随着他们对私人市场投资的胃口可能比以往更大，机构投资者面临风险建模挑战，这是非常复杂的，但仍然是有效的资产分配至关重要。亚博赞助欧冠
Of the many considerable variables in modeling risk for a private market portfolio, liquidity considerations are generally near the top of the list of challenges. “If you’re accustomed to investing exclusively in traditional markets, private market investments will likely have an impact on your liquidity profile,” says Neil Blundell, Global Head of Client Solutions at Invesco. “You may be going into vehicles that are open-ended but with less frequent redemption periods. Or maybe the investment vehicle is a closed-end vintage structure, and you’re unable to recoup the capital you’ve invested until the investment objective is achieved. Even in the case of open-ended funds with relatively frequent redemption periods, though, investors still need to evaluate their liquidity needs and other considerations around investments in private, less liquid assets.”
Public proxies for private markets
An integral part of the modeling process at Invesco involves Blundell and his colleagues on the Invesco Global Solutions team breaking down private market asset classes into underlying factor exposures, which often includes establishing appropriate public proxies for those exposures so that individual components and the risks they each bring to the portfolio can be understood.
“In modeling private equity, for example, we’ll relate back to public equities,” says Blundell. “While public proxies will not fully reflect the behavior of private assets, if you think about the composition of private equity exposures, public proxies allow for a really market-focused map of the broad drivers of risk and return. Using that as a foundation, we’ll incorporate additional elements – a liquidity premium, for example, or the use and cost of leverage. Are you going small, mid, large, or are you going to focus on specific regions versus looking more globally? Incorporating all these pieces and some added modeling considerations around different strategies help us to capture the impact of private asset classes in the portfolio.”
Sticking with the private equity example, in a US large cap buyout, the proxy might start to take shape with the MSCI USA Index. An early stage venture might use small cap, healthcare, IT, or telecom as the starting point for its proxy, depending on the industry focus. At the mezzanine level, the proxy could start from a high yield index in US dollars or euros, and build from there.
一旦建立了潜在风险暴露的综合观点，可以考虑资产类别本身的预测风险。“私人市场将在许多情况下为您提供独特的曝光，但其中一些组件仍将与投资组合中的其他投资相关联。了解这些相关性通过因子镜头提供了更清晰的多样化潜力，即私人资产类别可以在投资组合中提供，以及这些曝光可能仍然与传统市场相关的地方，“Blundell说。
邀请潜在私人市场投资的大部分代理建模工作涉及提供综合风险观点的情景。“我们试图帮助投资者看到易于理解的方式，”邀请全球解决方案研究负责人Nicholas Savoulides说。“例如，如果标准普尔有10％的缩减，不同的私人市场资产类别会发生什么，即使它们不是公开市场绘制的一部分？或者，如果房价下降在特定国家/地区，私人市场的各个部分会发生什么？“
解决投资者的具体内部挑战
投资者了解他们面临的许多内部障碍，他们正在分配给私人市场。了解风险及其代理，并汇总总体因子风险是建模的起点，但是当Imvesco的解决方案团队从客户的从业者视图中考虑挑战时，就会揭示更多。
Insurance companies, for example, have relied on fixed income portfolios as the bread and butter of their asset and liability matching for a long time, and it has worked for them. But the CIO at an insurer would have to view any private market investments through a solvency lens in order to meet solvency capital requirements and avoid stringent capital charges.
“We can help clients not only navigate what’s an optimal return, but also what an optimal return is in the context of internal challenges, regulatory issues, board issues, and, in the case of insurers as an example, for solvency and capital ratio challenges,” says Blundell. “In some cases, it comes down to whether you can buy a fund or if it needs to be a managed account, because you’ll get different capital charges against each of those. With our analytics platform we can see what an efficient frontier looks like based on your existing portfolio, and we have the flexibility in our program to re-optimize for Solvency II. Having that flexibility and infusing our practitioner views, especially where we understand the nuances of something like insurance regulation, helps guide clients through some of the investment challenges they face.”
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All content provided by Invesco is for informational purposes only and is not an offer to buy or sell any financial instruments.
The opinions expressed are those of the authors, are based on current market conditions and are subject to change without notice. These opinions may differ from those of other Invesco investment professionals
邀请Advisers Inc. is an investment adviser; it provides investment advisory services to individual and institutional clients and does not sell securities.
Asset allocation, diversification and low or negative correlation do not guarantee a profit or eliminate the risk of loss.
Factor investing is an investment strategy in which securities are chosen based on certain characteristics and attributes.
Solvency II is the regulatory directive for insurance organizations within the European Union.
Alternative products typically hold non-traditional investments and may employ complex trading strategies. Investors considering alternatives should be aware of their unique characteristics and additional risks from the strategies they use.