私人股本和战略资产配置文献翻译

私人股本和战略资产配

置文献翻译

文档编制序号：[KK8UY-LL9IO69-TTO6M3-MTOL89-FTT688]

原文：Private Equity and Strategic Asset Allocation

Private equity is both an asset class and an investment strategy. Distinguishing between the private equity asset class and the private equity investment strategy can be confusing and creates challenges for the traditional approach to asset allocation. Asset allocation decisions should be based on the risk and return characteristics of the asset class, although in reality, most private equity decisions are based on the perceived risk and return characters of the available private equity vehicles.

Public companies collectively form the public equity asset class. Investors can gain exposure to the public equity asset class by purchasing shares of publicly traded companies or shares of investment vehicles, such as mutual funds, that purchase the public shares.

Private (non-public) companies collectively form the private equity asset class. Investors can gain exposure to the private equity asset class by purchasing shares of privately held companies or shares of investment vehicles, such as private equity funds, that purchase the non-public shares.

A large number of private corporations are generally assumed to be public corporations, including Dunkin Donuts, Hertz, Linens-N-Things, Neiman-Marcus, and Toys-R-Us. Common reasons for being private include

family owned businesses that have always been private, leverage buyouts, and venture start-ups still waiting to go public.

From a modern portfolio perspective, ideally, one could invest in a basket of all private corporations in which the weights of the companies in the basket are based on their true values. Such a basket with real-time pricing would include thousands of constituents and would be a true representation of the private equity asset class. In such a world, all value-weighted benchmarks would lead to very similar conclusions on the performance of the asset class. Unfortunately,

this is not possible and, philosophically, not how most people conceptualize a private equity investment.

When investors make an allocation to private equity, it is not a passive investment in the basket of all (or most) private companies that form the private equity asset class. Rather, for most investors, the allocation to private equity is an investment in a skill-based strategy, in which the two primary sub-strategies are leveraged buyouts and venture capital. One can carry out such strategies directly or through an investment vehicle that carries out the investments on their behalf. Two primary investment 5 vehicles are engaged in these strategies – traditional private equity funds and publicly listed companies.

Unlike the straightforward return relationship, the risk relationship between the asset class and the investment vehicle is not straightforward. The standard deviation of private equity “asset class” re turns is not the same as the standard deviation of private equity “fund” returns, as individual funds have high amounts of idiosyncratic (investment specific) risk. For example, for the universe of large cap U.S. mutual funds, the average standard

deviation of their returns is very similar to the standard deviation of the S&P 500, which is a byproduct of the tendency of most mutual funds to create portfolios with characteristics that mimic those of the benchmark. For the universe of private equity funds, the average standard deviation of their returns should be considerably higher than the standard deviation of the private equity asset class due to the concentrated nature of private equity funds. This phenomenon of a wide dispersion of returns among private equity funds is documented in Lerner, Schoar, and Wongsunwai [2007].

Public equity investments often involve exposure to more than

1,000 public companies. While thousands of private companies collectively form the private equity asset class, private equity funds are more concentrated and often involve exposure to fewer than 15 private companies. The fragmented structure of the private equity market is such that private equity investors cannot fully diversify

away private company specific risk; thus, all private equity investments are a mixture of systematic risk exposure to the private equity asset class and private company specific risk.

Asset allocation decisions are largely based on the expected

return and standard deviation of the asset class. For most asset classes, it is relatively easy to invest in a passive – or beta –representation of the asset class. When it comes to the private equity asset class, a passive investment with risk and return characteristics that mimic the risk and return characteristics of the total private equity asset class does not exist! Thus, as advocates of separating the beta (asset allocation) decision from the alpha (product) decision, we face a rather large dilemma – should we base the beta decision on risk and return characteristics associated with the average private equity investment or the private equity asset class We are forced to muddy the alpha-beta separation waters and use the risk and return characteristics that reflect the beta characteristics that an investor could obtain through a particular method of private equity exposure. Fortunately for us, the type of private equity exposure used in this study – listed private equity exposure – provides exposure to thousands of private equity companies and moving forward as more private equity investments are securitized should be more reflective of the private equity asset class.

As asset allocators contemplating the role of private equity in a strategic asset allocation, two strands of research are of particular interest: research on strategic asset allocations to private equity and research on the risk and return characteristics of private equity. Phalippou [2007a] provides an excellent literature review and

thoughtful commentary on a wide range of private equity investing issues.

Relatively little guidance exists in the literature about an optimal strategic asset allocation to private equity. According to

the Private Equity Council, the average allocation to private equity from the 20 largest U.S. public and private pension plans was % and % respectively. In previous Ibbotson research, Chen, Baierl, and Kaplan [2002] studies the role of venture capital in a strategic asset allocation. Using data from Venture Economics on liquidated funds found that venture capital funds had an annual compounded return of % (compared to returns of % and % for . Large and Small stocks over the same 1960 to 1999 period), an annual standard deviation of %, and a correlation with public equities of .04%, which leads to an allocation range of 2% to 9%. Swenson [2000] reports the historical (1982-1997) correlation between the Yale private equity portfolio and U.S. equity at .3. Grantier [2007] concludes that small cap stocks are a viable substitute for private equity.

Yambao, Davis, and Sebastian [2007] advocates using indices of publicly traded securities as proxies for illiquid asset classes such as private equity. Using Credit Suisse Warburg Pincus Global Post Venture Capital Index, coupled with a global CAPM approach similar to one used later in this paper, Yambao, David, and Sebastian estimates the expected return of private equity at %, a standard deviation of %, and a correlation with public equity of .9 – a correlation that is substantially higher than most other estimates, but consistent with our view that, over long time periods, returns to the public and private equity asset classes should be similar. A slightly older version of the Yambao, Davis, and Sebastian [2007] capital market assumptions was used in Ennis and Sebastian [2004]. Using mean-variance optimization, it finds that private equity only begins to enter efficient portfolios when equity allocations exceed 60%. Furthermore, it concludes, “Only moderate-size, equity-oriented funds with exceptional private equity investment skill, strong board-level support, and adequate staff resources should consider allocations of 10% or more.” Finally, in an annual update on the benefits of private equity, the Center for International Securities and Derivatives

M arkets (CISDM) Research Department writes, “Results show that traditional private equity indices may provide diversification and

return benefits when 7 added to an existing stock and bond portfolio, as well as a stock, bond, and hedge fund portfolio.”

The lack of agreement regarding the historical returns of the private equity asset class is the key reason that relatively little asset allocation guidance around private equity can be found in the literature. We, too, cannot escape the uncertainty surrounding the historical returns of private equity.

The perception that the private equity asset class has

significantly outperformed public equity is one of the drivers of the current interest in private equity. The National Venture Capital Association, in conjunction with Thomson, regularly report the performance of Thomson Financials' US Private Equity Performance Index (PEPI), in which the reported 10- and 20-year annualized returns approximately double those of the S&P 500. The perception that

private equity has superior returns is also due to the exceptional performance of a few high profile private equity investors, such as Yale, and the stellar returns of top quartile private equity funds

that are often trumpeted in the press. The Private Equity Council, an industry trade organization, proclaims that from 1980 to 2005, top-quartile private equity firms had annualized net of fee returns of % (see Private Equity Council [2007]). Unfortunately, the average

private equity investor experiences average private equity returns and

not top quartile returns. Overall, the literature on private equity returns vs. public equity returns is mixed.

Schmidt [2006] compares the historical performance of private equity investments against a benchmark of comparable stocks from the Russell 2000 small stock universe. From 1980 to 1990, stocks outperformed private equity, while from 1990 to 2002, private equity outperformed stocks. Over the entire period, 1980 to 2002, the compounded annual return was approximately %, nearly three times greater than the return on the comparable stock benchmark, suggesting that the returns on true private equity investments are significantly different than the custom stock benchmark.

Kaplan and Schoar [2005] finds that after fee performance of private equity funds is similar to the S&P 8500. Studies by CalPERS and the Yale Endowment reach similar conclusions:In contrast with the above findings, Moskowitz and Vissing-Jorgensen [2002] finds that the risk and return trade-off is superior for public equities. Phalippou and Gottschalg [2006] claims that Kaplan and Schoar [2005] and others overstate the performance of private equity funds. After correcting for 9 potential biases, it estimates that private equity funds underperformed the S&P 500 by 383 basis points.

Phalippou [2007a] states, “An interesting area for further research is to understand why investors 10 allocate large amounts to this asset class, given such low past performance.”

After surveying the literature on private vs. public equity returns, Grantier [2007] concludes that, on average, private equities do not outperform public equities, although top private equity firms have outperformed public equities.

Unlike most other asset classes where past performance is viewed as a historical fact and the focus is on forecasting future returns,

further research is necessary to accurately determine both historical and future expected returns of private equity.

Of particular interest, given the new private equity asset class proxies used in our study, Zimmermann et al. studies the risk, returns, and biases of listed private equity portfolios. Between 1986 and 2003, it estimates the annual return and standard deviation of three

portfolios of listed equities. The value weighted buy-and-hold

portfolio had a return of % and standard deviation of %. The equally-weighted rebalanced portfolio had a return of % and standard deviation of %. The equally-weighted buy-and-hold portfolio had a return of % and standard deviation of %. Clearly, the weighting and rebalancing schemes have a significant effect on performance. After adjusting for serial correlation, the standard deviations of the two equally

weighted portfolios increase substantially, to % and %, respectively. For comparison purposes, over the same period, the S&P 500 had a compounded annual return of % and a standard deviation of %.

Private Equity Index Proxies

Representing the U.S. private equity asset class, the Listed Private Equity Index is a new index introduced on September 30, 2006, with an available backfilled history that begins on September 29, 1995. The LPE Index is a collection of publicly traded companies listed on the NYSE, AMEX and/or NASDAQ that are deemed to be predominately “Private Equity Holding Companies.” As a general rule, the Index Committee looks for companies from which the majority of the revenue stream comes from investing, lending, or providing services to privately held businesses. The Index uses a modified market capitalization approach.

A desire to diversify amongst different private equity phases . early stage financing, late stage, etc.), a maximum constituent weight of 10%, and concentration issues drive the Index Committee tilts away

from market capitalization weights.

The backfilled histories were created using the constituent weights at the time of inception. Such an approach is susceptible to survivorship bias, as all of the companies selected by the Index Committee on the true index inception dates obviously survived to that

point. It is unclear if, had the Index Committee existed in 1995, which companies would have been in the Index.

The 32 constituents as of September 30, 2007, are listed in Table 1. An investment in the LPE Index is reported to represent an investment in over 1000 private companies. Conceptually, each of the constituents is like an investment in an evergreen private equity fund providing exposure to multiple individual private equity transactions. Packaging the constituents together results in an investment that is conceptually similar to a fund of private equity funds.

Table 1: Listed Private Equity Index Constituents as of September 30, 2007

Table 2: International Listed Private Equity Index .Constituents as of September 30, 2007

Source: Tom Idzorek,2007 “Private Equity and Strategic Asset Allocation”.Journal of Political Economy, October,.

译文：

私人股本和战略资产配置

私人股本既是一种资产类别又是一种投资策略。私人股本资产类别和私人股票投资策略之间的可辨性是混乱的，它创造了传统的方法进行资产配置的挑战。资产配置的决策应该基于资产类别的风险和收益特征，虽然在现实中，大多数私人股本决定是对知觉风险以及对所提供的投资机会返回私人股本基础。

公众公司共同组成的公众股权类资产。投资者可以通过购买获得上市公司的股份或投资工具，如共同基金，即社会公众股股份购买暴露在公众股权类资产。

私人（非公开）公司共同组成的私人股本资产类别。投资者可以通过购买获得，如私募基金，即购买非公有制私人持有的公司股份或投资工具，股票股份暴露于私人股本资产类别。

一个私营公司一般不被认为是公共机构，包括邓肯，赫兹，亚麻布，尼曼和马库斯的。对于常见的原因包括被私人家族拥有的企业来说一直是私人的，杠杆收购，风险创业公司仍然在等待着上市。

从现代投资组合的角度来看，最理想的情况是，在一个篮子中公司的重量是根据它们投资的所有私立公司的价值。与实时定价的包括数以万计组成部分的这样一个篮子，并且是私有产权财产类的一个真实的表示法。在这样一个世界里，所有衡量价值的基准将导致人们会非常关注私有财权财产类的表现形式。不幸的是，这是不可能的，在哲学中，不是大多数人如何概念化的私人股权投资。

当投资者作出私人股权分配，私募股本公司,它并不是一种被动投资里的所有(或大部分)私人公司所构成的私人股本资产阶级。相反，对于大多数投资者而言，就是投资于以提高技能为主的策略,两种主要的副策略是杠杆收购和风险资本。私人股权分配是一项以技术为基础的战略，其中两个主要的子战略杠杆收购和风险资本投资。你可以代表他们直接或通过一种投资工具实施策略来进行投资。基于这两个战略投资了5个公司——传统的私募股权投资基金,并且已公开上市公司。

在私人股本教学里，传统的私人股权基金通常是纯粹的投资战略，而上市公司的私人股权是被公开列出的。大多数私人股权基金的组织被作为有限的生命的（例如10年）有限合伙企业。有限合伙投资（或承诺的资金）的，然后由普通合伙人管理的基金。业界似乎是朝着更永久的投资工具创造。如果假设传统的私人股权基金公司和上市公司从事私人股权投资的投资策略为私人公司所有，集体的表现将与这些与投资相关的完全分配给的代表私营股权类资产所有私人公司。其含义是，私募基金的加权平均权重将作为私人股权类资产来投资的。在资产加权的基础上，一半的投资者会做的更好，另一半会比作为一个资产类别的整体更糟。这种回归关系式直接的，但总是被人忽略。

不同于直接的回归关系，财产类和投资工具之间的风险关系不是直接的。私募基金“资产类”回报的标准偏差是不作为私人股权“基金”的回报标准偏差的，两者并不相同的，作为各自的资金有金额上限的限制（投资具体）风险。例如，在美国于大市值共同基金的宇宙中，他们的回归的平均标准偏差与标准普尔系数 500的标准偏差非常类似，这是大多数共同基金趋势的副产品，创造具有特色的组合，模仿标准偏差这

些基准。他们的回归的平均标准偏差高于私有产权财产类的标准偏差，应该适当地由私有净值资本集中。据此，勒纳，斯佳罗和旺瑟威（2007）提出回归具有一种广泛的分散作用。

公共股权投资的公开披露已涉及1000多家上市公司。而数以万计私人公司共同形成私有产权财产类时，私有净值资本是被集中的并且涉及较少的私人公司，15家。私人股权市场结构分散是私人股权投资者不能充分分散的具体风险，因此，所有的私人股本投资是一种系统性风险的私募股权类资产和私人公司的特定风险的混合物。

资产配置的决策都是根据预期收益和资产类别的标准偏差。对于大多数资产类别，它是相对容易处于被动的投资或β资产类的。当涉及到私人股权类资产，一种有风险的被动投资和仿造的回归特征的私有产权类财产的风险是不存在的！因此，作为分离β（资产配置）从α（产品）的决定决定论者，我们面临着相当大的难题—我们应该与相应的平均私人股权投资相关的风险和收益特征或私人股本β来决定资产类别我们被迫对α-β分离并且使用β特征的投资者可能通过私有产权曝光这一个特殊方法来获得回归特征。幸运的是，私人股本在本研究中使用接触式――民营上市股票投资――提供涉及数以千计的私人股本司来暴露私有产权的投资状况。

作为在战略性资产分配中凝视私人公平的作用的资产分配程序，两年调查的搁浅有人们对这研究又有了特别的兴趣：有关私人公平的风险和回归特征的私人股权以及研究战略性资产分配额上的调查。费立颇（2007）提供了极好的文学审核和各种有关私人股权投资的言论。

目前的理论中有关优选的战略资产分配的教学指导还是较少的。根据私人股本委员会，将私人股权平均分配给20个美国的公众和私人养老金计划分别为％和％。在早先的伊博森、贝阿柔和卡普兰（2002）的研究中提倡发挥风险资本在战略资产配置中的作用。使用从经济学的违约风险基金的数据发现，创业资本基金的年度复合回报率％（相对于％的回报率和％，较去年同1960年至1999年期间美国大型股和小型股），一个年度标准偏差％和与公共股票相关的％，这导致了配置范围在2％至9％之间。斯文森（2000）报告指出耶鲁大学和美国私人股权投资权益之间的相关的历史（1982-1997）。格朗迪（2007）的结论是，小额股本是私有产权的一个可实行的替补。

亚米巴奥，戴维斯和塞巴斯蒂安（2007）提倡使用非流动性资产类别作为基准，如私人股权公开交易的证券指数。使用瑞士信贷全球华平创业投资指数后，与全球资本资产定价模型中使用的方法相似，本文亚米巴奥·大卫后，塞巴斯蒂安估计，以后使用的一个私人股本期望值为％，标准偏差为％，公众权益对比的方法，相对于其他的大多数估计这是具有相当高的相关性。但我们认为，在长期的时间段，向公众和私人股本资产类别的回报应该是相似的。作者亚米巴奥，戴维斯和塞巴斯蒂安（2007）假设资本市场中有一个更旧的版本被用在恩尼斯和塞巴斯蒂安（2004）。利用均值方差优化，它认为，只有私人股本开始进入公平分配的有效投资组合时，即超过60％。此外，它的结论是，“只有适度规模，拥有卓越的私人股权投资能力，较强的板级支持，以及充足的人力资源股票型基金应考虑10％或以上的分配。”终于在一个年度更新，私人股本权益，国际证券及衍生产品市场（英文简写：CISDM）研究

部中心写道“结果表明，传统的私人股票指数可以提供多样化和回报的好处时，也可以添加到现有的股票和债券投资组合，以及股票，债券和对冲基金的等投资组合。”

缺乏有关研究私募股权类资产历史回报的文献是关键原因，在文献中也只能找到较少得有关私人资产配置知识。但是我们也不能逃避私募基金的不确定性回报，应进一步去深究私人股权投资的收益情况。

我们认为，私人股权类资产大大优于公共股权的看法是对当前投资私人股本的动力之一。国家风险投资协会的数据，以及汤姆森的关于美国私人股本绩效指标（私人股本市盈率指标）的定期金融报告中显示，在标准普尔500指数时，20年的投资收益是10年的收益的两倍左右。人们认为私募股权公司具有优异的回报是非同一般的表现，主要也是因为一些私募股权投资者的高调行为。如耶鲁大学私人股权基金的前四分之一的，常常在报刊上大肆宣扬私募股权永久回报的优异性能。私人投资委员会，一个行业贸易组织，宣布在1980年至2005年，顶级私人资本运营公司四分之一的净额（见私募基金理事会2007）费用年均回报达到％。不幸的是，私人股权投资经验平均股票回报率不及顶级私人资本营运公司的四分之一。总体而言，私人股本回报与公共权益报酬是喜忧参半。

施密特（2006）作出将私人股权投资的历史回报率与罗素集团的2000股股票进行比较。从1980年到1990年，股票跑赢私募基金，而1990至2002年，私人股权投资表现优于股票。在整个期间，1980年至2002年，复合年度回报率约为％，比股票基准大了近三倍，这表明真正的私人股权投资的回报明显高于股票基准。