Читать книгу Alternative Investments - Black Keith H. - Страница 73

It appears that the largest endowments have significant skill in selecting the top-performing managers within each asset class. Lerner, Schoar, and Wang (2008) explain that this ability to select top managers may be related to the first-mover advantage (i.e., benefits emanating from being an initial participant in a competitive environment): large endowments invested in many alternative asset classes years earlier than pension funds and smaller endowments did, and may therefore have an advantage. For example, Takahashi and Alexander (2002) explain that Yale University made its first investments in natural resources in 1950, leveraged buyouts in 1973, venture capital in 1976, and real estate in 1978. In contrast, Lerner, Schoar, and Wang explain that corporate pensions began investing in venture capital only in the 1980s, while public pension plans did not make their first venture capital investments until the 1990s.

Many of the funds of managers who have earned top-quartile performance in these asset classes have been closed to new investors for many years. Newer investors seeking access to top managers in alternative investment asset classes, especially in venture capital, are destined to underperform when the top managers allow commitments only from those investors who participated in their earlier funds.

Lerner, Schoar, and Wongsunwai (2007) show that endowments earn higher average returns in private equity, likely due to the greater sophistication of their fund-selection process. Endowment funds have higher returns than do other investors when making allocations to first-time private equity fund managers. Once an endowment fund has become a limited partner in a private equity fund, it seems to be more efficient at processing the information provided by each general partner. The follow-on funds that endowments select for future investment outperform funds to which endowments decline to make future commitments.

Mladina and Coyle (2010) identify Yale University's investments in private equity as the driving factor in the endowment's exceptional performance. It can be difficult to emulate Yale's outperformance in private equity and venture capital investments, as its venture capital portfolio has earned average annual returns of 31.4 % since its inception through fiscal year 2007. In fact, this study suggests that without the private equity and venture capital investments, the returns to the Yale endowment would be close to that of the proxy portfolio.