战略管理私人股本和战略资产配置文献翻译 精品.docx
- 文档编号:14969308
- 上传时间:2023-06-28
- 格式:DOCX
- 页数:17
- 大小:28.39KB
战略管理私人股本和战略资产配置文献翻译 精品.docx
《战略管理私人股本和战略资产配置文献翻译 精品.docx》由会员分享,可在线阅读,更多相关《战略管理私人股本和战略资产配置文献翻译 精品.docx(17页珍藏版)》请在冰点文库上搜索。
战略管理私人股本和战略资产配置文献翻译精品
原文:
PrivateEquityandStrategicAssetAllocation
Privateequityisbothanassetclassandaninvestmentstrategy.Distinguishingbetweentheprivateequityassetclassandtheprivateequityinvestmentstrategycanbeconfusingandcreateschallengesforthetraditionalapproachtoassetallocation.Assetallocationdecisionsshouldbebasedontheriskandreturncharacteristicsoftheassetclass,althoughinreality,mostprivateequitydecisionsarebasedontheperceivedriskandreturncharactersoftheavailableprivateequityvehicles.
Publicpaniescollectivelyformthepublicequityassetclass.Investorscangainexposuretothepublicequityassetclassbypurchasingsharesofpubliclytradedpaniesorsharesofinvestmentvehicles,suchasmutualfunds,thatpurchasethepublicshares.
Private(non-public)paniescollectivelyformtheprivateequityassetclass.Investorscangainexposuretotheprivateequityassetclassbypurchasingsharesofprivatelyheldpaniesorsharesofinvestmentvehicles,suchasprivateequityfunds,thatpurchasethenon-publicshares.
Alargenumberofprivatecorporationsaregenerallyassumedtobepubliccorporations,includingDunkinDonuts,Hertz,Linens-N-Things,Neiman-Marcus,andToys-R-Us.monreasonsforbeingprivateincludefamilyownedbusinessesthathavealwaysbeenprivate,leveragebuyouts,andventurestart-upsstillwaitingtogopublic.
Fromamodernportfolioperspective,ideally,onecouldinvestinabasketofallprivatecorporationsinwhichtheweightsofthepaniesinthebasketarebasedontheirtruevalues.Suchabasketwithreal-timepricingwouldincludethousandsofconstituentsandwouldbeatruerepresentationoftheprivateequityassetclass.Insuchaworld,allvalue-weightedbenchmarkswouldleadtoverysimilarconclusionsontheperformanceoftheassetclass.Unfortunately,thisisnotpossibleand,philosophically,nothowmostpeopleconceptualizeaprivateequityinvestment.
Wheninvestorsmakeanallocationtoprivateequity,itisnotapassiveinvestmentinthebasketofall(ormost)privatepaniesthatformtheprivateequityassetclass.Rather,formostinvestors,theallocationtoprivateequityisaninvestmentinaskill-basedstrategy,inwhichthetwoprimarysub-strategiesareleveragedbuyoutsandventurecapital.Onecancarryoutsuchstrategiesdirectlyorthroughaninvestmentvehiclethatcarriesouttheinvestmentsontheirbehalf.Twoprimaryinvestment5vehiclesareengagedinthesestrategies–traditionalprivateequityfundsandpubliclylistedpanies.
Traditionalprivateequityfundsaretypicallypureplaysintheprivateequitystrategies,whilepubliclylistedpaniesofferaspectrumofprivateequity-likeexposure.Mostprivateequityfundsareorganizedaslimitedpartnershipswithafinitelife(e.g.10years).Thelimitedpartnersinvestin(ormitcapitalto)thefundswhicharethenmanagedbythegeneralpartners.Theindustryappearstobemovingtowardthecreationofmoreperpetualinvestmentvehicles.Ifoneassumesthattraditionalprivateequityfundsandpubliclylistedpaniesengagedinprivateequitystrategiesownalloftheprivatepanies,thecollectiveperformanceassociatedwiththeseinvestmentswouldperfectlymatchtheperformanceofabasketofallprivatepaniesrepresentingtheprivateequityassetclass.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[20XX].
Publicequityinvestmentsofteninvolveexposuretomorethan1,000publicpanies.Whilethousandsofprivatepaniescollectivelyformtheprivateequityassetclass,privateequityfundsaremoreconcentratedandofteninvolveexposuretofewerthan15privatepanies.Thefragmentedstructureoftheprivateequitymarketissuchthatprivateequityinvestorscannotfullydiversifyawayprivatepanyspecificrisk;thus,allprivateequityinvestmentsareamixtureofsystematicriskexposuretotheprivateequityassetclassandprivatepanyspecificrisk.
Assetallocationdecisionsarelargelybasedontheexpectedreturnandstandarddeviationoftheassetclass.Formostassetclasses,itisrelativelyeasytoinvestinapassive–orbeta–representationoftheassetclass.Whenitestotheprivateequityassetclass,apassiveinvestmentwithriskandreturncharacteristicsthatmimictheriskandreturncharacteristicsofthetotalprivateequityassetclassdoesnotexist!
Thus,asadvocatesofseparatingthebeta(assetallocation)decisionfromthealpha(product)decision,wefacearatherlargedilemma–shouldwebasethebetadecisiononriskandreturncharacteristicsassociatedwiththeaverageprivateequityinvestmentortheprivateequityassetclass?
Weareforcedtomuddythealpha-betaseparationwatersandusetheriskandreturncharacteristicsthatreflectthebetacharacteristicsthataninvestorcouldobtainthroughaparticularmethodofprivateequityexposure.Fortunatelyforus,thetypeofprivateequityexposureusedinthisstudy–listedprivateequityexposure–providesexposuretothousandsofprivateequitypaniesandmovingforwardasmoreprivateequityinvestmentsaresecuritizedshouldbemorereflectiveoftheprivateequityassetclass.
Asassetallocatorscontemplatingtheroleofprivateequityinastrategicassetallocation,twostrandsofresearchareofparticularinterest:
researchonstrategicassetallocationstoprivateequityandresearchontheriskandreturncharacteristicsofprivateequity.Phalippou[20XXa]providesanexcellentliteraturereviewandthoughtfulmentaryonawiderangeofprivateequityinvestingissues.
Relativelylittleguidanceexistsintheliteratureaboutanoptimalstrategicassetallocationtoprivateequity.AccordingtothePrivateEquityCouncil,theaverageallocationtoprivateequityfromthe20largestU.S.publicandprivatepensionplanswas5.8%and5.9%respectively.InpreviousIbbotsonresearch,Chen,Baierl,andKaplan[20XX]studiestheroleofventurecapitalinastrategicassetallocation.UsingdatafromVentureEconomicsonliquidatedfundsfoundthatventurecapitalfundshadanannualpoundedreturnof13.4%(paredtoreturnsof12.2%and14.5%forU.S.LargeandSmallstocksoverthesame1960to1999period),anannualstandarddeviationof115.6%,andacorrelationwithpublicequitiesof.04%,whichleadstoanallocationrangeof2%to9%.Swenson[2000]reportsthehistorical(1982-1997)correlationbetweentheYaleprivateequityportfolioandU.S.equityat.3.Grantier[20XX]concludesthatsmallcapstocksareaviablesubstituteforprivateequity.
Yambao,Davis,andSebastian[20XX]advocatesusingindicesofpubliclytradedsecuritiesasproxiesforilliquidassetclassessuchasprivateequity.UsingCreditSuisseWarburgPincusGlobalPostVentureCapitalIndex,coupledwithaglobalCAPMapproachsimilartooneusedlaterinthispaper,Yambao,David,andSebastianestimatestheexpectedreturnofprivateequityat13.6%,astandarddeviationof30.7%,andacorrelationwithpublicequityof.9–acorrelationthatissubstantiallyhigherthanmostotherestimates,butconsistentwithourviewthat,overlongtimeperiods,returnstothepublicandprivateequityassetclassesshouldbesimilar.AslightlyolderversionoftheYambao,Davis,andSebastian[20XX]capitalmarketassumptionswasusedinEnnisandSebastian[20XX].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.
Theperceptionthattheprivateequityassetclasshassignificantlyoutperforme
- 配套讲稿:
如PPT文件的首页显示word图标,表示该PPT已包含配套word讲稿。双击word图标可打开word文档。
- 特殊限制:
部分文档作品中含有的国旗、国徽等图片,仅作为作品整体效果示例展示,禁止商用。设计者仅对作品中独创性部分享有著作权。
- 关 键 词:
- 战略管理私人股本和战略资产配置文献翻译 精品 战略 管理 私人 股本 资产 配置 文献 翻译