Journal of Alternative Investments最新文献_第7页

On the Valuation of Performance Fees and Their Impact on Asset Managers’ Incentives 绩效费用的评估及其对资产管理者激励的影响

IF 0.7

Journal of Alternative Investments Pub Date : 2020-09-04 DOI: 10.2139/ssrn.3686987

Wei Dai, R. C. Merton, Savina Rizova

{"title":"On the Valuation of Performance Fees and Their Impact on Asset Managers’ Incentives","authors":"Wei Dai, R. C. Merton, Savina Rizova","doi":"10.2139/ssrn.3686987","DOIUrl":"https://doi.org/10.2139/ssrn.3686987","url":null,"abstract":"This article provides a robust and practical framework for assessing performance fees. The fee valuation uses standard option pricing models and therefore does not require any expected return or alpha estimate. These features make the framework easy to use, robust, and widely applicable to a variety of fee structures in practice. The authors discuss the incentive impact of performance fees and caution against the unintended consequences for manager behaviors. These implications are especially relevant today, as systematic investing is on the rise and asset owners are increasingly interested in the adoption of performance fees across a broader range of investment styles. TOPICS: Derivatives, options, manager selection, performance measurement Key Findings ▪ This article provides a practical framework for assessing performance fees based on standard option pricing models. The fee valuation does not require any expected return or alpha estimate, making this framework transparent, robust, and widely applicable. ▪ Using the framework, the authors show the incentive impact of performance fees and caution against the unintended consequences for manager behaviors. ▪ The article discusses the implications of performance fees in the context of systematic investing. This discussion is especially relevant today as asset owners are increasingly interested in the broader adoption of performance fee structures beyond traditional alternative investments.","PeriodicalId":45142,"journal":{"name":"Journal of Alternative Investments","volume":"24 1","pages":"10 - 25"},"PeriodicalIF":0.7,"publicationDate":"2020-09-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47085855","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

Prolonged Private Equity Holding Periods: Six Years Is the New Normal 私募股权持有期限延长：六年是新常态

IF 0.7

Journal of Alternative Investments Pub Date : 2020-09-02 DOI: 10.2139/ssrn.2872585

Juha Joenväärä, Juho Mäkiaho, Sami Torstila

引用次数: 3

Real Estate Returns 房地产收益

IF 0.7

Journal of Alternative Investments Pub Date : 2020-08-21 DOI: 10.3905/jai.2020.1.111

J. C. Francis, R. Ibbotson

引用次数: 0

Practical Applications of Measuring the Carbon Exposure of Institutional Investors 衡量机构投资者碳暴露的实际应用

IF 0.7

Journal of Alternative Investments Pub Date : 2020-07-31 DOI: 10.3905/jai.22.s4.035

Darwin Choi, Zhenyu Gao, Wenxi Jiang

{"title":"Practical Applications of Measuring the Carbon Exposure of Institutional Investors","authors":"Darwin Choi, Zhenyu Gao, Wenxi Jiang","doi":"10.3905/jai.22.s4.035","DOIUrl":"https://doi.org/10.3905/jai.22.s4.035","url":null,"abstract":"Practical Applications In Measuring the Carbon Exposure of Institutional Investors, from the Summer 2020 issue of The Journal of Alternative Investments, authors Darwin Choi, Zhenyu Gao, and Wenxi Jiang (all of The Chinese University of Hong Kong) present a simple way to measure how heavily institutional portfolios tilt toward or away from stocks of high-carbon-emission firms. They consider two data sources: MSCI’s firm-based Carbon Emission Score and the UN Intergovernmental Panel on Climate Change’s (IPCC) industry classification system. They find that MSCI’s data are less useful because they focus on cleaner firms and create a skewed impression of falling emissions over time. In contrast, the IPCC tracks all US firms, classifies them as high- or low-carbon by industry, and has maintained a constant methodology over time. Choi, Gao, and Jiang combine the IPCC’s data with data from other sources to designate companies in certain industry sectors as high-carbon emitters. They then analyze institutional portfolios and use a formula to determine whether such portfolios tilt toward or away from stocks in those industries. They find that, on average, institutional portfolios were weighted toward high-carbon stocks until 2015—when their high-carbon holdings dropped sharply. Since then, institutional portfolios’ carbon weightings have remained lower than the market average.","PeriodicalId":45142,"journal":{"name":"Journal of Alternative Investments","volume":"1 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2020-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42437072","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Practical Applications of Is “Greenness” Priced in the Market? Evidence from Green Bond Issuance in China “绿色”在市场上定价的实际应用？中国绿色债券发行的实证研究

IF 0.7

Journal of Alternative Investments Pub Date : 2020-07-31 DOI: 10.3905/jai.22.s4.034

Zhiyao Deng, Tang Yongjun, Yupa Zhang

引用次数: 0

The Evolution of Private Equity Fund Value 私募股权基金价值的演变

IF 0.7

Journal of Alternative Investments Pub Date : 2020-07-31 DOI: 10.2139/ssrn.3621407

Gregory W. Brown, W. Hu, Jian Zhang

{"title":"The Evolution of Private Equity Fund Value","authors":"Gregory W. Brown, W. Hu, Jian Zhang","doi":"10.2139/ssrn.3621407","DOIUrl":"https://doi.org/10.2139/ssrn.3621407","url":null,"abstract":"This article provides the first large-sample analysis of buyout and venture capital fund values over their lifetimes. Specifically, the authors examine fund future investment multiples (TVPIs), internal rates of return (IRRs), and direct alphas based on the current reported net asset values (NAVs) at each year of a fund’s life. Using a sample of 1,400 mature buyout and VC funds, they find that the typical fund experiences a falloff in future returns after it is about seven to eight years old. However, the remaining performance is highly variable for funds of all ages, and the dispersion in returns also tends to increase after funds are about eight years old. They examine the cross-sectional determinants of the remaining fund value and find that several fund-specific and market-wide factors determine future performance and that these vary by type and age of fund. For example, young funds tend to be harmed by high market-wide dry powder levels, whereas older funds appear to benefit. TOPICS: Private equity, performance measurement Key Findings ▪ The typical fund experiences a falloff in returns after it is about seven to eight years old. This is true for both VC and buyout funds. ▪ Contrary to common wisdom, the cross-sectional dispersion of fund performance measured by future internal rate of return and direct alpha tends to increase, not decrease, for funds more than five years old. ▪ A wide variety of market-wide and fund-specific factors predict future fund performance. These include to-date distributions, dry powder, previous fund performance, fund size, general partner fundraising activity, previous public market stock returns, and credit spreads. Relevant factors are different for VC funds and buyout funds and can vary systematically over funds’ life cycles.","PeriodicalId":45142,"journal":{"name":"Journal of Alternative Investments","volume":"23 1","pages":"11 - 28"},"PeriodicalIF":0.7,"publicationDate":"2020-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49054796","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 2

Practical Applications of Green Bond Pricing: The Search for Greenium 绿色债券定价的实际应用:寻找Greenium

IF 0.7

Journal of Alternative Investments Pub Date : 2020-07-31 DOI: 10.3905/jai.22.s4.031

Candace Partridge, Medda Francesca Romana

引用次数: 1

Practical Applications of Green Bonds and Green Bond Funds: The Quest for the Real Impact 绿色债券和绿色债券基金的实际应用：寻求真正的影响

IF 0.7

Journal of Alternative Investments Pub Date : 2020-07-31 DOI: 10.3905/jai.22.s4.032

Gábor Gyura

{"title":"Practical Applications of Green Bonds and Green Bond Funds: The Quest for the Real Impact","authors":"Gábor Gyura","doi":"10.3905/jai.22.s4.032","DOIUrl":"https://doi.org/10.3905/jai.22.s4.032","url":null,"abstract":"Practical Applications In Green Bonds and Green Bond Funds: The Quest for the Real Impact, from the Summer 2020 issue of The Journal of Alternative Investments, author Gabor Gyura (of the University of Pecs in Hungary) investigates whether the rise of green bonds can be expected to lead to the completion of more environmentally friendly projects. Green bond issuance has grown dramatically in recent years, and green bond mutual funds are working hard to catch up. However, Gyura notes that not all green bonds finance high-profile environmental efforts like climate change mitigation, and some green bond funds invest more heavily than others in bonds that specifically fund such projects. Gyura also conducted a worldwide survey of bond issuers to determine whether issuing green bonds helped them complete more green projects. His results suggest the answer is no. Most respondents said their green projects would have been completed whether they had issued bonds labeled as green or not—and the main reason they issue green-labeled bonds is to improve their reputation and help them enter the green-finance market. Therefore, Gyura says there is little evidence that the growth of the green bond market will help to complete more green projects.","PeriodicalId":45142,"journal":{"name":"Journal of Alternative Investments","volume":"22 1","pages":"1-5"},"PeriodicalIF":0.7,"publicationDate":"2020-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42681329","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Practical Applications of Be Prepared: Exploring Future Climate-Related Risk for Residential and Commercial Real Estate Portfolios Be Prepare的实际应用：探索住宅和商业房地产投资组合的未来气候相关风险

IF 0.7

Journal of Alternative Investments Pub Date : 2020-07-31 DOI: 10.3905/jai.22.s4.033

M. Westcott, J. Ward, S. Surminski, P. Sayers, D. Bresch, Bronwyn Claire

{"title":"Practical Applications of Be Prepared: Exploring Future Climate-Related Risk for Residential and Commercial Real Estate Portfolios","authors":"M. Westcott, J. Ward, S. Surminski, P. Sayers, D. Bresch, Bronwyn Claire","doi":"10.3905/jai.22.s4.033","DOIUrl":"https://doi.org/10.3905/jai.22.s4.033","url":null,"abstract":"Practical Applications In Be Prepared: Exploring Future Climate-Related Risk for Residential and Commercial Real Estate Portfolios, from the Summer 2020 issue of The Journal of Alternative Investments, Mark Westcott of Vivid Economics, John Ward of Pengwern Associates, Swenja Surminsky of Vivid Economics, Paul Sayers of Sayers and Partners, David Bresch of ETH Zurich, and Bronwyn Claire of the Cambridge Institute for Sustainability Leadership demonstrate the beneficial uses of two climate change models. A primary benefit of using these models is to effect a social change whereby builders and property owners adopt climate adaptation measures at a faster pace. The models expose the physical risks of real estate properties and estimate the risk reduction due to climate adaptation measures. The authors discuss several adaptation methods to mitigate the exposed risks, and their results illustrate the importance of doing so. The results provide a stark comparison between the estimated costs of mitigated and unmitigated damage occurring across a wide range of future temperature scenarios.","PeriodicalId":45142,"journal":{"name":"Journal of Alternative Investments","volume":" ","pages":""},"PeriodicalIF":0.7,"publicationDate":"2020-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47797324","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

INVITED EDITORIAL COMMENT: Climate Change Implications for the Asset Management Industry 特邀社论评论:气候变化对资产管理行业的影响

IF 0.7

Journal of Alternative Investments Pub Date : 2020-06-30 DOI: 10.3905/jai.2020.23.1.008

Darwin Choi, Zhenyu Gao, Wenxi Jiang

引用次数: 0