私募股權(quán)投資基金收益特征、收益因素和投資者策略【外文翻譯】

1、<p><b>　　外文翻譯</b></p><p><b>　　原文</b></p><p>　　Private equity funds: Return characteristics, return drivers and consequences for investors</p><p>　　Mater

2、ial Source: Journal of Financial Transformation, 2005（12）, p107-117.</p><p>　　Author: Christoph Kaserer and Christian Diller</p><p>　　Introduction</p><p>　　This article addresses tw

3、o important topics concerning the performance of private equity funds. Firstly, we argue that the performance of a private equity fund should not be measured by the IRR. Instead, we offer the PME as a more meaningful per

4、formance measure. On that basis we offer some performance data for mature European private equity funds. Secondly, we analyze what factors have an impact on these returns. In our perspective, this asset class is characte

5、rized by illiquidity, stickiness, a</p><p><b>　　Dataset</b></p><p>　　Over the last decade private equity has become an important asset class for institutional investors. For several

6、reasons its importance will further increase over the years to come. Evidently, the changing regulatory environment will have a substantial influence in this process. Actually, the widespread implementation of internatio

7、nal accounting rules in Europe (IFRS/IAS) may increase institutional investors’ propensity to allocate more of their investments to this asset class. On the other side</p><p>　　The past three years have been

8、 extremely good for private equity with returns for all but the smallest funds comfortably beating the S&P 500 index. Long-term performance also looks strong, at least at first glance. From 1980 to 2001, the average

9、fund generated higher gross returns than investing in the S&P 500, according to a study by Steve Kaplan of the University of Chicago and Antoinette Schoar of the Massachusetts Institute of Technology. The results

10、 of this article are based on a large </p><p>　　Performance analysis of private equity funds:</p><p>　　Some puzzling issues in return measurement</p><p>　　We start with presenting t

11、he results of the return distribution of our sample of European private equity funds. We have already pointed out that for an illiquid asset, i.e., an asset without an observable market price, a time weighted return cann

12、ot be calculated. The most frequent alternative used is the IRR, which is also a very common return measure used by the private equity industry. Two important drawbacks of this approach should be mentioned here [Kaserer

13、and Diller(2004b)]. Firstly, it is</p><p>　　Secondly, institutional investors need information about the return distribution of private equity investments in order to feed their asset allocation models. By d

14、efinition, all these models start from the distribution of time weighted returns. Furthermore, an asset allocation approach makes the use of a value weighted return meaningless. Hence, the IRR provides only limited infor

15、mation to limited partners (LP) in private equity funds. Evidently, this is also true for the multiple, another retur</p><p>　　Now, the interesting question is whether there is any alternative to the IRR tha

16、t is not affected by these caveats. Well, the answer is yes, although this alternative return measure, which is called the public market equivalent (PME), comes at a price. Basically, under this approach the simplifying

17、assumption is made that the opportunity cost of a private equity investment is equal to the rate of return of a public market benchmark [Kaserer and Diller (2004b)]. Using this assumption, any cash fl</p><p>

18、;　　Finally, it should be noted that there is a second alternative to the IRR used in the literature, namely the excess-IRR approach. It is defined as the IRR of a single fund minus the return on a benchmark index over th

19、e fund’s lifetime. It is presumed that in this way the return of a fund is benchmarked against a public market investment. However, given that the IRR is not an appropriate return measure, any other measure based directl

20、y on the IRR must suffer from the same problems. We will see th</p><p>　　Evidence of the money chasing deals phenomenon</p><p>　　It has already been argued that the paradigm of frictionless and

21、perfectly competitive capital markets cannot be applied to the private equity market. Mainly this is due to three specific characteristics of this market: segmentation, stickiness, and illiquidity. Convincing evidence in

22、 this regard has already been presented by Gompers and Lerner (2000), who show that capital inflows into venture funds increase the valuations of venture deals. Although it is an open question whether increased valu</

23、p><p>　　Segmentation might be an especially important argument in this regard. Actually, private equity funds are not normally allowed to invest their committed capital in any other asset class. Often, they are

24、 even restrained from investing in segments within the private equity industry. Hence, even if the GPs would be aware of an overvaluation in the industry or in a specific part of the industry, it would be hard for them t

25、o redirect their money towards other investment projects. As a second problem,</p><p>　　Finally, illiquidity, i.e., the absence of a secondary market, aggravates the pressure on deal pricing. Because investo

26、rs already engaged in the private equity market cannot sell their investment stakes, additional money pouring into the industry must be absorbed in the primary markets in their entirety.</p><p>　　What is the

27、 impact of the GP’s skills?</p><p>　　From the specific characteristics of the private equity market it follows that skills of the management team could have a more significant impact on fund returns than is

28、the case for funds investing in public securities markets. In efficient public markets a great deal of information, public or private, is incorporated in asset prices. Hence, the ultimate outcome of an investment strateg

29、y should be almost the same, regardless of whether the investor undertakes informational activities or not. In</p><p>　　We would expect fund management skills to be much more important in private equity fund

30、s than in public mutual funds. knowledge about investment opportunities in the private equity industry may be distributed very unequally and, due to the lack of a secondary market for these assets, it may take a long tim

31、e until this information is disseminated. Now, if there is a systematic difference in knowledge about private equity investment opportunities among different management teams, we would expect t</p><p>　　Conc

32、lusion</p><p>　　In this article a comprehensive dataset of European private equity funds was analyzed. In the first step we analyzed the performance of a sample of mature funds. Instead of using the widespre

33、ad IRR as a performance measure, we introduced the PME-approach. As one would expect from theoretical considerations, we were able to show that benchmarking on an IRR-basis could lead to substantially distorted results.

34、Moreover, even a ranking of different funds on basis of the IRR could generate pitfalls. </p><p>　　The main focus of this article, however, was to give new insights into the determinants of funds’ returns. F

35、or that purpose we started from the presumption that the private equity asset class is characterized by illiquidity, stickiness, and segmentation. It has been argued in theoretical and empirical papers that these charact

36、eristics can cause an over- or undershooting of private equity asset prices, at least in the short-run. We document that funds closed in periods where overshooting is less </p><p>　　Apart from the importance

37、 of fund flows the article also shows that GPs’ skills have a significant impact on fund returns. More precisely, returns of subsequent funds run by the same management team are correlated. So, we present evidence in fav

38、or of the persistence phenomenon governing the returns of European private equity funds. From an investment perspective it is, however, rather difficult to base an investment strategy on this result. Although the result

39、is a justification of why track rec</p><p>　　Due to the specific characteristics of the private equity asset class — i.e., the illiquidity of the investment, the stickiness of fund flows, the restricted numb

40、er of target companies, and the segmentation from other asset classes — the market may be far from being frictionless and perfectly competitive, at least in the short-run. Overall, the lack of an organized secondary mark

41、et seems to be the crucial factor.</p><p><b>　　譯文</b></p><p>　　私募股權(quán)投資基金：收益特征、收益因素和投資者策略</p><p>　　資料來源：金融轉(zhuǎn)型[J]. 2006(5)，第5期，p107-117.</p><p>　　作者：克里斯多夫·

42、卡瑟勒爾，克里斯汀·第勒爾</p><p><b>　　引 言</b></p><p>　　本文以論述私募股權(quán)投資基金兩種重要的運(yùn)作業(yè)績(jī)表現(xiàn)為主題。首先,我們認(rèn)為,私募股權(quán)投資的運(yùn)作業(yè)績(jī)不應(yīng)用內(nèi)部收益率（IRR）來衡量，我們將提供市場(chǎng)等價(jià)指標(biāo)（PME）作為一種更有意義的業(yè)績(jī)衡量措施。在此基礎(chǔ)上我們提供歐洲成熟私募股權(quán)投資基金一些業(yè)績(jī)數(shù)據(jù)。其次,我們分析什么

43、因素會(huì)影響私募股權(quán)投資的。在我們的角度來看,這資產(chǎn)類別具有流動(dòng)性，粘性和市場(chǎng)細(xì)分性三個(gè)特點(diǎn)。因此,我們可以證明對(duì)所謂金錢追逐交易現(xiàn)象的解釋有很大一部份在私募股權(quán)投資基金的回報(bào)。除了資金流動(dòng)的重要性，我們也可以證明，管理團(tuán)隊(duì)的技能對(duì)基金的回報(bào)率產(chǎn)生重大影響。最后，我們討論了這些結(jié)果對(duì)私募股權(quán)投資戰(zhàn)略的影響。</p><p><b>　　數(shù)據(jù)集</b></p><p>　

44、　在過去的十年里私人股權(quán)已成為機(jī)構(gòu)投資者重要的資產(chǎn)類別。在未來的日子，有幾個(gè)原因的重要性將進(jìn)一步增加。由此可見，不斷變化的監(jiān)管環(huán)境將在這一過程中有實(shí)質(zhì)性影響。其實(shí)，國(guó)際會(huì)計(jì)準(zhǔn)則（國(guó)際財(cái)務(wù)報(bào)告準(zhǔn)則/國(guó)際會(huì)計(jì)準(zhǔn)則）在歐洲的廣泛實(shí)施可能會(huì)改變機(jī)構(gòu)投資者的傾向，其投資分配更多的此類資產(chǎn)。然而，另一方面，它可能是在銀行和保險(xiǎn)監(jiān)管不斷變化使得私募股權(quán)投資更加昂貴。無論監(jiān)管環(huán)境變化將是怎樣，任何投資組合的分配決定將會(huì)最終驅(qū)動(dòng)預(yù)期回報(bào)。因此，人們普遍需

45、要收集更多關(guān)于記錄私募股權(quán)投資的歷史業(yè)績(jī)表現(xiàn)的信息。</p><p>　　過去3年私募股權(quán)投資的表現(xiàn)相當(dāng)不錯(cuò)，除了小型基金外，大中型基金的回報(bào)率都超過了S&P500指數(shù)，長(zhǎng)期表現(xiàn)也很好，至少第一感覺是這樣的。芝加哥大學(xué)的斯蒂夫?卡普蘭和麻省理工學(xué)院的安托瓦內(nèi)特?斯科勒的一份研究顯示，自1980年到2001年一般的基金的名義回報(bào)率都跑贏了S&P500。</p><p>　　本

46、文的結(jié)果是根據(jù)歐洲創(chuàng)業(yè)投資及私募投資協(xié)會(huì)（EVCA）和湯姆森風(fēng)險(xiǎn)經(jīng)濟(jì)（TVE）提供了大量數(shù)據(jù)集。它包括1980年到2003年的777個(gè)私募股權(quán)投資基金。在這一點(diǎn)上，應(yīng)該指出的是一個(gè)無法計(jì)算的時(shí)間的私募基金無法觀察市場(chǎng)價(jià)格加權(quán)回報(bào)，這也是與公開市場(chǎng)基金一個(gè)很重要的區(qū)別。眾所周知，一個(gè)時(shí)間加權(quán)回報(bào)的選擇是價(jià)值加權(quán)回報(bào)的最突出的例子是內(nèi)部收益率，然而，我們都知道，內(nèi)部收益率只能用于一個(gè)完整的現(xiàn)金資金流向的歷史計(jì)算。對(duì)于在我們數(shù)據(jù)集的大部分資金

47、并非如此，因?yàn)樗麄冎写蠖鄶?shù)仍然只運(yùn)行到2003年，只有95只基金在這一年進(jìn)行清算?？v觀我們的研究結(jié)果，只能偏向于清算資金，從下面樣本2我們可以看見有代表性的表現(xiàn)。</p><p>　　私募股權(quán)投資運(yùn)作業(yè)績(jī)?cè)u(píng)價(jià)</p><p>　　我們首先提取了歐洲私募股權(quán)投資基金收益分配的樣本結(jié)果。我們已經(jīng)指出，對(duì)于一個(gè)非流動(dòng)性資產(chǎn)，即資產(chǎn)沒有一種可見的市場(chǎng)價(jià)格，時(shí)間加權(quán)回報(bào)無法計(jì)算。最常見的選擇是采用內(nèi)

48、部收益率，這在私募股權(quán)投資行業(yè)也是一個(gè)非常普遍的衡量措施。這種方法的兩個(gè)重要的缺點(diǎn)這里應(yīng)提及[卡瑟勒爾和第勒爾 (2004b)]。首先,眾所周知,從金融教科書得知，內(nèi)部收益率是不是衡量收益，而只在一個(gè)重要的提供資金利率機(jī)會(huì)成本最高的項(xiàng)目支持下分析。換句話說,如果內(nèi)部收益率等于15%，然后投資在該項(xiàng)目的投資價(jià)值，只要產(chǎn)生的資金成本不高于15%。由此可以得出，比較不同的投資項(xiàng)目上的回報(bào)率是沒有意義的。我們將在下面表明，這不僅是一個(gè)理論論證，

49、但當(dāng)我們比較現(xiàn)有私募股權(quán)投資基金內(nèi)部收益率可能會(huì)有陷阱。</p><p>　　其次，私募股權(quán)機(jī)構(gòu)投資者需要對(duì)以私募股權(quán)投資收益率分布信息來決定他們所選取的資產(chǎn)配置模型。根據(jù)定義，所有這些模型開始從時(shí)間加權(quán)收益分配。此外，資產(chǎn)分配方法使加權(quán)值沒有意義。因此，內(nèi)部回報(bào)率只提供私募股權(quán)投資中有限合伙人有限的信息。顯然，這是真正的乘數(shù)，另外也用于衡量產(chǎn)業(yè)收益。但有一個(gè)明顯的缺點(diǎn)，作為一個(gè)乘數(shù)卻沒有資本價(jià)值。</p&

50、gt;<p>　　現(xiàn)在,一個(gè)有趣的問題是，究竟能否來替代內(nèi)部收益率受到質(zhì)疑。當(dāng)然答案是肯定的，用所謂的公開市場(chǎng)等價(jià)指標(biāo)來代替是要付出代價(jià)的。基本上，在這種方法上提出簡(jiǎn)化假設(shè)，一個(gè)私募股權(quán)投資的機(jī)會(huì)成本等于公開市場(chǎng)的基準(zhǔn)回報(bào)率。[卡瑟勒爾和第勒爾(2004b)]. 使用這種假設(shè)，任何一個(gè)私募股權(quán)投資基金的現(xiàn)金流模式可以在任意時(shí)間被轉(zhuǎn)換，再投資的分布可以在基準(zhǔn)投資組合所需的任何時(shí)期。</p><p>　

51、　最后，應(yīng)該注意的是有第二選擇來使用文獻(xiàn)中的內(nèi)部收益率，即超額回報(bào)率（EXCESS-IRR）方法。它定義為某日的收益率減去投資者(或市場(chǎng)) 當(dāng)日要求的正常(預(yù)期)收益率。人們認(rèn)為以這種方式作為基金回報(bào)是對(duì)公開市場(chǎng)投資的基準(zhǔn)。然而，由于內(nèi)部收益率是不恰當(dāng)?shù)幕貓?bào)衡量方法，任何其他衡量措施基礎(chǔ)上直接的內(nèi)部收益率必定遭受同樣的問題。我們會(huì)發(fā)現(xiàn)，事實(shí)上，以超額收益率方式為基礎(chǔ)的基金排名與以市場(chǎng)等價(jià)指標(biāo)方式為基礎(chǔ)的基金排名相矛盾。<

52、/p><p>　　金錢追逐交易現(xiàn)象的證據(jù)</p><p>　　完全競(jìng)爭(zhēng)和沒有摩擦的資本市場(chǎng)模式已經(jīng)被認(rèn)為不能適用于私募股權(quán)投資市場(chǎng)。這主要是由于市場(chǎng)三個(gè)具體的特點(diǎn)：市場(chǎng)細(xì)性分、黏性和流動(dòng)性不足。高珀斯和勒納（2000）在這方面已經(jīng)提出了令人信服的證據(jù)，他們表明資本流入風(fēng)險(xiǎn)資金會(huì)增加風(fēng)險(xiǎn)交易的估值。雖然增加資本是否是否引發(fā)私募股權(quán)投資的估值或抑資金流量是否改變未來的投資機(jī)會(huì)和期望這還是一個(gè)有待解

53、決的問題。因此通過增加估價(jià)，高珀斯和勒納（2000）提出一些證據(jù)表明，更與之前假說相一致。他們基本上認(rèn)為，私募股權(quán)投資中有限數(shù)量的有利投資，即所謂的金錢追逐交易現(xiàn)象。</p><p>　　市場(chǎng)細(xì)分可能是在這方面尤其重要的論據(jù)。其實(shí)，私募股權(quán)基金一般都不會(huì)獲準(zhǔn)在任何其他投資資產(chǎn)類別的承諾資本。通常情況下，他們甚至抑制私募股權(quán)投資行業(yè)的投資領(lǐng)域。因此,即便普通合伙人會(huì)察覺過高估價(jià)本行業(yè)，他們也難以改變的是他們的資本轉(zhuǎn)

54、向其他投資方案。</p><p>　　至于第二個(gè)問題，良琪薇斯特和理查森（2003）指出，普通合伙人和有限合伙人的資本流動(dòng)往往趨向穩(wěn)定，也就是說，它需要較長(zhǎng)的時(shí)間來適應(yīng)在同行業(yè)中投入的資金，改變預(yù)期或估值。那些私募股權(quán)投資基金應(yīng)注意到,這些基金通常在收集資本時(shí)承諾籌款。然而承諾資本并不是立即存入該基金，通過依據(jù)市場(chǎng)條件來決定，可能動(dòng)用超過3至5年的時(shí)間。現(xiàn)在，如果投資者因?yàn)榻?jīng)濟(jì)前景改善而改變預(yù)期，資本的承諾也會(huì)增

55、加。然而,在耗盡投資前可能需要幾個(gè)月甚至幾年的時(shí)間。因此,這很可能使有吸引力的目標(biāo)公司造成時(shí)間資金供給模式與資本的需求不匹配。這種不匹配可能會(huì)加劇，因?yàn)槿藗兛梢院苋菀紫胂螅形Φ耐顿Y機(jī)會(huì)在短期固定。因此，如果市場(chǎng)不是完全靈活，投資者也沒有合理的遠(yuǎn)見，它可出現(xiàn)雄厚的資金供應(yīng)只能面對(duì)少數(shù)有前途的目標(biāo)公司的情況。在這種情況下,交易的競(jìng)爭(zhēng)可能是高的,導(dǎo)致價(jià)格上漲。另外, 雖然有前途的目標(biāo)公司數(shù)量很多，但它可能有資金供給短缺。在這種情況下交易

56、競(jìng)爭(zhēng)程度比較低，而且企業(yè)家提供價(jià)格很低的公司股份</p><p>　　最后,流動(dòng)性,即沒有二級(jí)市場(chǎng)加劇交易定價(jià)的壓力。因?yàn)橥顿Y者已經(jīng)不能在私募股權(quán)市場(chǎng)銷售他們的股權(quán)。更多的錢涌入必須從整體專注的主要市場(chǎng)。</p><p>　　普通合伙人能力的影響</p><p>　　從私募股權(quán)投資市場(chǎng)的特性，我們分析出，一個(gè)管理團(tuán)隊(duì)的技能對(duì)私募股權(quán)投資有很重要的影響。在有效率公共市

57、場(chǎng)上的大量信息，公開或私下的，都被納入資產(chǎn)價(jià)格。因此, 不管投資者是否進(jìn)行信息活動(dòng)，最終的投資策略應(yīng)是幾乎相同。事實(shí)上,沒有明確的證據(jù)顯示基金經(jīng)理的能力，比如選擇能力和擇時(shí)能力可能驅(qū)使基金業(yè)績(jī)的回報(bào)。</p><p>　　我們認(rèn)為私募股權(quán)投資基金的管理技巧比公共基金更加重要。關(guān)于在私募股權(quán)投資行業(yè)的投資機(jī)會(huì)的認(rèn)識(shí)可能分布很不均衡，并由于二級(jí)市場(chǎng)的缺乏，直到信息傳播前，這些資產(chǎn)可能需要很長(zhǎng)的時(shí)間得到推廣。如果在不同

58、的私募股權(quán)投資機(jī)會(huì)，管理團(tuán)隊(duì)的知識(shí)系統(tǒng)會(huì)有差異。我們預(yù)計(jì)優(yōu)質(zhì)的交易都集中在少數(shù)投資機(jī)構(gòu),即在技術(shù)精湛的投資組合管理團(tuán)隊(duì)中。這個(gè)理念的第一個(gè)后果是，交易的回報(bào)應(yīng)該比股票市場(chǎng)價(jià)格更加偏態(tài)分布。事實(shí)上，私募股權(quán)投資基金的收益率分布嚴(yán)重扭曲。最后，如果在特定時(shí)間點(diǎn)運(yùn)用有的技能有差異，很可能是因?yàn)樗鼈兊姆植际遣浑S時(shí)間無關(guān)。因此，我們可以預(yù)料，由相同管理隊(duì)伍運(yùn)行后續(xù)資金的回報(bào)是相關(guān)的。這就是私募股權(quán)投資基金的回報(bào)中所謂的持久性的現(xiàn)象。</p&

59、gt;<p><b>　　結(jié) 論</b></p><p>　　在這篇文章中，我們對(duì)歐洲私募股權(quán)投資基金的綜合數(shù)據(jù)集進(jìn)行了分析。第一步，我們分析了一個(gè)成熟的基金樣品的業(yè)績(jī)。而不是使用作為廣泛衡量業(yè)績(jī)的內(nèi)部收益率，我們介紹了市場(chǎng)等價(jià)指標(biāo)方法。正如人們所期望的，從理論的考慮，我們能夠表明，在內(nèi)部收益率，可能由于在一個(gè)基準(zhǔn)的基礎(chǔ)上導(dǎo)致大幅扭曲結(jié)果。此外，甚至對(duì)基于內(nèi)部收益率的不同基金

60、的排名可能會(huì)產(chǎn)生的陷阱。因此，有限合伙人不應(yīng)該基于內(nèi)部回報(bào)率的基礎(chǔ)上分析普通合伙人的情況表現(xiàn)，而應(yīng)該用市場(chǎng)等價(jià)指標(biāo)方法。</p><p>　　然而，本文的主要重點(diǎn)，是給私募股權(quán)基金的收益率的決定作出的新見解。出于這一目的，我們開始對(duì)私募股權(quán)類資產(chǎn)的流動(dòng)性不足，粘性和市場(chǎng)細(xì)分三個(gè)方面分析和推定。至少在短期看來，這種特征將導(dǎo)致對(duì)私募股權(quán)資產(chǎn)價(jià)格過度調(diào)整或調(diào)整不足，這一觀點(diǎn)已經(jīng)在理論和實(shí)證的論文中存在著爭(zhēng)論。我們記錄到

61、，在此期間，封閉式基金的漲幅比現(xiàn)在少，現(xiàn)在封閉式基金有著明顯更高的回報(bào)。因此, 在解釋私募股權(quán)投資的回報(bào)時(shí)，所謂的金錢追逐交易現(xiàn)象是一件重要的因素。從投資者的角度來看,這一結(jié)果有兩個(gè)意義。首先,私募股權(quán)投資者應(yīng)實(shí)行逆勢(shì)投資策略,在某種意義上說當(dāng)過度調(diào)整不發(fā)生時(shí)，他應(yīng)該投資。其次,把資金分散在不同的到期年份,以及不同的基金類型似乎是降暴露在金錢追逐交易的現(xiàn)象時(shí)非常重要的降低風(fēng)險(xiǎn)的手段。</p><p>　　從基金的

62、重要性，除了流動(dòng)性的文章也表明，普通合伙人的技能對(duì)基金的回報(bào)有重大影響。更確切地說，后續(xù)資金回報(bào)與相同管理團(tuán)隊(duì)的運(yùn)行息息相關(guān)。因此,本研究所提供的證據(jù)支持的歐洲私募股權(quán)基金收益管理現(xiàn)象。但是，從投資的角度來看它是，很難在此基礎(chǔ)上改變投資策略。結(jié)果認(rèn)為，一個(gè)團(tuán)隊(duì)的管理能力是其業(yè)績(jī)推斷的一個(gè)重要理由，而公開信息基本沒有什么幫助。所以，結(jié)果表明，一個(gè)管理團(tuán)隊(duì)的選擇是一個(gè)私募股權(quán)投資成功的關(guān)鍵因素</p><p>　　由