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asset allocation for alternative investments - …（另类投资资产配置u2014u2014u2026）.pdf

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asset allocation for alternative investments - …（另类投资资产配置u2014u2014u2026）

Asset Allocation for Alternative Investments QWAFAFEW Renato Staub, May 16, 2003 Alternative Investments: Questions ♦How do we approach alternatives in our investment framework? ♦What is a recommended allocation to alternative investments? ♦What is the composition of the alternative investments “portfolio”? The Plan ♦Defining alternative investments — Assets vs. strategies ♦Historical perspective on risk and return ♦Forward-looking risk and return characteristics — Consistency with traditional asset classes — Systematic compensation and illiquidity ♦Constructing a policy portfolio — Optimization vs. simulation Alternative Assets: Definition Suitability criteria ♦Analytical — Estimatable intrinsic value — Adequate marketability and liquidity — Meaningful impact — Manageable estimation risk ♦Adequate control and regulation ♦Legal ♦Talent availability ♦Identifiable passive risk and return characteristics – passive market Alternative Assets: Distinction ♦Uniqueness Criteria — Analytical similarity — Similar investment structure — Similar passive risk and return characteristics - passive market ♦Based on these suitability and uniqueness criteria, alternative assets include the private markets, natural resources and real estate asset classes as well as the subclasses shown in the following table: Private Markets Natural Resources Real Estate Early stage venture capital Timberland Apartments Late stage venture capital Farmland Industrial Leveraged buy-outs Oil gas Office Mezzanine Retail Distressed debt Alternative Strategies ♦Distressed ♦Long/Short ♦Event-Driven ♦Risk-Arbitrage ♦Fund of F