Private Equity Fund-of-Funds를 활용한 기관투자자의 PE 투자전략에 관한 연구

초록

Private equity (i.e., venture capital and buyout fund) is now contributing greater amount of the capital to financial market. This paper examines three strategies of PE investments with the performance data of venture capital funds between 1987 and 2010. Business cycle strategy suggests that investors need to change investment sizes or strategies when the business cycle moves through the various phases. Not based on the sufficient data and not much statistically significant, the result shows that venture capital funds established in the times of a challenging economic environment have created more values. The performance transition matrix is used to test the track record investing strategy. Although investors may attribute a manager’s top ranking to superior knowledge and skill, investors cannot use past returns to predict future winners in Korea. However, investors rely on guides like the past track record of managers when the performance data of liquidated funds are cumulated. PE Fund-of-Funds strategy, which has a portfolio of funds, shows that a portfolio has a reduced risk in comparison to a single PE funds investment. The diversification effect is larger by increasing the investing periods (longer vintage year) and/or increasing the number of PE fund investments. The simulation result suggests that portfolios with longer vintage years and more invested funds (e.g., [4v9f], [7v4f]) should have almost no risk of losing the initial capital.

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