Financial Analysts Journal·VOL72,NO.4·July/August 2016.

对并购基金市场经风险调整业绩评估的一个自上而下的方法

作者：Jean-Fran?ois L’Her (Abu Dhabi Investment Authority, United Arab Emirates), Rossitsa Stoyanova (Canada Pension Plan Investment Board, Toronto), Kathryn Shaw (Canada Pension Plan Investment Board, Toronto), William Scott (Canada Pension Plan Investment Board, Toronto), Charissa Lai (Canada Pension Plan Investment Board, Toronto)

摘要：我们使用Burgiss数据库研究私募股权并购基金表现。我们发现风险调整前的业绩与已有文献中的结果一致，即并购基金投资表现优异。通过使用自下而上的方法，我们识别出了标的公司在并购基金中的系统风险，以表明适当的风险调整基准，我们认为这是基准大小和部门调整后的公共指数。在进行这些风险调整后，我们发现在以美元为基础的情况下并购基金投资的表现与公开市场相当。我们认为，即使没有重大的风险调整表现，收购资金也可以在机构投资者的投资组合中发挥重要作用。

A Bottom-Up Approach to the Risk-Adjusted Performance of the Buyout Fund Market

Jean-Fran?ois L’Her (Abu Dhabi Investment Authority, United Arab Emirates), Rossitsa Stoyanova (Canada Pension Plan Investment Board, Toronto), Kathryn Shaw (Canada Pension Plan Investment Board, Toronto), William Scott (Canada Pension Plan Investment Board, Toronto), Charissa Lai (Canada Pension Plan Investment Board, Toronto)

ABSTRACT

We use the Burgiss dataset to study private equity buyout fund performance. Our findings on performance before risk adjustments are consistent with those in the literature and indicate significant outperformance of buyout fund investments. Using a bottom-up approach, we identify the systematic risks of underlying companies in buyout funds to inform an appropriate risk-adjusted benchmark, which we determine to be a levered size- and sector-adjusted public index. After making these risk adjustments, we find no significant outperformance of buyout fund investments versus the public market equivalent on a dollar-weighted basis. We contend that even without significant risk-adjusted outperformance, buyout funds can play a valuable role in institutional investors’ portfolios.

原文链接： https://doi.org/10.2469/faj.v72.n4.1

翻译：赵胜旺