视频经济学金融市场 09 客座演讲 Guest Lecture by DavidWord格式.docx

视频经济学金融市场 09 客座演讲 Guest Lecture by DavidWord格式.docx

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Fabrikant,Geraldine."

Yale'

sEndowmentGrows28%,Topping$22Billion."

NewYorkTimes,September27,2007.

FinancialMarkets:

Lecture9Transcript

February13,2008

ProfessorDavidSwensen:

LetmestartoutbyputtingwhatIthinkisarelativelycontroversialpropositiononthetableandthat'

sthatthisinvestmentmanagementbusiness,whenstrippeddowntoitsbareessentials,isreallyquitesimple.Now,whydoIsaythat?

Well,Ithinkifwetookthegroupheretodayanddividedyouupintosmallergroupsoffour,orfive,orsixandaskedyoutotalkaboutwhat'

sreallyimportantinmanagingaportfoliothathasaverylongtimehorizon,Ithinkthatalmostallthegroupswouldcometoverysimilarconclusions.Ifyou'

reinvestingwithalongtimehorizon,havinganequitybiasmakessense;

stocksgoupinthelongrun.BobShiller'

sfriend,JeremySiegel,wroteabookthathastheverysimpletitle,StocksForTheLongRun.Well,thebookisassigned;

youallknowit.

TheotherthingthatIthinkwouldcomeoutofthediscussionsisthatdiversificationisimportant.Anybodywhosereadabasicfinancetext,asamatteroffact,Ithinkanybodywhothinksaboutinvestmentsinacommonsensefashionknowsthatdiversificationisanimportantfundamentaltenetofportfoliomanagement.Asamatteroffact,HarryMarkowitzcalleddiversificationa"

freelunch."

Wespendallourtimeinintro.econ.figuringoutthereisnosuchthingasafreelunchbutMarkowitztellsusthatdiversificationisafreelunch.Foranygivenlevelofreturn,youcanreduce--Foranygivenlevelofrisk,youcanincreasethereturn;

soundsprettygood.That'

sprettysimple,right?

Twotenets,anequitybiasforportfolioswithalongtimehorizonanddiversification.

BobmentionedinhisintroductionthatIshowedupatYalein1985,afterhavingspentsixyearsonWallStreet,andIwastotallyunencumberedbyanyportfoliomanagementexperience.Ithoughtthatwasprettyneat.HereIwas,backatYale,withabilliondollarportfolio--itseemedlikealotofmoneyatthetime--noportfoliomanagementexperience.WhatdoIdo?

Well,oneofthethingsIthinkisasensiblethingtodoinlifeislookaroundatwhatothersaredoing,soIlookedatwhatcollegesanduniversitieshaddoneintermsofassetallocation.Turnsoutthat50%ofendowmentassetsinthemid-1980swereinvestedincommonstocks,40%ofendowmentassetswereinU.S.bondsandU.S.cash,and10%inasmatteringofalternatives.Well,IlookedatthatandIthought,thisdoesn'

treallymakealotofsense.Youhavehalfofyourassetsinonesingleassetclass:

U.S.commonstocks.You'

vegotanother40%ofyourassetsinU.S.bondsandcash.So90%ofyourportfolioisindomesticmarketablesecuritiesandonly10%isinvestedinthingslikerealestateorventurecapitalorprivateequity--hardlyenoughtomakeadifferenceintermsoftheportfoliosreturns.Unencumberedby,Iguess,theconventionalwisdom,westartedoutatYaleonapaththatIthinkis--fundamentallythatchangedthewaythatinstitutionsmanageportfolios.

Afewyearsago,IwroteabookcalledPioneeringPortfolioManagement.ThereasonyoucouldputanaudacioustitlelikePioneeringPortfolioManagementonthecoverofthebookwasthatwemovedawayfromthistraditionalmodelwith50%instocksand40%inbondsandcashtosomethingthatwasmuchmoreequity-orientedandmuchmorediversified.WhatI'

dliketodotodayistalktoyouabouthowitisthatwemovedfromthisoldmodeltowhatitisthattodaymanyinstitutionscalltheYalemodel.ThewaythatIwouldliketotalkaboutthisjourneythatwetookisbylookingatthetoolsthatwehaveavailabletousasinvestors--thesetoolsarethesametoolsthatwehavewhetherwe'

reoperatingasindividualinvestorsorinstitutionalinvestors--anddescribehowweemploythosetoolsatYaleandhowtheyledustotheportfoliothatwehavetoday.Thosethreetoolsareassetallocation,markettiming,andsecurityselection.

Thefirst,assetallocation,basicallydealswithwhichassetsyouhaveinyourportfolioandinwhichproportionyouholdeachofthoseassets.Thesecond,markettiming,dealswithshort-termdeviationsfromthelong-termassetallocationsthatyouestablish.Andthethird,securitiesselection,speakstohowitisyoumanageeachofyourindividualassetclasses.Areyougoingtoholdthemarketportfolio,indexyourassets,matchthemarketsresults?

Orareyougoingtomanageeachindividualassetclassactively,tryingtobeatthemarketandgeneraterisk-adjustedexcessreturns?

Let'

sstartoutwiththefirst:

assetallocation.Ithinkit'

sprettywidelyknownthatassetallocationisfarandawaythemostimportanttoolthatwehaveavailabletousasinvestors.Asamatteroffact,it'

ssowidelybelievedthatassetallocationisthemostimportanttoolthatIthinksomepeoplehavecometotheconclusionthatit'

ssomesortoflawoffinancethatassetallocationisthemostimportanttool.Itturnsoutthatit'

snotafinanciallawthatassetallocationtakescenterstage;

itreallyismoreadescriptionofhowitisthatwebehave.

Yaleactuallyhasalotmorethanthebilliondollarsthatwestartedwithin1985.IthinktheestimatesheetthatIgotyesterdaymorningsaidthatwe'

vegotabout$22.5billiondollars;

sothat'

sbeenanicerun.IfIwentbacktomyofficeafterspeakingwithyouthismorningandtookYale'

s$22.5billiondollarsandputallofitintoGooglestock,assetallocationwouldhaveverylittletosayaboutwhatYale'

sreturnswouldbe.Asamatteroffact,securityselectionwouldabsolutelydominatetheresults.TheidiosyncraticbehaviorofGooglestockfromthetimethatwepurchaseittothetimethatwesellitwoulddefineYale'

sreturns.Alternatively,ifIwentbacktotheofficeandtookYale'

s$22.5billiondollarsanddecidedthatIwasgoingtodaytradebondfutures,securityselectionwouldn'

thaveanythingtosayaboutthereturns;

assetallocationwouldn'

thaveanythingtosayaboutthereturns.Thereturnswouldbeattributablesolelytomyabilitytomarkettimethebondfuturesmarket.

Now,I'

mnotgoingtodoeitheroneofthosethings.I'

mnotgoingtoputYale'

sentireportfolioinGooglestock,I'

mnotgoingtogobackandtakeYale'

sentireportfoliotoday-tradebondfutures;

inpart,becauseitwouldbebadformepersonally.IthinkIwouldbefiredassoonaspeoplefoundoutwhatitwasthatIwasdoingwiththeportfolioand,overwhelminglymoreimportant,itwouldbebadfortheUniversity.It'

snotarationalthingtodo.WhatwillhappenisthatYalewillcontinuetoholdarelativelywell-diversifiedportfolioasdefinedbytherangeofassetclassesinwhichitinvests.Whenyoulookateachofthoseindividualassetclasses--domesticequities,foreignequities,bonds,realassets,absolutereturnandprivateequity--eachofthoseindividualassetclassesisgoingtoberelativelywell-diversifiedintermsofexposurestoindividualpositionsorindividualsecurities.Becausethat'

strue,thenassetallocationendsupbeingtheoverwhelminglyimportantdeterminantoftheUniversity'

sresults.Becauseweholdrelativelystable,relativelywell-diversifiedportfolios,securityselectionturnsoutnottobeanimportantdeterminantofreturnsformostinvestorsandmarkettimingturnsoutnottobeanimportantdeterminantofreturns.Thelastmanstandingisassetallocationandthattendstodrivebothinstitutionalreturnsandindividualreturns.

RogerIbbotson,whoisacolleagueofBobShiller'

sandmineattheSchoolofManagement,hasdoneafairamountofwork,studyingtherelativeimportanceofthesesourcesofreturns.He'

scometotheconclusionthatover90%ofthevariabilityofreturnsininstitutionalportfoliosisattributabletoassetallocationandthat'

sthenumberthatIthinkmostpeoplehearcitedwhentheyarelookingatRogerIbbotson'

swork.Ithinkoneofthemoreinterestingandevensimplerconceptsthatcomesoutofhisstudyisthatmorethan100%ofreturnsaredefinedbyassetallocation.Now,howcanthatbetrue?

Howcanassetallocationberesponsibleformorethan100%ofinvestmentreturns?

Well,itcanonlybetrueifsecurityselectionandmarkettimingdetractfrominstitutionalreturnsorindividualreturnsintheaggregate.Ofcourse,ifthinkaboutit,asacommunity,theinvestmentcommunityisgoingtolosefromsecurityselectiondecisions.

Ifsecurityselectionisazero-sumgame,theamountbywhichthewinnerwinsequalstheamountbywhichtheloserloses--winnersandlosersbeingdefinedbyperformanceafterasecurityselectionthathasbeenmade--well,thatsoundslikeazero-sumgame.Butthen,ifyoutakeintoaccountthatyoucreatemarketimpactwhenyoutrade,thatyoupaycommissionswhenyoutradeandyoufrequentlypayadvisorssubstantialamountsofmoney--whetherthey'

remutualfundmanagersorinstitutionalfundmanagers--there'

sthisleakagefromthesystemthatcausestheactiveresultsforthecommunityasawholetobenegative.Absolutelythesamethingistrueonthemarkettimin