Can Steve Schwarzman Be Replicated?

私募股权长期以来一直被认为是最终积极管理的投资策略：公司购买表现不佳的私营公司，折扣，借钱，修复它们，以更高的价格出售。

But DSC Quantitative Group and other quant asset managers are increasingly replicating the performance of the entire private equity market, giving investors access to the “beta” of the asset class for a fraction of the fees charged by private equity firms. The rise of passive investments in private equity is highlighting the exorbitant fees charged by private equity firms as well as the cons of holding illiquid and opaque portfolios, and the costs associated with inefficient practices like committing capital over time.

DSC, founded in 2012, partnered with Refinitiv to create private equity and venture capital benchmarks that track the gross performance of each industry, as well as investable indices that can be used to create a portfolio. Refinitiv, formerly Thomson Reuters, has 20 years of data, including deal-level information, on private equity and VC companies. The PE Buyout Benchmark Index has 3,500 companies with a total market capitalization of $3 trillion. The VC benchmark has 7,000 companies.

怀疑论者可能会争辩说，所有积极的工作都是私募股权公司的企业，从创造一个招聘和射击管理的战略，不能被量级复制。但自2013年指数推出以来，该战略表现优于剑桥员工的私募股权指数，追踪私募股权公司的自我报告的回报。DSC计算refinitiv的数据，计算在1997年1月至2019年3月，其PE基准每年返回16.59％。从1996年到2018年第三季度，其PE买断指数每年返还17.03％。这与剑桥私募股权指数在同一时间段内比较了13.6％。根据DSC的说法，两种指数之间的差异反映了剑桥索引中的私募股权费用。

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“All the magic that the managers are doing at the portfolio companies is incorporated into the benchmark index,” said Jeffrey Knupp, president of DSC. “People ask me, ‘Does this mean that you’re not a believer in the value creation of private equity managers because you can replicate it?’ My answer is ‘No.’ Our process captures the creation of value in these companies. It’s embedded in there. We’re not at odds with what the industry is doing. We think there is a huge amount of value in private equity.”

但是，他补充说，这是昂贵的。“我们希望解决私募股权和风险投资的许多问题，”KNUPP说。“对于一个人，我们可以压缩私募股权收取的历史上的高费用，仍然保留返回流？是的，我们可以将费用减少70％至80％，因此这些费用向投资者而不是经理。“

Passively tracking the public stock markets has exploded in popularity, in part because it’s difficult to identify top-performing active managers. In the private equity world, that task is even more monumental.

“在私人股本的世界, this undertaking is even more consequential than with public equities due to the larger dispersion of manager returns,” a recent paper from DSC contended. The wide range of results among managers means that an allocation to private equity will only yield the higher returns of the asset class if investors choose the right manager. Even when investors identify a winning manager, DSC argued that outperformance does not persist over time.

“There’s a wide spectrum of distribution of returns in private equity and venture,” said Art Bushonville, DSC’s founder and CEO. “It’s critical to pick the right manager. In the past, people would look for managers whose last fund was in the top quartile of performance. But persistence has been declining. Now it’s almost random. You can’t look to a previous fund for clues.”

According to J.P. Morgan Asset Management, private equity managers’ returns ranged from a low of 0.7 percent to 21.5 percent annually between 2013 and 2018. In comparison, global equities managers’ annual returns were between 7.7 percent and 10.8 percent during the same period.

In its paper, DSC cited McKinsey data showing the consistency of private equity returns decreasing over the last 20 years. Between 1995 and 1999, 33 percent of private equity funds were in the same quartile as their predecessor fund. Between 2010 and 2013, that fell to 22 percent.

DSC是针对想要保持私募股权的一致分配的投资者，并避免随着时间的推移与承诺资本相关的问题，或者为较小投资者提供资金基金的替代方案。跟踪整个行业的被动产品组合也有助于多元化。“大多数体育投资者在葡萄酒中多样化，他们确保每个复古有很多经理，”Knupp说。“但这是很多工作，你必须是一个非常大的球员做得很好。”

But unlike traditional private equity, which is valued quarterly, DSC’s solution is public and liquid. Everyone can see the volatility. One institutional investor said the volatility would need to be explained to the board and “what-if” scenarios would need to be updated.

“An Achilles heels is that people say PE doesn’t have any volatility, that it’s a magical asset class that never goes down,” Knupp said. “Just because you can’t see the price change tick by tick doesn’t mean there isn’t volatility in the value of a company. That view is changing, but it’s still a factor.”