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1、此文档是毕业设计外文翻译成品（ 含英文原文+中文翻译），无需调整复杂的格式！下载之后直接可用，方便快捷！本文价格不贵,也就几十块钱！一辈子也就一次的事！外文标题：The Risk Profile of Private Equity Fund-of-Funds外文作者：Tom Weidig, PhD, Quantexperts, Esch-Alzette, Luxembourg, Andreas Kemmerer 文献出处:Social Science Electronic Publishing , 2018 , 7 (4) :935-944(如觉得年份太老，可改为近2年，毕竟很多毕业生都这样做
2、)英文1389单词，6988字符(字符就是印刷符)，中文2278汉字。The Risk Profile of Private Equity Fund-of-FundsTom Weidig, PhD, Quantexperts, Esch-Alzette, Luxembourg, Andreas Kemmerer ABSTRACTPrivate equity fund-of-funds (FoF) investments are now contributing more than 10% of the capital to private equity, i.e. venture capita
3、l and buyout. However, their risk profile is not well understood due to the opaque and illiquid market, and the limited access to performance figures. FoFs need to understand their risk profile, if they are to convince potential investors of their lower risk. Research on direct and funds investment
4、exists. Directs show significant variability of returns with a significant probability of a total loss and extreme profits. Funds are less risky, because they invest in up to twenty direct investments. We show that FoFs even further significantly reduce the risk due to diversification. To this aim,
5、we present a framework to construct the risk profile of FoFs using funds performance data. We also discuss the choosendata source, and the results of the simulations.INTRODUCTIONA fund-of-funds (FoF) collects capital from investors to invest in about 20 or more funds on their behalf. FoF investors a
6、re typically pension funds, banks, insurance companies, corporate investors, and other FoFs. The first private equity FoF was raised in 1978. FoFs have increased their share considerably over the last years, and now provide around 10% of the capital of funds. In 2002, 67 FoF managers existed in the
7、US, and 49 FoF managers in Europe. They manage about $130 billion. FoFs allow investors to easily invest and diversify on a global basis. They typically charge a management fee of around 0.5% per year, and participate in the profits with 5% to 10%. Internal cost savings for the FoF investor and the
8、FoF managers added value partially or more than fully compensate these fees, which are often wrongly perceived as fees on fees.A FoF, which has a portfolio of funds, should have a reduced risk in comparison to a single funds investment due to a non-perfect correlation between funds. A fund has about
9、 20 direct investments in its portfolio, and a FoF, e.g. with 20 funds, has 400 direct investments. Thus, FoF investors should have clear diversification benefits through a second level of diversification, and can also consist of small and mediumsized investors. The aim of this paper is to clarify t
10、he diversification benefits. It is difficult to find historical FoFs return data. Therefore, historical FoFs need to be modeled. Historical FoF are constructed by creating portfolios of historical funds that are randomly selected from the VE database while respecting the timeline. Fifty thousand suc
11、h portfolios are created, and the historical distribution of a FoF is obtained. For example, to create a set of historical FoF with two funds invested over two years, two funds would repeatedly be randomly selected from the historical funds for each of two consecutive vintage years. Both years are s
12、ample in the sample portfolio to give each vintage year the same weight. Our data source is the Venture Economics database, with 282 (195) European and 745 (401) US VC funds (buyout funds). The results show the advantages of an investment in a FoF comparable to a single fund. Therefore, FoFs have hi
13、gher returns and lower distributions of returns than direct investments. The diversification effect by increasing the number of investments is larger than the effect by increasing the investment period. Contrary to individual funds, European FoFs seem to provide better investment opportunities to an
14、 investor than the US counterpart. American buyout funds have a lower level of risk than VC funds. This relationship does not apply for the European market.FRAMEWORKIt is needed to construct historical FoFs, because performance data on historical FoFs does not exist, and standard portfolio theory ca
15、nnot be used for model FoFs using funds. Firstly, continuous transaction- based pricing does not exist for funds. Fluctuations of VC funds values do therefore not necessarily reflect any intrinsic variability of returns and hence an underlying risk. Secondly, returns of VC are not normally distribut
16、ed, which violates a major assumption of standard portfolio theory. And finally there is no reliable data on correlations available, especially at the level of funds. As standard concepts of financial theory are not applicable for the construction of VC portfolios, other techniques to analyse the risk profile of this asset class have to be applied. For that reason Monte Carlo simulation is used to compute the performance of FoFs.To construct a historic
