私人股本和战略资产配置文献翻译

私人股本和战略资产配置文献翻译精编PrivateEquityandStrategicAssetAllocationPrivateequityisbothanassetclassandaninvestmentstrategy.Distinguishingbetweentheprivateequityassetclassandtheprivateequityinvestmentstrategycanbeconfusingandcreateschallengesforthetraditionalapproachtoassetallocation.Assetallocationdecisionsshouldbebasedontheriskandreturncharacteristicsoftheassetclass,althoughinreality,mostprivateequitydecisionsarebasedontheperceivedriskandreturncharactersoftheavailableprivateequityvehicles.Publiccompaniescollectivelyformthepublicequityassetclass.Investorscangainexposuretothepublicequityassetclassbypurchasingsharesofpubliclytradedcompaniesorsharesofinvestmentvehicles,suchasmutualfunds,thatpurchasethepublicshares.Private(non-public)companiescollectivelyformtheprivateequityassetclass.Investorscangainexposuretotheprivateequityassetclassbypurchasingsharesofprivatelyheldcompaniesorsharesofinvestmentvehicles,suchasprivateequityfunds,thatpurchasethenon-publicshares.Alargenumberofprivatecorporationsaregenerallyassumedtobepubliccorporations,includingDunkinDonuts,Hertz,Linens-N-Things,Neiman-Marcus,andToys-R-Us.Commonreasonsforbeingprivateincludefamilyownedbusinessesthathavealwaysbeenprivate,leveragebuyouts,andventurestart-upsstillwaitingtogopublic.Fromamodernportfolioperspective,ideally,onecouldinvestinabasketofallprivatecorporationsinwhichtheweightsofthecompaniesinthebasketarebasedontheirtruevalues.Suchabasketwithreal-timepricingwouldincludethousandsofconstituentsandwouldbeatruerepresentationoftheprivateequityassetclass.Insuchaworld,allvalue-weightedbenchmarkswouldleadtoverysimilarconclusionsontheperformanceoftheassetclass.Unfortunately,thisisnotpossibleand,philosophically,nothowmostpeopleconceptualizeaprivateequityinvestment.Wheninvestorsmakeanallocationtoprivateequity,itisnotapassiveinvestmentinthebasketofall(ormost)privatecompaniesthatformtheprivateequityassetclass.Rather,formostinvestors,theallocationtoprivateequityisaninvestmentinaskill-basedstrategy,inwhichthetwoprimarysub-strategiesareleveragedbuyoutsandventurecapital.Onecancarryoutsuchstrategiesdirectlyorthroughaninvestmentvehiclethatcarriesouttheinvestmentsontheirbehalf.Twoprimaryinvestment5vehiclesareengagedinthesestrategies–traditionalprivateequityfundsandpubliclylistedcompanies.Traditionalprivateequityfundsaretypicallypureplaysintheprivateequitystrategies,whilepubliclylistedcompaniesofferaspectrumofprivateequity-likeexposure.Mostprivateequityfundsareorganizedaslimitedpartnershipswithafinitelifeyears).Thelimitedpartnersinvestin(orcommitcapitalto)thefundswhicharethenmanagedbythegeneralpartners.Theindustryappearstobemovingtowardthecreationofmoreperpetualinvestmentvehicles.Ifoneassumesthattraditionalprivateequityfundsandpubliclylistedcompaniesengagedinprivateequitystrategiesownalloftheprivatecompanies,thecollectiveperformanceassociatedwiththeseinvestmentswouldperfectlymatchtheperformanceofabasketofallprivatecompaniesrepresentingtheprivateequityassetclass.Theimplicationisthattheweightedaverageperformanceofprivateequityfundswouldbethesameastheinvestmentintheprivateequityassetclass.Onanassetweighted-basis,halfoftheinvestorswilldobetterandhalfwilldoworsethantheassetclassasa6whole.Thisreturnrelationshipisstraightforward,butnotalwaysrecognized.Unlikethestraightforwardreturnrelationship,theriskrelationshipbetweentheassetclassandtheinvestmentvehicleisnotstraightforward.Thestandarddeviationofprivateequity“assetclass”returnsisnotthesameasthestandarddeviationofprivateequity“fund”returns,asindividualfundshavehighamountsofidiosyncratic(investmentspecific)risk.Forexample,fortheuniverseoflargecapU.S.mutualfunds,theaveragestandarddeviationoftheirreturnsisverysimilartothestandarddeviationoftheS&P500,whichisabyproductofthetendencyofmostmutualfundstocreateportfolioswithcharacteristicsthatmimicthoseofthebenchmark.Fortheuniverseofprivateequityfunds,theaveragestandarddeviationoftheirreturnsshouldbeconsiderablyhigherthanthestandarddeviationoftheprivateequityassetclassduetotheconcentratednatureofprivateequityfunds.ThisphenomenonofawidedispersionofreturnsamongprivateequityfundsisdocumentedinLerner,Schoar,andWongsunwai[2007].Publicequityinvestmentsofteninvolveexposuretomorethan1,000publiccompanies.Whilethousandsofprivatecompaniescollectivelyformtheprivateequityassetclass,privateequityfundsaremoreconcentratedandofteninvolveexposuretofewerthan15privatecompanies.Thefragmentedstructureoftheprivateequitymarketissuchthatprivateequityinvestorscannotfullydiversifyawayprivatecompanyspecificrisk;thus,allprivateequityinvestmentsareamixtureofsystematicriskexposuretotheprivateequityassetclassandprivatecompanyspecificrisk.Assetallocationdecisionsarelargelybasedontheexpectedreturnandstandarddeviationoftheassetclass.Formostassetclasses,itisrelativelyeasytoinvestinapassive–orbeta–representationoftheassetclass.Whenitcomestotheprivateequityassetclass,apassiveinvestmentwithriskandreturncharacteristicsthatmimictheriskandreturncharacteristicsofthetotalprivateequityassetclassdoesnotexist!Thus,asadvocatesofseparatingthebeta(assetallocation)decisionfromthealpha(product)decision,wefacearatherlargedilemma–shouldwebasethebetadecisiononriskandreturncharacteristicsassociatedwiththeaverageprivateequityinvestmentortheprivateequityassetclassWeareforcedtomuddythealpha-betaseparationwatersandusetheriskandreturncharacteristicsthatreflectthebetacharacteristicsthataninvestorcouldobtainthroughaparticularmethodofprivateequityexposure.Fortunatelyforus,thetypeofprivateequityexposureusedinthisstudy–listedprivateequityexposure–providesexposuretothousandsofprivateequitycompaniesandmovingforwardasmoreprivateequityinvestmentsaresecuritizedshouldbemorereflectiveoftheprivateequityassetclass.Asassetallocatorscontemplatingtheroleofprivateequityinastrategicassetallocation,twostrandsofresearchareofparticularinterest:researchonstrategicassetallocationstoprivateequityandresearchontheriskandreturncharacteristicsofprivateequity.Phalippou[2007a]providesanexcellentliteraturereviewandthoughtfulcommentaryonawiderangeofprivateequityinvestingissues.Relativelylittleguidanceexistsintheliteratureaboutanoptimalstrategicassetallocationtoprivateequity.AccordingtothePrivateEquityCouncil,theaverageallocationtoprivateequityfromthe20largestU.S.publicandprivatepensionplanswas%and%respectively.InpreviousIbbotsonresearch,Chen,Baierl,andKaplan[2002]studiestheroleofventurecapitalinastrategicassetallocation.UsingdatafromVentureEconomicsonliquidatedfundsfoundthatventurecapitalfundshadanannualcompoundedreturnof%(comparedtoreturnsof%and%for.LargeandSmallstocksoverthesame1960to1999period),anannualstandarddeviationof%,andacorrelationwithpublicequitiesof.04%,whichleadstoanallocationrangeof2%to9%.Swenson[2000]reportsthehistorical(1982-1997)correlationbetweentheYaleprivateequityportfolioandU.S.equityat.3.Grantier[2007]concludesthatsmallcapstocksareaviablesubstituteforprivateequity.Yambao,Davis,andSebastian[2007]advocatesusingindicesofpubliclytradedsecuritiesasproxiesforilliquidassetclassessuchasprivateequity.UsingCreditSuisseWarburgPincusGlobalPostVentureCapitalIndex,coupledwithaglobalCAPMapproachsimilartooneusedlaterinthispaper,Yambao,David,andSebastianestimatestheexpectedreturnofprivateequityat%,astandarddeviationof%,andacorrelationwithpublicequityof.9–acorrelationthatissubstantiallyhigherthanmostotherestimates,butconsistentwithourviewthat,overlongtimeperiods,returnstothepublicandprivateequityassetclassesshouldbesimilar.AslightlyolderversionoftheYambao,Davis,andSebastian[2007]capitalmarketassumptionswasusedinEnnisandSebastian[2004].Usingmean-varianceoptimization,itfindsthatprivateequityonlybeginstoenterefficientportfolioswhenequityallocationsexceed60%.Furthermore,itconcludes,“Onlymoderate-size,equity-orientedfundswithexceptionalprivateequityinvestmentskill,strongboard-levelsupport,andadequatestaffresourcesshouldconsiderallocationsof10%ormore.”Finally,inanannualupdateonthebenefitsofprivateequity,theCenterforInternationalSecuritiesandDerivativesMarkets(CISDM)ResearchDepartmentwrites,“Resultsshowthattraditionalprivateequityindicesmayprovidediversificationandreturnbenefitswhen7addedtoanexistingstockandbondportfolio,aswellasastock,bond,andhedgefundportfolio.”Thelackofagreementregardingthehistoricalreturnsoftheprivateequityassetclassisthekeyreasonthatrelativelylittleassetallocationguidancearoundprivateequitycanbefoundintheliterature.We,too,cannotescapetheuncertaintysurroundingthehistoricalreturnsofprivateequity.Theperceptionthattheprivateequityassetclasshassignificantlyoutperformedpublicequityisoneofthedriversofthecurrentinterestinprivateequity.TheNationalVentureCapitalAssociation,inconjunctionwithThomson,regularlyreporttheperformanceofThomsonFinancials'USPrivateEquityPerformanceIndex(PEPI),inwhichthereported10-and20-yearannualizedreturnsapproximatelydoublethoseoftheS&P500.Theperceptionthatprivateequityhassuperiorreturnsisalsoduetotheexceptionalperformanceofafewhighprofileprivateequityinvestors,suchasYale,andthestellarreturnsoftopquartileprivateequityfundsthatareoftentrumpetedinthepress.ThePrivateEquityCouncil,anindustrytradeorganization,proclaimsthatfrom1980to2005,top-quartileprivateequityfirmshadannualizednetoffeereturnsof%(seePrivateEquityCouncil[2007]).Unfortunately,theaverageprivateequityinvestorexperiencesaverageprivateequityreturnsandnottopquartilereturns.Overall,theliteratureonprivateequityreturnsvs.publicequityreturnsismixed.Schmidt[2006]comparesthehistoricalperformanceofprivateequityinvestmentsagainstabenchmarkofcomparablestocksfromtheRussell2000smallstockuniverse.From1980to1990,stocksoutperformedprivateequity,whilefrom1990to2002,privateequityoutperformedstocks.Overtheentireperiod,1980to2002,thecompoundedannualreturnwasapproximately%,nearlythreetimesgreaterthanthereturnonthecomparablestockbenchmark,suggestingthatthereturnsontrueprivateequityinvestmentsaresignificantlydifferentthanthecustomstockbenchmark.KaplanandSchoar[2005]findsthatafterfeeperformanceofprivateequityfundsissimilartotheS&P8500.StudiesbyCalPERSandtheYaleEndowmentreachsimilarconclusions:Incontrastwiththeabovefindings,MoskowitzandVissing-Jorgensen[2002]findsthattheriskandreturntrade-offissuperiorforpublicequities.PhalippouandGottschalg[2006]claimsthatKaplanandSchoar[2005]andothersoverstatetheperformanceofprivateequityfunds.Aftercorrectingfor9potentialbiases,itestimatesthatprivateequityfundsunderperformedtheS&P500by383basispoints.Phalippou[2007a]states,“Aninterestingareaforfurtherresearchistounderstandwhyinvestors10allocatelargeamountstothisassetclass,givensuchlowpastperformance.”Aftersurveyingtheliteratureonprivatevs.publicequityreturns,Grantier[2007]concludesthat,onaverage,privateequitiesdonotoutperformpublicequities,althoughtopprivateequityfirmshaveoutperformedpublicequities.Unlikemostotherassetclasseswherepastperformanceisviewedasahistoricalfactandthefocusisonforecastingfuturereturns,furtherresearchisnecessarytoaccuratelydeterminebothhistoricalandfutureexpectedreturnsofprivateequity.Ofparticularinterest,giventhenewprivateequityassetclassproxiesusedinourstudy,Zimmermannetal.studiestherisk,returns,andbiasesoflistedprivateequityportfolios.Between1986and2003,itestimatestheannualreturnandstandarddeviationofthreeportfoliosoflistedequities.Thevalueweightedbuy-and-holdportfoliohadareturnof%andstandarddeviationof%.Theequally-weightedrebalancedportfoliohadareturnof%andstandarddeviationof%.Theequally-weightedbuy-and-holdportfoliohadareturnof%andstandarddeviationof%.Clearly,theweightingandrebalancingschemeshaveasignificanteffectonperformance.Afteradjustingforserialcorrelation,thestandarddeviationsofthetwoequallyweightedportfoliosincreasesubstantially,to%and%,respectively.Forcomparisonpurposes,overthesameperiod,theS&P500hadacompoundedannualreturnof%andastandarddeviationof%.PrivateEquityIndexProxiesRepresentingtheU.S.privateequityassetclass,theListedPrivateEquityIndexisanewindexintroducedonSeptember30,2006,withanavailablebackfilledhistorythatbeginsonSeptember29,1995.TheLPEIndexisacollectionofpubliclytradedcompanieslistedontheNYSE,AMEXand/orNASDAQthataredeemedtobepredominately“PrivateEquityHoldingCompanies.”Asageneralrule,theIndexCommitteelooksforcompaniesfromwhichthemajorityoftherevenuestreamcomesfrominvesting,lending,orprovidingservicestoprivatelyheldbusinesses.TheIndexusesamodifiedmarketcapitalizationapproach.Adesiretodiversifyamongstdifferentprivateequityphases.earlystagefinancing,latestage,etc.),amaximumconstituentweightof10%,andconcentrationissuesdrivetheIndexCommitteetiltsawayfrommarketcapitalizationweights.Thebackfilledhistorieswerecreatedusingtheconstituentweightsatthetimeofinception.Suchanapproachissusceptibletosurvivorshipbias,asallofthecompaniesselectedbytheIndexCommitteeonthetrueindexinceptiondatesobviouslysurvivedtothatpoint.Itisunclearif,hadtheIndexCommitteeexistedin1995,whichcompanieswouldhavebeenintheIndex.The32constituentsasofSeptember30,2007,arelistedinTable1.AninvestmentintheLPEIndexisreportedtorepresentaninvestmentinover1000privatecompanies.Conceptually,eachoftheconstituentsislikeaninvestmentinanevergreenprivateequityfundprovidingexposuretomultipleindividualprivateequitytransactions.Packagingtheconstituentstogetherresultsinaninvestmentthatisconceptuallysimilartoafundofprivateequityfunds.Table1:ListedPrivateEquityIndexConstituentsasofSeptember30,2007CompanyNameLeucadiaNatlCpFortressInvestmentGroupAmericanCapitalStrategiesBlackstoneGroup.AlliedCapCorpCapitalsourceApolloInvestmentsKKRFinancialCorpMacquarieInfrastructureSVBFinancialTickerLUKFIGACASBXALDCSEAINVKFNMICSIVBWeighting%%%%%%%%%%CorpAresCapitalARCCCorpAffiliatedAMGManagersGroupMCGCapitalCorpMCGCBlackRockKelsoCapitalCorp.BKCCCMGIIncCMGICapitalCSWCSouthwestCompassCODIDiversifiHerculesHTGCTechnologyGrowthCapitalInternetCapGrpMVCCapitalIncMVCProspectEnergyCorpPSECEvercoreEVRPPartnersGladstoneCapitalCorpGladstoneInvestmentCorpHarris&HarrisKohlbergCapitalCorpUTEKCorpTINYKCAPGLADGAIN%%UTK%%%Table2:InternationalListedPrivateEquityIndex.ConstituentsasofSeptember30,2007CompanyNameWeightingWendelInvestment%Eurazeo%3iGroup%Jafco%RatosABB%MacquarieGlobal%InfrastructureTotalReturnFundKKRPrivateEquity%MacquarieAirportsBabcock&BrownInfrastructureGroupIntermediateCapitalSVGCapitalGPInvestmentsMacquarieCommunicationsInfrastructureGroupNIFSMBCGIMVRHJIndustrialJapanAsiaElectraCandoverInvestmentsArquesIndustriesAGpGraphiteEnterpriseTrustDeutscheBeteiligungsAGMacquarieCapitalAllianceGroupCDBWebTech/DeACapital.%%%%%%%%%%%%%%%%%%MacquarieMacquarieMediaGroupBureEquityBraitS.A.DinamiaHgCapitalTrustplcJZEquityCapManOyjGrowthValueOpportunities.AdCapitalAGDunedinEnterpriseInvestmentTrustplcTractionSource:TomIdzorek,2007“PrivateEquityandStrategicAssetAllocation”.JournalofPoliticalEconomy,October,.私人股本和战略资产配置私人股本既是一种资产类别又是一种投资策略。私人股本资产类别和私人股票投资策略之间的可辨性是混乱的，它创造了传统的方法进行资产配置的挑战。资产配置的决策应该基于资产类别的风险和收益特征，虽然在现实中，大多数私人股本决定是对知觉风险以及对所提供的投资机会返回私人股本基础。公众公司共同组成的公众股权类资产。投资者可以通过购买获得上市公司的股份或投资工具，如共同基金，即社会公众股股份购买暴露在公众股权类资产。私人(非公开)公司共同组成的私人股本资产类别。投资者可以通过购买获得，如私募基金，即购买非公有制私人持有的公司股份或投资工具，股票股份暴露于私人股一个私营公司一般不被认为是公共机构，包括邓肯，，尼曼和马库斯的。对于常见的原因包括被来说一直是私人的，杠杆收购，风险创业公司仍然在等待着上市。从现代投资组合的角度来看，最理想的情况是，在一个篮子中公司的重量是根据它们投资的所有私立公司的价值。与实时定价的包括数以万计组成部分的这样一个篮子，并且是私有产权财产类的一个真实的表示法。在这样一个世界里，所有衡量价值的基准将导致人们会非常关注私有财权财产类的表现形式。不幸的是，这是不可能的，在哲学中，不是大多数人如何概念化的私人股权投资。当投资者作出私人股权分配，私募股本公司,它并不是一种被动投资里的所有(或大部分)私人公司所构成的私人股本资产阶级。相反，对于大多数投资者而言，就是投资于以提高技能为主的策略,两种主要的副策略是杠杆收购和风险资本。私人股权分配是一项以技术为基础的战略，其中两个主要的子战略杠杆收购和风险资本投资。你可以代表他们直接或通过一种投资工具实施策略来进行投资。基投资了5个公司——传统的私募股权投资基金,并且已公开上市公司。粹的投资战略，而上市公司的私人股权是被公开列出的。大多数私人股权基金的组织被作为有限的生命的(例如10年)有限合伙企业。有限合伙投资(或承诺的资金)的，然后由普通合伙人管理的基金。业界似乎是朝着更永久的投资工具创造。如果假设传统的私人股权基金公司和上市投资的投资策略为私人公司所有，集体的表现将与这些与投资相关的完全分配给的代表私营股权类资产所有私人公司。其含义是，私募基金的加权平均权重将作为私人股权类资产来投资的。在资产加权的基础上，一半的投资者会做的更好，另一半会比作为一个资产类别的整体更糟。这种回归关系式直接的，但总是被人忽不同于直接的回归关系，财产类和投资工具之间的风险关系不是直接的。私募基金“资产类”回报的标准偏差是不作为私人股权“基金”的回报标准偏差的，两者并不相同的，作为各自的资金有金额上限的限制(投资具体)风险。例如，在美国于大市值共同基金的宇宙中，他们的回归的平均标准偏差与标准普尔系数500的标准偏差非常类似，这是大多数共同基金趋势的副产品，创造具有特色的组合，模仿标准偏差这些基准。他们的回归的平均标准偏差高于私有产权财产类的标准偏差，应该适当地由私有净值资本集中。据此，勒纳，斯佳罗和旺瑟威(2007)提出回归具有一种广泛的分散作用。而数以万计私人公司共同形成私有产权财产类时，私有净值资本是被集中的并且涉及较少的私人公司，15家。私人股权市场结构分散是私人股权投资者不能充分分散的具体的私人股本投资是一种系统性风险的私募股权类资产和私人公司的特定风险的混合物。资产配置的决策都是根据预期收益和资产类别的标准偏差。对于大多数资产类别，它是相对容易处于被动的投资或β资产类的。当涉及到私人股权类资产，一种有风险的被动投资和仿造的回归特征的私有产权类财产的风险是不存在的！因此，作为分离β(资产配置)从α(产品)的决定决定论者，我们面临着相当大的难题—我们应该与相应的平均私人股权投资相关的风险和收益特征或私人股β来决定资产类别我们被迫对α-β分离并且使用β特征的投资者可能通过私有产权曝光这一个特殊方法来获得回资――提供涉及数以千计的私人股本司来暴露私有产权的投资状况。作为在战略性资产分配中凝视私人公平的作用的资产分配程序，两年调查的搁浅有人们对这研究又有了特别的人公平的风险和回归特征的私人股权以及研究战略性资产分配额上的调查。费立颇(2007)提供了极好的文学审核和各种有关私人股权投资的言论。目前的理论中有关优选的战略资产分配的教学指导还是较少的。根据私人股本委员会，将私人股权平均分配给20个美国的公众和私人养老金计划分别为％和％。在早先的伊博森、贝阿柔和卡普兰(2002)的研究中提倡发挥风险资本在战略资产配置中的作用。使用从经济学的违约风险基金的数据发现，创业资本基金的年度复合回报率％ 间美国大型股和小型股)，一个年度标准偏差％和与公共文森(2000)报告指出耶鲁大学和美国私人股权投资权益之间的相关的历史(1982-1997)。格朗迪(2007)的结论是，小额股本是私有产权的一个可实行的替补。亚米巴奥，戴维斯和塞巴斯蒂安(2007)提倡使用非流动性资产类别作为基准，如私人股权公开交易的证券指数。使用瑞士信贷全球华平创业投资指数后，与全球资本文亚米巴奥·大卫以后使用的一个私人股本期望值为％，标准偏差为％，公众权益对比的方法，相对于其他具有相当高的相关性。但我们认为，在长期的时间段，向公众和私人股本资产类别的回报应该是相似的。作者亚米巴奥，戴维斯和塞巴斯蒂安(2007)假设资本市场中有一个更旧的版本被用在恩尼斯和塞巴斯蒂安(2004)。利用均值方差优化，它认为，只有私人股本投资能力，较强的板级支持，以及充足的人力资源股票型私人股本权