本文首发于公众号"蒙玺投资"。 （点击↑↑ 上图查看详情 ） 在 量 化 投 资 的 诸 多 指 标 中 ， 超 额 收 益 最 受 投 资 者 关 注 。 如 何 判 断 投 资 组 合 的 超 额 收 益 来 源 是 否 稳 定 ， 怎 样 评 价 Quant 的 投 资 能 力 是 否 优 秀，都离不开对超额收益的计算、拆解。 同时，在日常投研中，当某个策略进行实盘产生业绩后， Quant 并不止步于此，而是会对业绩进行进一步的归因和拆解， 明白其收益或 者亏损的来源，这一步骤是 Quant 在盘后进行策略迭代的关键。 蒙玺投资成立于2016年，是一家专注于量化投资的对冲基金公司。依托强大的数据挖掘、统计分析和软件开发能力，公司构建了覆盖多市场、多品种的量化 资产管理平台。 超额收益（Alpha），指投资组合相对于某一基准（如市场指数或无风险收益率）的超额回报。它反映了策略通过主动管理（如选股、择 时、套利等）超越被动基准的能力。核心公式如下： 超额收益=投资组合收益率-基准收益率 如果基准是市场指数（如沪深300），则超额收益代表"跑赢市场"的部分；如果基准是无风险利率（如国债收益率），则反映承担风险 ...

Core Viewpoint - The article emphasizes the importance of performance attribution in private equity investments, highlighting that understanding the underlying sources of returns is crucial for making informed investment decisions [4][5]. Group 1: Importance of Performance Attribution - Investors often face the issue of funds performing well before purchase but declining afterward, particularly in bull markets [4]. - Performance attribution helps investors dissect historical returns from various dimensions, clarifying how funds made money and assessing future sustainability and risks [5][10]. Group 2: Evaluating Fund Strategies - Assessing the consistency and effectiveness of a fund's strategy is essential to verify if the fund manager's actions align with their stated strategy [5][11]. - Investors should monitor industry deviation; a deviation greater than 5% from disclosed data may indicate hidden risks behind high returns [7]. - Understanding the contribution of various risk factors to returns is vital; persistent exposure to a specific factor may suggest returns are driven by risk premiums rather than unique stock-picking abilities [8]. Group 3: Risk Sources and Market Conditions - Investors must comprehend the risks associated with their strategies to avoid panic during downturns; knowing the underlying logic of a strategy is key [11][12]. - The article discusses the risks associated with neutral strategies, particularly the impact of basis costs during extreme market events, which can lead to significant drawdowns [13]. - Macro strategies may face challenges when market conditions change, as seen in the recent performance fluctuations due to global asset price disruptions [13]. Group 4: Distinguishing Skill from Luck - In bull markets, investors may be misled by high-performing funds, mistaking luck for skill without proper performance attribution [14]. - Sustainable performance over multiple market cycles is a better indicator of a fund manager's skill than short-term outperformance [16].