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.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
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