视频经济学金融市场 09 客座演讲 Guest Lecture by David.docx

视频经济学金融市场 09 客座演讲 Guest Lecture by David.docx

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视频经济学金融市场09客座演讲GuestLecturebyDavid

Lecture9-GuestLecturebyDavidSwensen

Overview:

DavidSwensen,Yale'sChiefInvestmentOfficerandmanageroftheUniversity'sendowment,discussesthetacticsandtoolsthatYaleandotherendowmentsusetocreatelong-term,positiveinvestmentreturns.Heemphasizestheimportanceofassetallocationanddiversificationandthelimitedeffectsofmarkettimingandsecurityselection.Also,theextraordinaryreturnsofhedgefunds,oneofthemorerecentphenomenaofportfoliomanagement,shouldbelookedatclosely,withaneyeforsurvivorshipandback-fillbiases.

Readingassignment:

Fabrikant,Geraldine."Yale'sEndowmentGrows28%,Topping$22Billion."NewYorkTimes,September27,2007.

FinancialMarkets:

Lecture9Transcript

February13,2008

ProfessorDavidSwensen:

LetmestartoutbyputtingwhatIthinkisarelativelycontroversialpropositiononthetableandthat'sthatthisinvestmentmanagementbusiness,whenstrippeddowntoitsbareessentials,isreallyquitesimple.Now,whydoIsaythat?

Well,Ithinkifwetookthegroupheretodayanddividedyouupintosmallergroupsoffour,orfive,orsixandaskedyoutotalkaboutwhat'sreallyimportantinmanagingaportfoliothathasaverylongtimehorizon,Ithinkthatalmostallthegroupswouldcometoverysimilarconclusions.Ifyou'reinvestingwithalongtimehorizon,havinganequitybiasmakessense;stocksgoupinthelongrun.BobShiller'sfriend,JeremySiegel,wroteabookthathastheverysimpletitle,StocksForTheLongRun.Well,thebookisassigned;youallknowit.

TheotherthingthatIthinkwouldcomeoutofthediscussionsisthatdiversificationisimportant.Anybodywhosereadabasicfinancetext,asamatteroffact,Ithinkanybodywhothinksaboutinvestmentsinacommonsensefashionknowsthatdiversificationisanimportantfundamentaltenetofportfoliomanagement.Asamatteroffact,HarryMarkowitzcalleddiversificationa"freelunch."Wespendallourtimeinintro.econ.figuringoutthereisnosuchthingasafreelunchbutMarkowitztellsusthatdiversificationisafreelunch.Foranygivenlevelofreturn,youcanreduce--Foranygivenlevelofrisk,youcanincreasethereturn;soundsprettygood.That'sprettysimple,right?

Twotenets,anequitybiasforportfolioswithalongtimehorizonanddiversification.

BobmentionedinhisintroductionthatIshowedupatYalein1985,afterhavingspentsixyearsonWallStreet,andIwastotallyunencumberedbyanyportfoliomanagementexperience.Ithoughtthatwasprettyneat.HereIwas,backatYale,withabilliondollarportfolio--itseemedlikealotofmoneyatthetime--noportfoliomanagementexperience.WhatdoIdo?

Well,oneofthethingsIthinkisasensiblethingtodoinlifeislookaroundatwhatothersaredoing,soIlookedatwhatcollegesanduniversitieshaddoneintermsofassetallocation.Turnsoutthat50%ofendowmentassetsinthemid-1980swereinvestedincommonstocks,40%ofendowmentassetswereinU.S.bondsandU.S.cash,and10%inasmatteringofalternatives.Well,IlookedatthatandIthought,thisdoesn'treallymakealotofsense.Youhavehalfofyourassetsinonesingleassetclass:

U.S.commonstocks.You'vegotanother40%ofyourassetsinU.S.bondsandcash.So90%ofyourportfolioisindomesticmarketablesecuritiesandonly10%isinvestedinthingslikerealestateorventurecapitalorprivateequity--hardlyenoughtomakeadifferenceintermsoftheportfoliosreturns.Unencumberedby,Iguess,theconventionalwisdom,westartedoutatYaleonapaththatIthinkis--fundamentallythatchangedthewaythatinstitutionsmanageportfolios.

Afewyearsago,IwroteabookcalledPioneeringPortfolioManagement.ThereasonyoucouldputanaudacioustitlelikePioneeringPortfolioManagementonthecoverofthebookwasthatwemovedawayfromthistraditionalmodelwith50%instocksand40%inbondsandcashtosomethingthatwasmuchmoreequity-orientedandmuchmorediversified.WhatI'dliketodotodayistalktoyouabouthowitisthatwemovedfromthisoldmodeltowhatitisthattodaymanyinstitutionscalltheYalemodel.ThewaythatIwouldliketotalkaboutthisjourneythatwetookisbylookingatthetoolsthatwehaveavailabletousasinvestors--thesetoolsarethesametoolsthatwehavewhetherwe'reoperatingasindividualinvestorsorinstitutionalinvestors--anddescribehowweemploythosetoolsatYaleandhowtheyledustotheportfoliothatwehavetoday.Thosethreetoolsareassetallocation,markettiming,andsecurityselection.

Thefirst,assetallocation,basicallydealswithwhichassetsyouhaveinyourportfolioandinwhichproportionyouholdeachofthoseassets.Thesecond,markettiming,dealswithshort-termdeviationsfromthelong-termassetallocationsthatyouestablish.Andthethird,securitiesselection,speakstohowitisyoumanageeachofyourindividualassetclasses.Areyougoingtoholdthemarketportfolio,indexyourassets,matchthemarketsresults?

Orareyougoingtomanageeachindividualassetclassactively,tryingtobeatthemarketandgeneraterisk-adjustedexcessreturns?

Let'sstartoutwiththefirst:

assetallocation.Ithinkit'sprettywidelyknownthatassetallocationisfarandawaythemostimportanttoolthatwehaveavailabletousasinvestors.Asamatteroffact,it'ssowidelybelievedthatassetallocationisthemostimportanttoolthatIthinksomepeoplehavecometotheconclusionthatit'ssomesortoflawoffinancethatassetallocationisthemostimportanttool.Itturnsoutthatit'snotafinanciallawthatassetallocationtakescenterstage;itreallyismoreadescriptionofhowitisthatwebehave.

Yaleactuallyhasalotmorethanthebilliondollarsthatwestartedwithin1985.IthinktheestimatesheetthatIgotyesterdaymorningsaidthatwe'vegotabout$22.5billiondollars;sothat'sbeenanicerun.IfIwentbacktomyofficeafterspeakingwithyouthismorningandtookYale's$22.5billiondollarsandputallofitintoGooglestock,assetallocationwouldhaveverylittletosayaboutwhatYale'sreturnswouldbe.Asamatteroffact,securityselectionwouldabsolutelydominatetheresults.TheidiosyncraticbehaviorofGooglestockfromthetimethatwepurchaseittothetimethatwesellitwoulddefineYale'sreturns.Alternatively,ifIwentbacktotheofficeandtookYale's$22.5billiondollarsanddecidedthatIwasgoingtodaytradebondfutures,securityselectionwouldn'thaveanythingtosayaboutthereturns;assetallocationwouldn'thaveanythingtosayaboutthereturns.Thereturnswouldbeattributablesolelytomyabilitytomarkettimethebondfuturesmarket.

Now,I'mnotgoingtodoeitheroneofthosethings.I'mnotgoingtoputYale'sentireportfolioinGooglestock,I'mnotgoingtogobackandtakeYale'sentireportfoliotoday-tradebondfutures;inpart,becauseitwouldbebadformepersonally.IthinkIwouldbefiredassoonaspeoplefoundoutwhatitwasthatIwasdoingwiththeportfolioand,overwhelminglymoreimportant,itwouldbebadfortheUniversity.It'snotarationalthingtodo.WhatwillhappenisthatYalewillcontinuetoholdarelativelywell-diversifiedportfolioasdefinedbytherangeofassetclassesinwhichitinvests.Whenyoulookateachofthoseindividualassetclasses--domesticequities,foreignequities,bonds,realassets,absolutereturnandprivateequity--eachofthoseindividualassetclassesisgoingtoberelativelywell-diversifiedintermsofexposurestoindividualpositionsorindividualsecurities.Becausethat'strue,thenassetallocationendsupbeingtheoverwhelminglyimportantdeterminantoftheUniversity'sresults.Becauseweholdrelativelystable,relativelywell-diversifiedportfolios,securityselectionturnsoutnottobeanimportantdeterminantofreturnsformostinvestorsandmarkettimingturnsoutnottobeanimportantdeterminantofreturns.Thelastmanstandingisassetallocationandthattendstodrivebothinstitutionalreturnsandindividualreturns.

RogerIbbotson,whoisacolleagueofBobShiller'sandmineattheSchoolofManagement,hasdoneafairamountofwork,studyingtherelativeimportanceofthesesourcesofreturns.He'scometotheconclusionthatover90%ofthevariabilityofreturnsininstitutionalportfoliosisattributabletoassetallocationandthat'sthenumberthatIthinkmostpeoplehearcitedwhentheyarelookingatRogerIbbotson'swork.Ithinkoneofthemoreinterestingandevensimplerconceptsthatcomesoutofhisstudyisthatmorethan100%ofreturnsaredefinedbyassetallocation.Now,howcanthatbetrue?

Howcanassetallocationberesponsibleformorethan100%ofinvestmentreturns?

Well,itcanonlybetrueifsecurityselectionandmarkettimingdetractfrominstitutionalreturnsorindividualreturnsintheaggregate.Ofcourse,ifthinkaboutit,asacommunity,theinvestmentcommunityisgoingtolosefromsecurityselectiondecisions.

Ifsecurityselectionisazero-sumgame,theamountbywhichthewinnerwinsequalstheamountbywhichtheloserloses--winnersandlosersbeingdefinedbyperformanceafterasecurityselectionthathasbeenmade--well,thatsoundslikeazero-sumgame.Butthen,ifyoutakeintoaccountthatyoucreatemarketimpactwhenyoutrade,thatyoupaycommissionswhenyoutradeandyoufrequentlypayadvisorssubstantialamountsofmoney--whetherthey'remutualfundmanagersorinstitutionalfundmanagers--there'sthisleakagefromthesystemthatcausestheactiveresultsforthecommunityasawholetobenegative.Absolutelythesamethingistrueonthemarkettimin