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

1、视频经济学金融市场 09 客座演讲 Guest Lecture by DavidLecture 9 - Guest Lecture by David Swensen Overview:David Swensen, Yales Chief Investment Officer and manager of the Universitys endowment, discusses the tactics and tools that Yale and other endowments use to create long-term, positive investment returns. He

2、emphasizes the importance of asset allocation and diversification and the limited effects of market timing and security selection. Also, the extraordinary returns of hedge funds, one of the more recent phenomena of portfolio management, should be looked at closely, with an eye for survivorship and b

3、ack-fill biases.Reading assignment:Fabrikant, Geraldine. Yales Endowment Grows 28%, Topping $22 Billion. New York Times, September 27, 2007.Financial Markets: Lecture 9 Transcript February 13, 2008 Professor David Swensen: Let me start out by putting what I think is a relatively controversial propos

4、ition on the table and thats that this investment management business, when stripped down to its bare essentials, is really quite simple. Now, why do I say that? Well, I think if we took the group here today and divided you up into smaller groups of four, or five, or six and asked you to talk about

5、whats really important in managing a portfolio that has a very long time horizon, I think that almost all the groups would come to very similar conclusions. If youre investing with a long time horizon, having an equity bias makes sense; stocks go up in the long run. Bob Shillers friend, Jeremy Siege

6、l, wrote a book that has the very simple title, Stocks For The Long Run. Well, the book is assigned; you all know it. The other thing that I think would come out of the discussions is that diversification is important. Anybody whose read a basic finance text, as a matter of fact, I think anybody who

7、 thinks about investments in a common sense fashion knows that diversification is an important fundamental tenet of portfolio management. As a matter of fact, Harry Markowitz called diversification a free lunch. We spend all our time in intro. econ. figuring out there is no such thing as a free lunc

8、h but Markowitz tells us that diversification is a free lunch. For any given level of return, you can reduce-For any given level of risk, you can increase the return; sounds pretty good. Thats pretty simple, right? Two tenets, an equity bias for portfolios with a long time horizon and diversificatio

9、n. Bob mentioned in his introduction that I showed up at Yale in 1985, after having spent six years on Wall Street, and I was totally unencumbered by any portfolio management experience. I thought that was pretty neat. Here I was, back at Yale, with a billion dollar portfolio-it seemed like a lot of

10、 money at the time-no portfolio management experience. What do I do? Well, one of the things I think is a sensible thing to do in life is look around at what others are doing, so I looked at what colleges and universities had done in terms of asset allocation. Turns out that 50% of endowment assets

11、in the mid-1980s were invested in common stocks, 40% of endowment assets were in U.S. bonds and U.S. cash, and 10% in a smattering of alternatives. Well, I looked at that and I thought, this doesnt really make a lot of sense. You have half of your assets in one single asset class: U.S. common stocks

12、. Youve got another 40% of your assets in U.S. bonds and cash. So 90% of your portfolio is in domestic marketable securities and only 10% is invested in things like real estate or venture capital or private equity-hardly enough to make a difference in terms of the portfolios returns. Unencumbered by

13、, I guess, the conventional wisdom, we started out at Yale on a path that I think is-fundamentally that changed the way that institutions manage portfolios. A few years ago, I wrote a book called Pioneering Portfolio Management. The reason you could put an audacious title like Pioneering Portfolio M

14、anagement on the cover of the book was that we moved away from this traditional model with 50% in stocks and 40% in bonds and cash to something that was much more equity-oriented and much more diversified. What Id like to do today is talk to you about how it is that we moved from this old model to w

15、hat it is that today many institutions call the Yale model. The way that I would like to talk about this journey that we took is by looking at the tools that we have available to us as investors-these tools are the same tools that we have whether were operating as individual investors or institution

16、al investors-and describe how we employ those tools at Yale and how they led us to the portfolio that we have today. Those three tools are asset allocation, market timing, and security selection. The first, asset allocation, basically deals with which assets you have in your portfolio and in which p

17、roportion you hold each of those assets. The second, market timing, deals with short-term deviations from the long-term asset allocations that you establish. And the third, securities selection, speaks to how it is you manage each of your individual asset classes. Are you going to hold the market po

18、rtfolio, index your assets, match the markets results? Or are you going to manage each individual asset class actively, trying to beat the market and generate risk-adjusted excess returns? Lets start out with the first: asset allocation. I think its pretty widely known that asset allocation is far a

19、nd away the most important tool that we have available to us as investors. As a matter of fact, its so widely believed that asset allocation is the most important tool that I think some people have come to the conclusion that its some sort of law of finance that asset allocation is the most importan

20、t tool. It turns out that its not a financial law that asset allocation takes center stage; it really is more a description of how it is that we behave. Yale actually has a lot more than the billion dollars that we started with in 1985. I think the estimate sheet that I got yesterday morning said th

21、at weve got about $22.5 billion dollars; so thats been a nice run. If I went back to my office after speaking with you this morning and took Yales $22.5 billion dollars and put all of it into Google stock, asset allocation would have very little to say about what Yales returns would be. As a matter

22、of fact, security selection would absolutely dominate the results. The idiosyncratic behavior of Google stock from the time that we purchase it to the time that we sell it would define Yales returns. Alternatively, if I went back to the office and took Yales $22.5 billion dollars and decided that I

23、was going to day trade bond futures, security selection wouldnt have anything to say about the returns; asset allocation wouldnt have anything to say about the returns. The returns would be attributable solely to my ability to market time the bond futures market. Now, Im not going to do either one o

24、f those things. Im not going to put Yales entire portfolio in Google stock, Im not going to go back and take Yales entire portfolio to day-trade bond futures; in part, because it would be bad for me personally. I think I would be fired as soon as people found out what it was that I was doing with th

25、e portfolio and, overwhelmingly more important, it would be bad for the University. Its not a rational thing to do. What will happen is that Yale will continue to hold a relatively well-diversified portfolio as defined by the range of asset classes in which it invests. When you look at each of those

26、 individual asset classes-domestic equities, foreign equities, bonds, real assets, absolute return and private equity-each of those individual asset classes is going to be relatively well-diversified in terms of exposures to individual positions or individual securities. Because thats true, then ass

27、et allocation ends up being the overwhelmingly important determinant of the Universitys results. Because we hold relatively stable, relatively well-diversified portfolios, security selection turns out not to be an important determinant of returns for most investors and market timing turns out not to

28、 be an important determinant of returns. The last man standing is asset allocation and that tends to drive both institutional returns and individual returns. Roger Ibbotson, who is a colleague of Bob Shillers and mine at the School of Management, has done a fair amount of work, studying the relative

29、 importance of these sources of returns. Hes come to the conclusion that over 90% of the variability of returns in institutional portfolios is attributable to asset allocation and thats the number that I think most people hear cited when they are looking at Roger Ibbotsons work. I think one of the m

30、ore interesting and even simpler concepts that comes out of his study is that more than 100% of returns are defined by asset allocation. Now, how can that be true? How can asset allocation be responsible for more than 100% of investment returns? Well, it can only be true if security selection and ma

31、rket timing detract from institutional returns or individual returns in the aggregate. Of course, if think about it, as a community, the investment community is going to lose from security selection decisions. If security selection is a zero-sum game, the amount by which the winner wins equals the a

32、mount by which the loser loses-winners and losers being defined by performance after a security selection that has been made-well, that sounds like a zero-sum game. But then, if you take into account that you create market impact when you trade, that you pay commissions when you trade and you frequently pay advisors substantial amounts of money-whether theyre mutual fund managers or institutional fund managers-theres this leakage from the system that causes the active results for the community as a whole to be negative. Absolutely the same thing is true on the market timin