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해외 사모펀드 성과와 분산투자효과

  • 송인규 한국경제신문 전문위원
  • 박종원 서울시립대 경영대학 교수
  • 최명섭 한국경제신문 스탭
본 연구는 Preqin에서 제공하는 해외 사모펀드의 성과를 분석하여, 최근 급증하고 있는 국내외 기관투자자들의 사모투자(대체투자) 시 투자의사결정에 활용할 수 있는 결과를 제시한다. 본 연구를 요약하면 크게 다음과 같다. 첫째, 사모펀드의 위험-수익 특성은 자산, 지역, 전략의 선택에 따라 상이하게 나타났다. 둘째, 기존 Humphrey-Jenner (2013)는 산업별 지역별 분산투자가 사모펀드의 성과에 (+)의 영향을 미친다고 하였으나, 사모금융형 펀드에서 초기단계에 투자하는 벤처전략의 경우 산업별 분산투자가 펀드의 IRR에 (+)의 영향을 미쳤고, 성장단계에 투자하는 전략의 경우 (-)의 영향을 미쳐서, 집중투자가 유효함을 보이고 있으며, 다른 전략의 경우 영향이 없었다. 성숙단계에 투자하는 바이아웃 및 메자닌의 경우는 지역별 분산투자가 성과에 (+)의 영향을 미쳤으나, 다른 전략의 경우는 지역별 분산투자의 영향이 없었다. 한편, 부동산 펀드에서는 산업별, 지역별 분산투자효과가 펀드성과에 유의한 영향을 미치지 않았다.
대체투자; 사모금융형 펀드; 부동산펀드; 펀드전략; 분산투자효과; Alternative Investment; Private Equity Fund; Private Equity Real Estate (PERE) Fund; Fund Type; Diversification Effect

The Performance of Private Equity Funds and Its Diversification Effect

  • IK Song
  • Jongwon Park
  • Myungsub Choi
Investment in private markets, formerly known as alternative investment, is increasing in Korea and elsewhere. The value of the assets managed by the National Pension Service (NPS) will reach USD 500 billion by the end of 2015 and is forecast to grow to USD 2.5 trillion over the next 30 years. The NPS is currently allocating around 10% of total assets to private markets, and will increase this to 14% within the next 5 years according to its mid-term asset allocation plan. As the Korean economy matures, financial assets held by institutional investors will grow exponentially, from USD 2 trillion in 2014 to USD 5 trillion over the next 30 years. As the local economy becomes saturated, huge growth in financial assets will flow to overseas markets, especially to private markets, which is the theme of this study. Global pension and endowment schemes are also increasing their investments in private markets as returns on fixed incomes have become very low following the financial crisis and the risk-return profile of equity is not attractive. Private markets provide diversification benefits and better returns for investors. Nevertheless, studies on private markets are limited in Korea. Previous international studies have focused on private equity dedicated to buyout and venture or on private equity real estate (PERE) funds. This comprehensive study included both private equity funds and various real asset funds such as real estate. Using Preqin’s database, a comprehensive global sample of the IRRs of 2,280 private equity funds and 380 PERE funds from 1985 to 2004 was analyzed. The IRR and standard deviation of various types of private equity fund that have not previously been studied (including not only buyout and venture but also growth, mezzanine, distressed and fund of funds) were analyzed. Various real assets such as real estate, infrastructure, resource and timber were also analyzed. Various types of real estate fund, such as debt, core, value-added, opportunistic and fund of funds, were included in the analysis. This is the first study to analyze the risk-return profiles of various assets, types of private equity and real estate funds. The Sharpe ratio concept of dividing IRR by standard deviation was used to determine the relative attractiveness of different assets in different regions. At the asset level, infrastructure was the most attractive, followed by real estate and private equity. However, type-level analysis gave a different result, and indicated that choice among different types of equity, assets and regions, is an important factor in explaining the risks and returns of private funds. Investors can use the risk-return profiles and information about relative attractiveness provided by this study to make decisions about asset allocation among different asset types in private markets in different regions. Humphery-Jenner studied how the diversification level of buyout and venture funds affected the performance of funds and concluded that diversification positively influenced the performance of funds due to knowledge sharing between different funds. There have been disagreements about whether diversification in industry or region has a positive or a negative effect on the performance of funds. This study extended Humphery-Jenner’s previous study to various types of private equity fund and real estate fund. Although Humphery-Jenner used Preqin’s industry classification, this study used the Global Industry Classification Standard (GICS) to improve objectivity. For geographic diversification, this study measured the number of continents rather than the number of countries, as used by Humphery-Jenner. For real estate, the number of property types, such as office, retail and residential, was measured. The same method was used to measure geographic diversification. The overall analysis of private equity funds agreed with Humphery-Jenner’s findings, confirming that industry and geographic diversification positively influenced fund performance. The number of industries and regions divided by the number of relevant staff negatively influenced fund performance, suggesting that staff numbers should increase as diversification increases. However, the results varied for each type of fund, and firms at different stages were affected differently by diversification. Early-stage venture funds showed benefits from industry diversification. However, the performance of growth funds was negatively associated with diversification, implying that growth funds benefit from concentration rather than diversification. Buyout and mezzanine funds investing in mature-stage firms were positively influenced by geographic diversification. Depending on the stage of the firm, fund managers may thus require either diversification or concentration in region and industry. In real estate, diversification had no effect on the performance of funds in both the overall market and at the individual type level. In conclusion, some types of private equity fund receive benefits from industrial or geographic diversification due to knowledge sharing. Growth funds benefit from concentration by focusing on the strengths of managers. Managers of other private equity funds and real estate funds may choose either diversification or concentration strategies.