Читать книгу Asset Allocation - William Kinlaw, Mark P. Kritzman - Страница 22

 The standard deviation of observed private equity returns is unrealistically low compared to the standard deviation of public equity returns.

 This apparent low volatility is caused by valuing private equity based on appraisals that are anchored to prior period valuations, which has the effect of smoothing returns.

 When private equity volatility is estimated from longer-interval returns, which offsets the smoothing effect, private equity volatility is about the same as public equity volatility.

 Many investors believe that private equity volatility should be much higher than public equity volatility because private equity is more highly levered than public equity.

 However, not only is there no discernible relationship between leverage and private equity volatility, it does not exist in the public market either.

 Leverage does not appear to affect private equity volatility because private equity managers tend to invest in companies whose underlying business activities are inherently less risky, which cancels out the leverage effect.

 The volatility estimated from longer-interval private equity returns is the correct approximation of volatility because it approximates the actual distribution of outcomes realized by private equity investors over longer horizons.