%0.17%1.00%-0.573.217.680.02重阳2期0.02%0.23%0.99%-0.122.382.550.28赑元成长1期-0.18%-0.09%1.16%-0.543.216.980.03长金2号-0.01%0.14%1.31%-0.162.631.430.49智德持续增长2-0.03%-0.05%0.69%0.372.713.750.15价值联成成长1号-0.17%-0.21%1.63%0.212.512.480.29国淼1期-0.41%0.00%4.47%-0.744.0919.530.00同威2期-0.20%-0.23%1.55%0.996.1981.740.00宏石1号0.13%0.38%1.88%-0.443.828.350.02岁腾1号-0.25%-0.35%2.09%0.293.032.000.37麦尔斯通3期0.04%0.06%0.63%-0.354.9725.260.00麦尔斯通2期0.01%0.04%0.23%-2.5818.951627.370.00盈捷九头鸟2期-0.22%-0.42%1.07%0.373.033.220.20盈捷九头鸟1期-0.21%-0.03%1.38%-0.313.312.720.26安苏1号-0.15%-0.24%2.54%-1.4413.71712.730.00智德精选-0.05%-0.24%0.75%0.292.394.080.13融兴进取-0.31%-0.40%1.62%0.103.471.490.47星石9期0.02%0.02%0.17%0.173.945.790.06武当5期-0.17%0.03%1.79%-0.513.386.780.03星石12期0.02%0.02%0.27%-0.314.2310.920.00星石10期0.02%0.03%0.14%-0.032.491.520.47从容稳健2期-0.14%0.02%1.89%-0.353.998.530.01星石11期0.02%0.03%0.14%-0.022.441.790.41金中和2期-0.02%0.07%1.94%-0.213.442.100.35朱雀4期-0.06%0.15%1.54%-0.664.5724.230.00武当6期-0.15%-0.03%1.84%-0.353.092.940.23菁英时代成长1号-0.16%0.13%1.81%-0.572.628.450.01武当7期-0.17%-0.03%1.96%-0.623.6611.530.00从容成长1期-0.15%-0.13%0.70%0.142.691.030.60国投凯益-0.29%-0.16%2.91%-1.055.7469.160.00朱雀专项-0.03%0.16%0.93%-0.023.010.011.00朱雀5期-0.04%0.19%1.57%-0.594.4019.440.00中睿吉祥管家1期0.00%-0.09%1.41%2.6023.722643.640.00武当8期-0.18%0.01%2.00%-0.613.4710.040.01茂源1号-0.07%0.04%1.97%-0.413.565.750.06武当9期-0.18%0.02%1.95%-0.633.4010.070.01朱雀7期-0.07%0.19%1.56%-0.664.5123.480.00星石13期0.03%0.03%0.14%0.092.591.180.55星石14期0.02%0.02%0.27%-0.214.158.750.01瑞象ALPHA-0.22%-0.62%1.46%0.211.947.530.02朱雀8期0.05%0.08%1.28%0.077.0293.790.00精熙1期0.24%0.15%1.27%0.294.4814.590.00星石8期0.02%0.02%0.14%0.012.780.290.86六禾光辉岁月1期0.13%0.15%1.91%0.073.260.510.77久铭1期-0.20%-0.40%1.69%0.554.7324.430.00武当10期-0.14%0.07%1.87%-0.483.135.520.06金中和5期-0.11%0.15%2.12%-1.035.5562.300.00金中和4期-0.11%0.17%2.15%-1.075.8372.850.00京福2号-0.20%0.00%2.28%-0.383.193.570.17智诚2期-0.13%-0.13%1.32%-0.533.126.610.04德源安战略成长1号0.18%0.41%1.82%-0.232.781.540.46武当11期-0.14%0.00%1.82%-0.503.577.640.02理成转子2号0.16%0.15%1.20%0.063.260.470.79从容成长2期-0.16%-0.15%0.70%0.072.760.470.79慧安1号-0.15%0.02%1.43%-0.595.6749.320.00汇利优选2号-0.07%0.07%1.98%-0.352.883.000.22长金4号0.04%0.00%2.10%-0.012.930.030.99明曜精选1期-0.06%0.16%2.87%-0.452.994.600.10尚雅6期-0.22%-0.33%1.39%-0.253.041.450.48枫岭1期-0.11%-0.02%0.77%-0.373.766.580.04武当12期-0.15%-0.06%1.82%-0.423.415.080.08盈捷九头鸟3期-0.36%-0.05%2.02%-0.555.3238.220.00和禄1号-0.05%-0.15%1.44%0.487.35114.890.00弘酬1号-0.13%-0.11%1.36%-0.404.2512.850.00国弘1期-0.03%0.19%2.17%-0.925.3852.550.00星石15期0.02%0.02%0.27%-0.284.078.400.02银叶1号0.06%0.08%1.12%-0.335.0326.510.00从容成长3期-0.13%-0.12%0.66%0.062.770.410.82康成亨1期(华润)-0.21%-0.30%1.37%0.864.0723.760.00隐形冠军1期-0.03%0.10%2.75%0.083.030.170.92淡水泉成长3期-0.03%0.07%2.27%-0.643.9314.620.00同威增值1期-0.39%-0.48%2.55%-0.193.431.920.38混沌2号0.22%0.21%2.54%-0.272.871.810.40博颐精选3期-0.05%-0.10%1.15%0.292.334.630.10证研1期-0.41%-0.25%2.85%-0.064.3310.360.01理成风景2号-0.13%-0.27%1.88%0.343.122.750.25淡水泉成长4期-0.03%0.10%2.26%-0.643.9514.790.00普邦恒升聚富2期-0.15%-0.01%0.99%-0.723.6614.650.00尚雅7期-0.10%-0.08%1.82%0.102.065.380.07展博1期0.30%0.08%0.91%3.4016.151270.030.00中域增值1期-0.32%0.31%2.66%-0.633.6011.400.00锐集1号-0.09%0.17%1.43%-1.265.0260.330.00新价值4期-0.41%-0.47%2.47%-0.142.551.610.45星石16期0.03%0.03%0.14%0.042.501.460.48凯信1号-0.18%-0.03%2.01%-0.273.011.720.42鑫兰瑞2期0.01%-0.12%1.24%3.7826.703583.670.00太极1号-0.03%0.01%1.68%0.212.383.190.20恒复趋势1号-0.32%-0.21%2.00%0.122.880.410.81同威3期-0.27%-0.34%1.99%0.204.5414.720.00民森E号0.04%0.27%1.42%-0.033.995.650.06民森G号0.06%0.31%1.38%-0.113.713.190.20民森F号0.06%0.30%1.37%-0.133.612.540.28和聚1期0.03%0.45%2.15%-0.583.559.550.01朱雀3期-0.02%0.17%0.94%0.013.020.001.00慧安2号-0.11%0.02%2.04%-0.837.92156.600.00金中和6期-0.06%0.12%1.85%-0.693.9416.170.00武当13期-0.16%0.05%1.90%-0.463.395.890.05赢隆1期0.14%0.01%2.50%0.063.733.140.21淡水泉成长6期-0.04%0.13%2.22%-0.653.9815.320.00淡水泉成长7期-0.05%0.13%2.22%-0.674.0516.710.00星石18期0.02%0.01%0.30%-0.334.9123.570.00淡水泉成长5期-0.04%0.10%2.24%-0.674.0516.870.00智诚3期-0.11%0.20%1.15%-0.132.105.140.08同威增值3期-0.27%-0.44%2.06%0.424.0710.680.00同威增值2期-0.25%-0.47%1.97%0.454.2613.830.00新价值5期-0.45%-0.33%2.37%-0.242.671.980.37汇利优选4期-0.08%0.13%2.00%-0.282.891.900.39奕金安1期-0.11%0.06%1.70%-0.043.702.840.24稳健增长(外贸)-0.07%0.00%1.67%-0.837.86152.860.00恒达通汇1期-0.10%-0.04%0.86%1.025.9273.620.00诺亚大成2号-0.11%-0.13%0.94%-0.354.109.890.01重阳3期0.00%0.14%1.00%-0.192.263.960.14投资精英(武当A)-0.20%-0.09%2.11%-0.826.7998.800.00投资精英(从容A)-0.26%-0.04%1.71%-0.986.5494.690.00慧安3号-0.14%0.01%1.82%-0.0413.39624.890.00投资精英(星石A)0.01%0.01%0.28%-0.525.7349.290.00投资精英(淡水泉A)-0.03%0.16%2.17%-0.674.0717.110.00星石19期0.03%0.02%0.27%-0.224.219.610.01国弘2期-0.05%0.25%2.03%-1.245.9987.290.00聚益1号0.20%0.30%2.13%-0.093.723.230.20长江2期(A)-0.05%-0.10%0.83%-0.105.0223.970.00武当2期(平安)-0.17%-0.03%1.84%-0.864.9238.430.00博颐稳健1期-0.06%-0.11%1.16%0.332.374.820.09远策1期-0.02%0.20%1.28%-0.543.417.750.02远策2期-0.04%0.12%1.33%-0.503.587.710.02投资精英(朱雀A)-0.07%0.17%1.50%-0.755.2843.340.00喜马拉雅1期0.05%0.14%1.11%-0.574.7625.660.00双赢8期-0.24%-0.11%2.42%-0.593.8312.060.00双赢5期0.05%0.15%2.27%-0.425.7648.320.00朱雀12期0.00%0.20%1.41%-0.694.6927.710.00远策3期-0.03%0.14%1.27%-0.603.529.860.01从容成长5期-0.26%-0.21%1.51%-1.076.2788.500.00原君1期-0.11%-0.01%2.04%-0.936.72100.330.00投资精英(汇利A)-0.11%0.07%1.88%-0.173.170.860.65简适亨通1期-0.27%-0.17%2.12%-0.334.5416.130.00彤源2号0.14%0.49%2.80%-0.463.546.660.04淡水泉成长9期-0.04%0.17%2.20%-0.623.8413.090.00武当14期-0.16%-0.08%1.82%-0.403.324.290.12远策4期-0.05%0.20%1.31%-0.723.7515.330.00同威1期(平安)-0.15%-0.03%1.91%-0.093.904.870.09弘酬3期-0.12%-0.13%1.40%-0.203.261.270.53金百镕1期-0.05%-0.04%1.28%0.314.149.750.01投资精英(从容B)-0.26%-0.04%1.71%-0.996.5494.980.00投资精英(朱雀B)-0.07%0.17%1.50%-0.765.2843.370.00投资精英(汇利B)-0.10%0.06%1.88%-0.173.160.840.66投资精英(淡水泉B)-0.03%0.16%2.17%-0.674.0717.120.00投资精英(武当B)-0.20%-0.09%2.11%-0.826.8099.290.00投资精英(星石B)0.02%0.01%0.28%-0.535.7851.370.00朱雀13期0.00%0.20%1.28%-0.704.8330.890.00新价值成长1期(A)-0.40%-0.54%2.38%0.133.030.390.82朱雀10期-0.03%0.17%0.72%-0.653.5911.820.00泓湖2期-0.04%-0.15%0.70%0.442.347.040.03星石17期0.03%0.03%0.27%-0.214.2510.090.01鼎诺秋实1期0.11%0.39%2.12%-0.363.363.730.16柘弓1期-0.05%0.00%1.24%-0.423.747.280.03华夏优选1号-0.12%0.02%1.49%-0.7312.99590.690.00览众1期-0.13%-0.15%1.35%-0.373.414.100.13朱雀11期-0.06%0.00%0.68%-0.663.2910.530.01黄金优选1期2号-0.04%0.16%2.18%-0.684.0417.050.00黄金优选1期1号-0.04%0.17%2.18%-0.684.0316.800.00图原精选1期-0.33%-0.14%1.84%-0.824.8134.370.00丰瑞世纪1期-0.09%0.14%1.74%-0.733.7015.080.00民森H号0.09%-0.05%0.91%-0.322.832.480.29新价值成长1期(B)-0.40%-0.54%2.38%0.133.030.380.82长江2期(B)-0.05%-0.10%0.83%-0.105.0424.240.00民森D号0.01%-0.34%1.12%0.394.1310.940.00重阳5期0.00%0.16%1.11%-0.272.801.890.39麦星0.01%0.04%0.74%-0.272.931.740.42万丰友方避险增值1期0.09%0.11%0.27%-0.503.406.730.03万丰友方避险增值2期0.08%0.08%0.27%-0.713.3412.220.00万丰友方稳健成长1期-0.13%-0.14%0.46%-0.242.403.390.18万丰友方稳健成长2期-0.12%-0.17%0.51%0.042.322.710.26万丰友方稳健成长3期-0.11%-0.07%0.50%-0.482.596.360.04国富精选2号0.02%-0.01%2.15%-0.635.8556.220.00光大银行基金宝-均衡价值-0.11%-0.03%1.67%-0.533.327.070.03沪深300指数-0.27%-0.42%2.96%-0.243.502.800.25图表SEQ图表\*ARABIC11私募基金不同最低要求收益率下的Omega值基金名称/最低收益率00.010.020.030.040.050.060.070.080.09明达1.081.061.031.010.980.960.940.920.900.88天马稳健增长0.970.940.920.890.870.840.820.800.770.75天马0.970.910.860.810.760.720.670.630.600.56明达2期1.141.101.071.031.000.970.940.920.890.86惠理价值1期0.850.820.800.780.760.750.730.710.690.68亿龙中国1期0.590.520.470.420.380.340.310.280.250.23金牛1期0.860.840.820.810.790.770.750.740.720.71睿信0.820.800.780.760.730.710.690.680.660.64泓湖1期0.860.810.760.710.670.630.600.560.530.50东方港湾马拉松1.081.061.041.021.000.990.970.950.930.92证大1期0.800.780.770.750.740.720.710.700.680.67景林丰收1.391.311.251.181.121.061.010.960.910.86尚诚0.660.640.620.600.580.560.540.530.510.50明达3期1.151.121.081.051.020.990.960.930.900.88万利富达1.020.970.920.880.840.800.770.730.700.67睿信2期0.740.720.690.670.650.630.610.590.570.55睿信3期0.740.710.690.670.640.620.600.580.570.55民森A号1.051.000.950.910.870.830.790.750.720.69新同方0.310.270.230.200.180.160.140.130.110.10睿信4期0.750.730.700.680.660.630.610.590.570.56民森B号0.990.940.900.860.820.790.750.720.690.66星石1期1.501.040.720.510.360.260.190.140.100.07云程泰资本增值1.021.000.990.970.950.940.920.910.900.88星石3期1.541.080.760.540.390.280.210.160.120.09朱雀1期(深国投)0.970.920.880.830.790.740.710.670.630.60景泰复利回报1期(国投)0.920.910.890.870.850.830.820.800.780.77道合0.730.700.670.640.620.590.570.540.520.50淡水泉成长1期0.960.940.920.900.880.860.850.830.810.80美联融通1期0.670.650.630.610.590.570.550.530.520.50红山1期0.540.520.500.480.470.450.440.420.410.39林园2期1.561.511.451.401.351.301.261.211.171.13林园3期1.621.571.511.461.411.361.311.271.231.19尚雅1期(深国投)0.870.850.820.800.780.750.730.710.690.67武当1期0.770.750.730.710.690.670.660.640.620.61武当2期(深国投)0.800.780.760.740.720.710.690.670.650.64鑫鹏1期0.510.490.470.450.430.410.390.380.360.34开宝1期0.490.470.460.440.420.410.390.380.370.35龙马0.320.310.290.280.270.260.250.230.220.22君丰1期0.780.760.740.710.690.670.650.630.610.60时策1期0.270.260.250.250.240.230.230.220.210.21金域蓝湾1期0.610.580.560.540.510.490.470.460.440.42塔晶老虎1期0.940.920.900.880.860.840.820.800.790.77证大价值0.800.780.760.750.730.720.700.690.670.66尚雅2期0.790.770.740.720.700.680.660.640.620.60励石1号0.910.880.850.830.810.780.760.740.720.70先锋1号0.730.710.680.650.620.600.580.550.530.51尚雅3期0.660.640.620.600.580.560.540.530.510.50中国优质1号0.750.730.710.700.680.660.640.630.610.60龙腾0.670.650.630.600.580.560.540.520.510.49景泰复利回报2期0.930.910.890.870.850.840.820.800.790.77银信宝0.540.520.510.490.470.450.440.420.410.40中国机会3期0.970.950.930.910.890.870.850.840.820.80瑞象丰年0.770.750.720.690.670.640.620.600.580.56合志同方1号0.640.600.570.540.510.480.460.430.410.39星石2期1.461.020.720.510.370.270.200.150.110.08朱雀2期(深国投)0.940.890.840.800.750.710.680.640.600.57林园1.631.551.491.421.361.301.241.191.141.09塔晶狮王0.870.850.840.830.820.800.790.780.770.76塔晶狮王2号0.860.840.830.820.810.790.780.770.760.75新价值1期0.690.680.660.650.640.630.610.600.590.58金中和西鼎1.081.051.031.010.990.960.940.920.900.88合赢(粤财)1.010.990.970.950.930.910.890.870.860.84广金成长0.540.520.500.480.470.450.440.420.410.39乾坤1号0.810.780.760.730.710.690.670.650.630.61以太0.680.650.620.590.570.540.520.500.480.46信合东方有限合伙39.3334.1028.0823.4619.2716.0613.6311.599.888.33鑫增长1号0.950.930.920.900.880.870.850.840.820.81星石4期1.601.110.780.550.400.290.210.160.120.09星石5期1.501.050.740.520.370.270.200.150.110.08中欧瑞博成长1期0.930.900.880.850.830.800.780.760.740.72东方远见1期(国民)0.670.640.620.590.570.550.530.510.500.48博颐精选0.940.900.870.830.800.770.740.710.690.66世通1期1.201.171.141.111.091.061.031.010.990.96尚雅4期0.690.660.640.620.600.580.560.550.530.51龙票1期(华润)0.420.390.370.350.330.320.300.280.270.26智博方略快乐人生1号0.440.420.400.390.370.360.340.330.310.30淡水泉20080.960.940.920.900.880.860.840.820.810.79华银金股典0.470.460.440.430.420.400.390.380.370.36合德丰泰0.650.630.610.590.570.550.530.510.490.48鹏远核心1期0.700.690.670.660.650.630.620.610.600.59景良能量1期0.580.530.480.440.410.370.340.320.290.27云程泰资本增值2期0.990.980.960.940.930.910.900.890.870.86从容优势2期0.770.750.730.710.690.670.650.640.620.61从容优势1期0.730.710.690.670.660.640.620.610.590.58世诚扬子2号1.000.970.940.920.890.870.840.820.800.78向日葵1号0.910.880.850.820.790.760.740.710.690.66新同方2期0.390.350.310.280.250.230.200.180.160.15国轩0.440.430.410.390.380.360.350.330.320.31泰石1期0.800.770.740.720.700.670.650.630.610.59新价值3期0.790.770.750.740.720.700.680.670.650.64新价值2期(粤财)0.630.620.610.600.590.580.570.560.550.54价值联成成长2号1.000.970.950.930.900.880.860.840.820.80翼虎成长1期1.251.201.141.091.041.000.960.920.880.85汇阳汇峰0.740.710.680.650.630.610.580.560.540.52铭远巴克莱0.960.940.920.900.880.860.850.830.810.80六禾银盏1期1.020.990.970.940.920.900.880.860.830.82武当3期0.800.770.750.730.710.690.670.650.640.62海昊1号0.810.790.770.750.740.720.700.690.680.66智德持续增长0.910.850.800.750.700.660.610.580.540.51普邦恒升聚富0.710.670.630.600.560.530.500.480.450.43星石6期1.481.040.740.520.380.280.200.150.110.08瑞天价值成长1.000.950.910.870.830.790.750.720.690.66宏利2期0.600.580.560.540.520.500.490.470.460.44证大稳健增长0.760.750.730.720.710.700.680.670.660.65同威1期(深国投)0.510.500.480.470.450.440.430.410.400.39尚雅5期1.010.980.960.930.910.880.860.840.820.80麦尔斯通1期1.201.090.990.900.820.750.680.630.570.53君富1期0.810.790.780.760.750.730.720.700.690.67汇利优选0.970.950.930.900.880.860.850.830.810.79未尔弗1期0.750.730.710.700.680.660.650.630.620.60价值联成成长3号0.790.770.750.730.710.690.670.650.630.61武当4期0.760.740.720.700.680.670.650.630.610.60理成风景1号1.161.111.061.020.980.940.900.870.840.80从容优势3期0.750.720.710.690.670.650.630.620.600.59星石7期1.491.040.730.510.370.270.200.150.110.08民森C号0.870.830.790.750.710.680.650.620.590.57博鸿智富1号0.670.640.610.580.550.520.500.480.460.44乐晟精选1.191.151.111.071.041.000.970.940.910.88鑫兰瑞1.221.141.060.990.920.860.810.760.720.68重阳1期0.940.900.860.820.780.750.720.680.650.63博颐精选2期0.890.860.820.790.760.730.700.680.650.63京福1号0.770.750.730.720.700.690.670.660.640.63金中和1期(深国投)0.900.880.850.830.810.790.770.750.730.71小海豚0.520.480.440.410.380.360.330.310.300.28创赢1号0.840.820.800.780.760.740.730.710.690.68鼎辉1号1.411.381.351.321.291.261.231.201.171.15混沌1号(中融)0.900.880.860.850.830.810.800.780.770.75中欧瑞博1期0.980.930.890.840.800.760.720.690.660.62鼎锋1期1.161.131.101.071.041.020.990.960.940.92朱雀1期(陕国投)1.030.970.910.860.810.770.730.690.650.61金瀛1号1.371.301.241.181.121.071.020.970.930.89重阳2期0.950.910.870.830.790.760.720.690.660.63赑元成长1期0.630.600.570.550.530.510.490.470.450.44长金2号0.880.840.810.780.760.730.700.680.650.63智德持续增长20.930.870.810.750.700.650.610.570.530.49价值联成成长1号0.770.750.730.710.690.670.650.640.620.60国淼1期0.730.720.710.700.690.690.680.670.660.66同威2期0.610.590.570.550.530.510.500.480.460.45宏石1号1.211.181.151.131.101.071.051.021.000.97岁腾1号0.690.680.660.650.640.620.610.600.580.57麦尔斯通3期1.201.090.990.900.810.740.680.620.570.53麦尔斯通2期1.340.900.550.350.260.190.150.120.110.09盈捷九头鸟2期0.590.570.540.520.500.470.450.430.420.40盈捷九头鸟1期0.630.600.580.560.540.520.500.480.470.45安苏1号0.800.780.760.750.730.710.690.670.660.64智德精选0.850.800.750.710.670.630.600.560.530.50融兴进取0.600.580.570.550.530.520.500.490.480.46星石9期1.270.940.690.510.380.280.210.160.130.10武当5期0.750.730.710.690.670.650.630.620.600.58星石12期1.261.030.850.700.580.480.400.330.280.24星石10期1.471.020.720.510.360.270.190.140.100.08从容稳健2期0.800.780.760.740.720.700.680.660.640.63星石11期1.521.060.750.530.380.280.200.150.110.08金中和2期0.900.880.850.830.810.790.770.750.730.71朱雀4期0.890.860.830.800.770.750.720.700.670.65武当6期0.770.750.730.710.690.670.650.640.620.60菁英时代成长1号0.720.700.680.670.650.630.610.600.580.57武当7期0.750