Ivy League Schools Learn A Lesson In Liquidity
就在1年前，面对次贷危机，美国许多顶尖的大学和学院都公布业绩实现了大幅增长。而今年，被誉为常春藤联盟业绩最好大学的宾夕法尼亚大学截至6月份财年的收益下降了15.7%。其它大学的业绩仍在逐步公布，但哈佛大学已经表示，预计业绩将下降30%，耶鲁大学下降约25%。考虑到这些大学基金会的规模，亏损额以绝对值衡量不是个小数，哈佛大学和耶鲁大学都会有几十亿美元。学生们很快将面对大班上课课外活动减少和食堂伙食下降的境地。但对像我这样的投资者来说，这样的业绩带来的不仅仅是学术上的兴趣，这些人的投资组合在某种程度上都效仿了耶鲁大学首席投资长斯文森(David Swensen)首创的多元化资产配置模型。我将其称之为个人投资者的常春藤做法，即采取同大学基金会类似的多元化资产配置──股票（国内及国外）固定收益证券和不动产（包括大宗商品和房地产），但更多地配置到所谓的非传统资产类别中：新兴市场股票和债券能源和大宗商品。截至2008年6月30日，耶鲁大学仅配置了10%的美国股票，4%的固定收益证券，另有15%的国外股票和29%的所谓不动产。主要的区别是，大多数个人投资者没有资格或是无法投资于对冲基金私募基金及风险投资基金中，而它们是大学基金会投资的主要对象。在耶鲁大学，基金会将25%的资金投入到这所大学所说的“绝对回报”中，主要是对冲基金，还有20%投入到私募股权基金中。具有讽刺意味的是，这却成为了个人投资者过去一年里的一大优势，当时正值前所未有的市场动荡，许多基金会的管理人员领会了“流动性不足”的真正含义。大多数私募股权基金和风险投资基金退出的大门砰然关闭。即使投资伙伴有了新的融资要求，但现有头寸却无法产生现金流。许多投资者被迫在低迷的市场上出售他们的流动性投资，以筹集所需现金和满足之前对投资基金的承诺。资产配置完全失去了平衡，随着股市的暴跌倒向了流动性不足的资产。去年的业绩没有更糟糕已经是个奇迹了。流动性已成为了常春藤联盟模式的致命弱点。但它的核心出发点──多元化又怎样呢？实际上，几乎所有类别的资产2008年都出现了某种程度的下跌，即使是那些被认为是不相关的资产，如股票和优质公司债券。但是，对于执行多元化策略，以及没有被迫以低价抛售投资品种的个人投资者来说，这些投资的价值已经大幅反弹，新兴市场股票和大宗商品等许多非传统投资类别的表现要优于美国股市。通过坚持持有高流动性投资品种，如共同基金上市交易基金房地产投资信托和公开上市的股票及债券，个人投资者的表现甚至要远远超过宾夕法尼亚大学。宾夕法尼亚大学也发现自己持有太多的流动性不足的资产。但它通过一些传统的择时操作创下了常春藤联盟名列前茅的投资回报。首席投资长吉尔伯特森(Kristin Gilbertson)最近告诉《华尔街日报》说，在2008年年初，她开始将基金会在已上市股票上的投资比例从53%降到了43%，将约15%投入到美国国债中。这是一个精明之举，按照很少偏离预定资产配置轨道的基金会的标准来看，这也属于是大胆之举。高流动性的美国国债成为在此期间保持住价值的为数不多的资产之一，也使这所大学满足了私募股权公司的资本要求。择时操作并非易事，但我推测这种做法会越来越多地进入到基金会的配置模式中。要吸收2008年的教训可能需要数年时间。但可以肯定的是，流动性将受到更大重视。James B. Stewart（编者按：本文作者James B. Stewart是《财智月刊》(SmartMoney)杂志和SmartMoney.com的专栏作家。他每周都会撰文与读者分享他的个人投资策略。和本报记者不同，Stewart可能拥有他在文中所提及的股票。更多相关文章请见：www.smartmoney.com/commonsense）相关阅读美国小院校捐赠基金投资表现远超哈佛耶鲁 2009-06-30哈佛面临建校历史上最大裁员 2009-06-24哈佛大学捐赠基金巨亏80亿美元 2008-12-04
Just a year ago, in the midst of the subprime meltdown, many of the nation's top universities and colleges were reporting significant gains. This year, the University of Pennsylvania is being hailed for Ivy League-leading results -- with a decline of 15.7% for its fiscal year ended in June. Results from other schools are still trickling in, but Harvard University has said it is expecting to report a drop of 30%, and Yale University about 25%. Considering the size of these endowments, these are staggering losses in absolute terms -- many billions in the case of both Harvard and Yale. Students soon will be heading back to larger classes, curtailed extracurricular activities and cheaper dining-hall fare. But the results are also of more than academic interest to investors like me, who have to some degree modeled their portfolios on the diversified asset-allocation model pioneered by Yale's chief investment officer, David Swensen. What I refer to as the Ivy League approach for individuals calls for diversification along similar lines as the large university endowments -- equities (domestic and foreign), fixed income, and real assets (which includes commodities and real estate), but with a much higher allocation to so-called nontraditional asset categories: emerging-market equities and debt, energy and commodities. Yale allocated just 10% to U.S. equities and 4% to fixed income, with 15% in foreign equities and 29% in so-called real assets as of June 30, 2008. The major difference is that most individual investors didn't qualify or otherwise couldn't invest in the hedge funds and private equity and venture-capital partnerships that make up a large part of university endowments. At Yale, 25% of the endowment was in what the university calls 'absolute return,' mostly hedge funds, and 20% was in private equity. The irony is that turned out to be a huge advantage for individual investors this past year, when, in the midst of unprecedented market turmoil, many endowment managers learned the true meaning of 'illiquid.' The exits for most private equity and venture-capital funds slammed shut. Existing positions yielded no cash flow even as investment partnerships made new demands for funding. Many investors were forced to sell their liquid investments into weak markets to fund cash needs and to meet prior commitments to investment funds. Asset allocations went wildly out of balance, overweighted to illiquid partnerships as the value of equities plunged. It's a wonder that last year's results weren't even worse. Liquidity turned out to be the Achilles' heel of the Ivy League model. But what about its core premise -- diversification? True, nearly every asset category declined at some point in 2008, even those that were supposed to be uncorrelated, like equities and high-quality corporate bonds. But for individuals who followed a diversification strategy -- and who weren't forced to sell anything at distressed prices -- those values have rebounded sharply, with many of the nontraditional categories, such as emerging-market equities and commodities, outperforming U.S. stock indexes. By sticking to liquid alternatives to private partnerships -- such as mutual funds, exchange-traded funds, and real-estate investment trusts and publicly traded stocks and bonds -- individual investors should have done far better than even the University of Pennsylvania.Penn, too, found itself in quite a few illiquid partnerships. But it notched its league-beating return with some old-fashioned market timing. Chief Investment Officer Kristin Gilbertson recently told The Wall Street Journal that in early 2008 she started reducing the portion of the endowment in public equities to 43% from 53% and put about 15% in Treasurys. It turned out to be a shrewd move, and by endowment standards, which rarely stray from predetermined asset allocations, a bold one. The highly liquid Treasurys were one of the few assets to hold their value over the period and also enabled the university to meet capital calls from private-equity firms.Market timing can be difficult, but I suspect some degree of it will increasingly be worked into endowment-allocation models. It will probably take years for the lessons of 2008 to be absorbed. But you can be sure that liquidity will gain new respect.James B. Stewart, a columnist for SmartMoney magazine and Smart-Money.com, writes weekly about his personal investing strategy. Unlike Dow Jones reporters, he may have positions in the stocks he writes about. For his past columns, see: www.smartmoney.com/commonsense.James B. StewartCopyright (c) 2009 Dow Jones & Company, Inc.
Just a year ago, in the midst of the subprime meltdown, many of the nation's top universities and colleges were reporting significant gains. This year, the University of Pennsylvania is being hailed for Ivy League-leading results -- with a decline of 15.7% for its fiscal year ended in June. Results from other schools are still trickling in, but Harvard University has said it is expecting to report a drop of 30%, and Yale University about 25%. Considering the size of these endowments, these are staggering losses in absolute terms -- many billions in the case of both Harvard and Yale. Students soon will be heading back to larger classes, curtailed extracurricular activities and cheaper dining-hall fare. But the results are also of more than academic interest to investors like me, who have to some degree modeled their portfolios on the diversified asset-allocation model pioneered by Yale's chief investment officer, David Swensen. What I refer to as the Ivy League approach for individuals calls for diversification along similar lines as the large university endowments -- equities (domestic and foreign), fixed income, and real assets (which includes commodities and real estate), but with a much higher allocation to so-called nontraditional asset categories: emerging-market equities and debt, energy and commodities. Yale allocated just 10% to U.S. equities and 4% to fixed income, with 15% in foreign equities and 29% in so-called real assets as of June 30, 2008. The major difference is that most individual investors didn't qualify or otherwise couldn't invest in the hedge funds and private equity and venture-capital partnerships that make up a large part of university endowments. At Yale, 25% of the endowment was in what the university calls 'absolute return,' mostly hedge funds, and 20% was in private equity. The irony is that turned out to be a huge advantage for individual investors this past year, when, in the midst of unprecedented market turmoil, many endowment managers learned the true meaning of 'illiquid.' The exits for most private equity and venture-capital funds slammed shut. Existing positions yielded no cash flow even as investment partnerships made new demands for funding. Many investors were forced to sell their liquid investments into weak markets to fund cash needs and to meet prior commitments to investment funds. Asset allocations went wildly out of balance, overweighted to illiquid partnerships as the value of equities plunged. It's a wonder that last year's results weren't even worse. Liquidity turned out to be the Achilles' heel of the Ivy League model. But what about its core premise -- diversification? True, nearly every asset category declined at some point in 2008, even those that were supposed to be uncorrelated, like equities and high-quality corporate bonds. But for individuals who followed a diversification strategy -- and who weren't forced to sell anything at distressed prices -- those values have rebounded sharply, with many of the nontraditional categories, such as emerging-market equities and commodities, outperforming U.S. stock indexes. By sticking to liquid alternatives to private partnerships -- such as mutual funds, exchange-traded funds, and real-estate investment trusts and publicly traded stocks and bonds -- individual investors should have done far better than even the University of Pennsylvania.Penn, too, found itself in quite a few illiquid partnerships. But it notched its league-beating return with some old-fashioned market timing. Chief Investment Officer Kristin Gilbertson recently told The Wall Street Journal that in early 2008 she started reducing the portion of the endowment in public equities to 43% from 53% and put about 15% in Treasurys. It turned out to be a shrewd move, and by endowment standards, which rarely stray from predetermined asset allocations, a bold one. The highly liquid Treasurys were one of the few assets to hold their value over the period and also enabled the university to meet capital calls from private-equity firms.Market timing can be difficult, but I suspect some degree of it will increasingly be worked into endowment-allocation models. It will probably take years for the lessons of 2008 to be absorbed. But you can be sure that liquidity will gain new respect.James B. Stewart, a columnist for SmartMoney magazine and Smart-Money.com, writes weekly about his personal investing strategy. Unlike Dow Jones reporters, he may have positions in the stocks he writes about. For his past columns, see: www.smartmoney.com/commonsense.James B. StewartCopyright (c) 2009 Dow Jones & Company, Inc.