私人股本和战略资产配置文献翻译.docx

私人股本和战略资产配置文献翻译.docx

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私人股本和战略资产配置文献翻译

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[2007].

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[2007a]providesanexcellentliteraturereviewandthoughtfulmentaryonawiderangeofprivateequityinvestingissues.

Relativelylittleguidanceexistsintheliteratureaboutanoptimalstrategicassetallocationtoprivateequity.AccordingtothePrivateEquityCouncil,theaverageallocationtoprivateequityfromthe20largestU.S.publicandprivatepensionplanswas5.8%and5.9%respectively.InpreviousIbbotsonresearch,Chen,Baierl,andKaplan[2002]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[2007]concludesthatsmallcapstocksareaviablesubstituteforprivateequity.

Yambao,Davis,andSebastian[2007]advocatesusingindicesofpubliclytradedsecuritiesasproxiesforilliquidassetclassessuchasprivateequity.UsingCreditSuisseWarburgPincusGlobalPostVentureCapitalIndex,coupledwithaglobalCAPMapproachsimilartooneusedlaterinthispaper,Yambao,David,andSebastianestimatestheexpectedreturnofprivateequityat13.6%,astandarddeviationof30.7%,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.

Theperceptionthattheprivateequityassetclasshassignificantlyoutperformedpubli