私人股本和战略方案资产配置文献翻译.docx

私人股本和战略方案资产配置文献翻译.docx

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私人股本和战略方案资产配置文献翻译

原文：

PrivateEquityandStrategicAssetAllocation

Privateequityisbothanassetclassandaninvestmentstrategy.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.Mostprivateequityfundsareorganizedaslimitedpartnershipswithafinitelife（e.g.10years）.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–shouldwebasethebetadecisiononriskandreturncharacteristicsassociatedwiththeaverageprivateequityinvestmentortheprivateequityassetclass?

Weareforcedtomuddythealpha-betaseparationwatersandusetheriskandreturncharacteristicsthatreflectthebetacharacteristicsthataninvestorcouldobtainthroughaparticularmethodofprivateequityexposure.Fortunatelyforus,thetypeofprivateequityexposureusedinthisstudy–listedprivateequityexposure–providesexposuretothousandsofprivateequitycompaniesandmovingforwardasmoreprivateequityinvestmentsaresecuritizedshouldbemorereflectiveoftheprivateequityassetclass.

Asassetallocatorscontemplatingtheroleofprivateequityinastrategicassetallocation,twostrandsofresearchareofparticularinterest:

researchonstrategicassetallocationstoprivateequityandresearchontheriskandreturncharacteristicsofprivateequity.Phalippou[2007a]providesanexcellentliteraturereviewandthoughtfulcommentaryonawiderangeofprivateequityinvestingissues.

Relativelylittleguidanceexistsintheliteratureaboutanoptimalstrategicassetallocationtoprivateequity.AccordingtothePrivateEquityCouncil,theaverageallocationtoprivateequityfromthe20largestU.S.publicandprivatepensionplanswas5.8%and5.9%respectively.InpreviousIbbotsonresearch,Chen,Baierl,andKaplan[2002]studiestheroleofventurecapitalinastrategicassetallocation.UsingdatafromVentureEconomicsonliquidatedfundsfoundthatventurecapitalfundshadanannualcompoundedreturnof13.4%（comparedtoreturnsof12.2%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.

Theperceptiont