Читать книгу Alternative Investments - Black Keith H. - Страница 75

Endowments have a perpetual holding period. With low spending rates and limited liabilities, endowments have a much greater tolerance for risk, including liquidity risk. When viewed in light of the age of leading universities, which for Harvard and Yale now surpasses 300 years, the 10-year lockup period of private equity vehicles appears relatively short term. As the longest-term investors, charged with protecting the real value of endowment principal for future generations of students, universities are seeking to earn liquidity premiums, which are higher returns earned by investing in less liquid assets that require long lockup periods. The idea is that the perpetual nature of endowments allows them to easily handle this liquidity risk. Anson (2010) estimates the liquidity premium for private equity at 2 % and for direct real estate at 2.7 %, while other studies estimate liquidity premiums as high as 10 %.

Swensen (2009) explains that less liquid investments tend to have greater degrees of inefficient pricing. On average, investors overvalue liquid assets, which leaves undervalued and less liquid assets for investors with long-term investment horizons. Investors making commitments to long-term assets, such as private equity and private real estate, know that these investments are typically held for 10 years or longer and so require a significant due diligence process before making such a long-term commitment. Investors in more liquid asset classes may not take their investments as seriously, knowing that the investment may be exited after a short-term holding period. Investments that appear to be liquid in normal markets may have constrained liquidity during times of crisis, which is when liquidity is most valued.