41中英文雙語(yǔ)外文文獻(xiàn)翻譯成品私募股權(quán)母基金的風(fēng)險(xiǎn)狀況

1、<p>　　外文標(biāo)題：The Risk Profile of Private Equity Fund-of-Funds</p><p>　　外文作者：Tom Weidig, PhD, Quantexperts, Esch-Alzette, Luxembourg, Andreas Kemmerer </p><p>　　文獻(xiàn)出處:《Social Science Electronic

2、 Publishing》 , 2004 , 7 (4) :935-944</p><p>　　英文1389單詞，6988字符，中文2278漢字。</p><p>　　此文檔是外文翻譯成品，無(wú)需調(diào)整復(fù)雜的格式哦！下載之后直接可用，方便快捷！只需二十多元。</p><p>　　The Risk Profile of Private Equity Fund-of-Fund

3、s</p><p>　　Tom Weidig, PhD, Quantexperts, Esch-Alzette, Luxembourg, Andreas Kemmerer </p><p><b>　　ABSTRACT</b></p><p>　　Private equity fund-of-funds (FoF) investments ar

4、e now contributing more than 10% of the capital to private equity, i.e. venture capital and buyout. However, their risk profile is not well understood due to the opaque and illiquid market, and the limited access to perf

5、ormance figures. FoFs need to understand their risk profile, if they are to convince potential investors of their lower risk. Research on direct and funds investment exists. Directs show significant variability of return

6、s with a si</p><p>　　data source, and the results of the simulations.</p><p>　　INTRODUCTION</p><p>　　A fund-of-funds (FoF) collects capital from investors to invest in about 20 or m

7、ore funds on their behalf. FoF investors are typically pension funds, banks, insurance companies, corporate investors, and other FoFs. The first private equity FoF was raised in 1978. FoFs have increased their share cons

8、iderably over the last years, and now provide around 10% of the capital of funds. In 2002, 67 FoF managers existed in the US, and 49 FoF managers in Europe. They manage about $130 billion. FoFs allow </p><p>

9、;　　A FoF, which has a portfolio of funds, should have a reduced risk in comparison to a single funds investment due to a non-perfect correlation between funds. A fund has about 20 direct investments in its portfolio, and

10、 a FoF, e.g. with 20 funds, has 400 direct investments. Thus, FoF investors should have clear diversification benefits through a second level of diversification, and can also consist of small and mediumsized investors.

11、The aim of this paper is to clarify the diversification benefit</p><p><b>　　FRAMEWORK</b></p><p>　　It is needed to construct historical FoFs, because performance data on historical F

12、oFs does not exist, and standard portfolio theory cannot be used for model FoFs using funds. Firstly, continuous transaction- based pricing does not exist for funds. Fluctuations of VC funds values do therefore not neces

13、sarily reflect any intrinsic variability of returns and hence an underlying risk. Secondly, returns of VC are not normally distributed, which violates a major assumption of standard portfolio theor</p><p>　　

14、To construct a historical fund, a hypothetical FoF is situated in a chosen year, and funds are assigned, in which it could have invested during its investment period, to its portfolio. Every fund is drawn only once. The

15、performance of the FoF is the average performance of the underlying funds. Ideally, all possible combinations of the portfolio of a FoF should be constructed. However, this is not feasible. For example, a FoF with only t

16、wo funds in its portfolio and with a dataset of 100 funds ha</p><p>　　A historical analysis of FoFs would imply that we keep the historical proportion of FoFs for each vintage year. In the past, the number o

17、f FoFs has significantly increased, and all historical funds would be considerably biased towards the past few years. Therefore, we will treat every vintage year equal, and assume a constant number of FoFs for each year.

18、</p><p>　　An important issue remains: Is the risk profile of a fund influenced by factors like stage, market, size, and vintage year? If this is the case, we need to distinguish between different FoF types.

19、For example, if the difference between the US sample and the European sample is statistically significant, we consider this in the construction of FoFs. Thus, US FoFs and European FoFs have to be treated differently. A s

20、tatistical analysis needs to be done on the data source to determine performance in</p><p>　　The performance of a fund is only a summarising snapshot of the many cashflows of the fund, and the timing and amo

21、unt of the cash flows is not reflected in this framework. Unfortunately, the VE database does not deliver any specific information on the cash flow.</p><p>　　REFERENCES</p><p>　　Bygrave, D., and

22、 Timmons, J. (1992). Venture Capital at the Crossroads. Boston: Harvard Business School Press.</p><p>　　Chen, P., Baierl, G., and Kaplan, P. (2002). Venture Capital and its Role in Strategic Asset Allocation

23、. The Journal of Portfolio Management, 28, No. 2, 83-89.</p><p>　　Gilson R., and Black, B.(Winter 1999). Does Venture Capital Require an Active Stock Market? Journal of Applied Corporate Finance, 36-48.</

24、p><p>　　Jeng L., and Wells P. (2000). The Determinants of Venture Capital Funding: Evidence across Countries. Journal of Corporate Finance, 6, 241-289.</p><p>　　Kaplan S., and Schoar, A. (2003). Pr

25、ivate Equity Performance: Returns, Persistence and Capital. NBER working paper, No. 9807. Terhaar, K., Staub, R. and Singer, B. (Spring 2003). Appropriate Policy Allocation for Alternative Investments. The Journal of Por

26、tfolio Management, 29, No. 3, 101-110.</p><p>　　私募股權(quán)母基金的風(fēng)險(xiǎn)狀況</p><p>　　Tom Weidig, PhD, Quantexperts, Esch-Alzette, Luxembourg, Andreas Kemmerer</p><p><b>　　摘要</b></p&

27、gt;<p>　　現(xiàn)如今，私募股權(quán)母基金（FoF）投資在私募股權(quán)資本（即風(fēng)險(xiǎn)投資和買(mǎi)斷）中占比超過(guò)10%。然而由于市場(chǎng)的不透明和流動(dòng)性不足，它們的風(fēng)險(xiǎn)狀況并不完全為人所了解，而且獲得的業(yè)績(jī)數(shù)據(jù)很有限。對(duì)于母基金，需要了解它們的風(fēng)險(xiǎn)狀況，以便說(shuō)服潛在投資者降低風(fēng)險(xiǎn)。本文對(duì)現(xiàn)存的直接投資和基金投資進(jìn)行了研究。直接投資顯示其回報(bào)率的重大變化，并且很可能出現(xiàn)全面虧損和極高利潤(rùn)回報(bào)?；鹜顿Y則風(fēng)險(xiǎn)較小，因?yàn)樗鼈兺顿Y了多達(dá)20個(gè)直接投

28、資。我們的研究表明由于多元化的投資策略從而進(jìn)一步顯著降低了母基金投資風(fēng)險(xiǎn)。為此，我們提出了一個(gè)框架，用基金績(jī)效數(shù)據(jù)構(gòu)建母基金風(fēng)險(xiǎn)概況。我們還討論了選擇的數(shù)據(jù)來(lái)源和模擬結(jié)果。</p><p><b>　　引言</b></p><p>　　母基金（FoF）是從投資者那里收集資金并代表他們投資約20個(gè)或更多的子基金。母基金投資者通常是養(yǎng)老基金、銀行、保險(xiǎn)公司、企業(yè)投資者以及

29、其他母基金。在1978年，出現(xiàn)了第一個(gè)私募股權(quán)母基金。在過(guò)去幾年里，母基金FoFs的份額大幅增加，現(xiàn)在提供了約10％的資金。 2002年，美國(guó)有67個(gè)FoF管理人員，歐洲有49個(gè)FoF管理人員。他們管理著約1300億美元。 FoFs允許投資者在全球范圍內(nèi)進(jìn)行自由投資和多元化投資。他們通常每年收取約0.5％的管理費(fèi)，并以5％至10％的比例參與利潤(rùn)分紅。FoF投資者的內(nèi)部節(jié)約的成本、FoF管理者的增值部分或這兩者全部補(bǔ)償?shù)馁M(fèi)用，往往被錯(cuò)誤地

30、看作是疊加的費(fèi)用。</p><p>　　由于基金之間沒(méi)有建立健全的相互關(guān)系，與單一基金投資相比，具有資金投資組合屬性的母基金應(yīng)該具有低的投資風(fēng)險(xiǎn)?；鹪谄渫顿Y組合中有大約20個(gè)直接投資，而FoF例如擁有20個(gè)子基金，有400個(gè)直接投資。因此，F(xiàn)oF投資者應(yīng)該通過(guò)第二層級(jí)的多元化投資獲得明確的多元化收益，它也可以由中小型投資者組成。本文的目的是要說(shuō)明多元化投資的好處。很難找到以往關(guān)于FoFs的數(shù)據(jù)。因此，需要對(duì)以往

31、的FoF進(jìn)行建模。以往的FoF是按照時(shí)間序列從VE數(shù)據(jù)庫(kù)中隨機(jī)選擇的基金組合來(lái)構(gòu)建的。通過(guò)創(chuàng)建了五萬(wàn)個(gè)這樣的投資組合，獲得了FoF的歷史分布。例如，要?jiǎng)?chuàng)建一套兩年期的投資兩個(gè)基金的歷史FoF，兩個(gè)基金會(huì)連續(xù)兩??年從歷史基金中隨機(jī)選擇兩個(gè)基金。這兩年都是樣本組合中的樣本，每年的數(shù)據(jù)都是同樣重要。我們的數(shù)據(jù)來(lái)源是Venture Economics數(shù)據(jù)庫(kù)，其中282（195）個(gè)來(lái)自歐洲和745（401）個(gè)來(lái)自美國(guó)風(fēng)險(xiǎn)投資基金（收購(gòu)基金）。結(jié)

32、果顯示，與單一基金相比， FoF投資的優(yōu)勢(shì)明顯。因此，與直接投資相比，F(xiàn)oF具有較高的回報(bào)率和較低的投資回報(bào)分派。相比于受投資時(shí)間的影響，投資的多元化受投資數(shù)量的影響更大。與個(gè)別基金相</p><p><b>　　架構(gòu)</b></p><p>　　由于以往的FoFs相關(guān)數(shù)據(jù)不存在而且標(biāo)準(zhǔn)投資組合理論不能適用于基金的FoFs模型，因此需要對(duì)以往的FoFs數(shù)據(jù)進(jìn)行構(gòu)建。首

33、先，基金中不存在持續(xù)的基于交易的定價(jià)。因此，VC基金價(jià)值的波動(dòng)不一定能反映出任何回報(bào)的內(nèi)在變化，因此也不會(huì)反映潛在風(fēng)險(xiǎn)。其次，風(fēng)險(xiǎn)投資的回報(bào)不是正態(tài)分布的，這違背了標(biāo)準(zhǔn)投資組合理論的主要假設(shè)。最后，還沒(méi)有得到相關(guān)可用的可靠數(shù)據(jù)，特別是在資金水平方面。由于金融理論的標(biāo)準(zhǔn)概念并不適用于風(fēng)險(xiǎn)投資組合的構(gòu)建，因此必須應(yīng)用其他技術(shù)來(lái)分析此類(lèi)資產(chǎn)的風(fēng)險(xiǎn)狀況。 出于這個(gè)原因，蒙特卡羅模擬被用來(lái)計(jì)算FoF的績(jī)效表現(xiàn)。</p><p&

34、gt;　　為了構(gòu)建一個(gè)以往基金的框架，假設(shè)FoF在選定的某一年，并且在其投資期內(nèi)可以投入資金到其投資組合中去。每個(gè)基金只抽出一次。 FoF的績(jī)效表現(xiàn)是相關(guān)基金的平均表現(xiàn)。在理想情況下，要構(gòu)建FoF投資組合中所有可能的組合。但是，這是不可行的。例如，在資料庫(kù)中有100只基金，而在投資組合中只有兩只基金（即100 * 99 * 98 ...）的組合，遠(yuǎn)高于一百萬(wàn)。因此，使用簡(jiǎn)單的蒙特卡洛模擬，其得到的結(jié)果是源自隨機(jī)選擇的年份以及一年內(nèi)的資金

35、。隨機(jī)構(gòu)建的投資組合越多，總體上樣本就越接近所有可能的基金組合。用50,000個(gè)以往的FoFs進(jìn)行的模擬幾乎可以很好地描述所有組合的總體情況。在五年投資期內(nèi)，F(xiàn)oF可以模擬多達(dá)50個(gè)基金投資。所構(gòu)建的FoF的績(jī)效樣本包含風(fēng)險(xiǎn)所需的任何信息，例如，平均績(jī)效表現(xiàn)和標(biāo)準(zhǔn)差。此外，它還記錄了資金流失的可能性和資本損失情況下的平均損失。</p><p>　　對(duì)FoF的歷史分析意味著我們要記錄每個(gè)年份FoF所占的比例。 在過(guò)

36、去，F(xiàn)oF的數(shù)量已經(jīng)顯著增加，所有的歷史資金數(shù)量在過(guò)去幾年都會(huì)有相當(dāng)大的偏差。 因此，我們均衡地看待每一年份的數(shù)量并假設(shè)每年的FoF數(shù)量不變。</p><p>　　但仍然存在一個(gè)重要問(wèn)題是基金的風(fēng)險(xiǎn)狀況是否受到投資時(shí)段、市場(chǎng)、規(guī)模和年份等因素的影響呢？ 如果是這種情況，我們需要去區(qū)分不同的FoF類(lèi)型。 例如，如果美國(guó)樣本與歐洲樣本之間的差異在統(tǒng)計(jì)上顯著，那我們?cè)跇?gòu)建FoF時(shí)要考慮到這一點(diǎn)。 因此，美國(guó)的FoF和歐

37、洲的FoF必須以不同的方式去處理。 需要對(duì)數(shù)據(jù)源進(jìn)行統(tǒng)計(jì)分析以確定績(jī)效表現(xiàn)的影響因素。 其績(jī)效表現(xiàn)和投資年份之間的聯(lián)系更加難以建立起來(lái)。 由于要強(qiáng)調(diào)對(duì)以往資金選擇的可行性，其投資年份會(huì)在自動(dòng)考慮范圍在內(nèi)。 如果發(fā)現(xiàn)年份與績(jī)效之間沒(méi)有相關(guān)性，則可以放寬這一限制并隨機(jī)選擇所有年份的資金。</p><p>　　基金的績(jī)效表現(xiàn)只是對(duì)眾多基金現(xiàn)金流的總結(jié)，現(xiàn)金流的時(shí)間和金額并未反映在此框架中。 很遺憾的是VE數(shù)據(jù)庫(kù)沒(méi)有提供

38、關(guān)于現(xiàn)金流的任何具體信息。</p><p>　　REFERENCES</p><p>　　Bygrave, D., and Timmons, J. (1992). Venture Capital at the Crossroads. Boston: Harvard Business School Press.</p><p>　　Chen, P., Baierl,

39、G., and Kaplan, P. (2002). Venture Capital and its Role in Strategic Asset Allocation. The Journal of Portfolio Management, 28, No. 2, 83-89.</p><p>　　Gilson R., and Black, B.(Winter 1999). Does Venture Capi

40、tal Require an Active Stock Market? Journal of Applied Corporate Finance, 36-48.</p><p>　　Jeng L., and Wells P. (2000). The Determinants of Venture Capital Funding: Evidence across Countries. Journal of Corp

41、orate Finance, 6, 241-289.</p><p>　　Kaplan S., and Schoar, A. (2003). Private Equity Performance: Returns, Persistence and Capital. NBER working paper, No. 9807. Terhaar, K., Staub, R. and Singer, B. (Spring