原文：
Private Equity and Strategic Asset Allocation
Private equity is both an asset class and an investment strategy. Distinguishing
between the private equity asset class and the private equity investment strategy can
be confusing and creates challenges for the traditional approach to asset allocation.
Asset allocation decisions should be based on the risk and return characteristics of the
asset class, although in reality, most private equity decisions are based on the
perceived risk and return characters of the available private equity vehicles.
Public companies collectively form the public equity asset class. Investors can
gain exposure to the public equity asset class by purchasing shares of publicly traded
companies or shares of investment vehicles, such as mutual funds, that purchase the
public shares.
Private (non-public) companies collectively form the private equity asset class.
Investors can gain exposure to the private equity asset class by purchasing shares of
privately held companies or shares of investment vehicles, such as private equity
funds, that purchase the non-public shares.
A large number of private corporations are generally assumed to be public
corporations, including Dunkin Donuts, Hertz, Linens-N-Things, Neiman-Marcus,
and Toys-R-Us. Common reasons for being private include family owned businesses
that have always been private, leverage buyouts, and venture start-ups still waiting to
go public.
From a modern portfolio perspective, ideally, one could invest in a basket of all
private corporations in which the weights of the companies in the basket are based on
their true values. Such a basket with real-time pricing would include thousands of
constituents and would be a true representation of the private equity asset class. In
such a world, all value-weighted benchmarks would lead to very similar conclusions
on the performance of the asset class. Unfortunately, this is not possible and,
philosophically, not how most people conceptualize a private equity investment.
When investors make an allocation to private equity, it is not a passive investment
in the basket of all (or most) private companies that form the private equity asset
class. Rather, for most investors, the allocation to private equity is an investment in a
skill-based strategy, in which the two primary sub-strategies are leveraged buyouts
and venture capital. One can carry out such strategies directly or through an
investment vehicle that carries out the investments on their behalf. Two primary
investment 5 vehicles are engaged in these strategies – traditional private equity funds
and publicly listed companies.
Traditional private equity funds are typically pure plays in the private equity
strategies, while publicly listed companies offer a spectrum of private equity-like
exposure. Most private equity funds are organized as limited partnerships with a
finite life ( years). The limited partners invest in (or commit capital to) the funds
which are then managed by the general partners. The industry appears to be moving
toward the creation of more perpetual investment vehicles. If one assumes that
traditional private equity funds and publicly listed companies engaged in private
equity strategies own all of the private companies, the collective performance
associated with these investments would perfectly match the performance of a basket
of all private companies representing the private equity asset class. The implication
is that the weighted average performance of private equity funds would be the same as
the investment in the private equity asset class. On an asset weighted-basis, half of
the investors will do better and half will do worse than the asset class as a 6whole.
This return relationship is straightforward, but not always recognized.
Unlike the straightforward return relationship, the risk relationship between the
asset class and the investment vehicle is not straightforward. The standard deviation
of private equity “asset class” returns is not the same as the standard deviation of
private equity “fund” returns, as individual funds have high amounts of idiosyncratic
(investment specific) risk. For example, for the universe of large cap . mutual
funds, the average standard deviation of their returns is very similar to the standard
deviation of the S&P 500, which is a byproduct of the tendency of most mutual funds
to create portfolios with characteristics that mimic those of the benchmark. For the
universe of private equity funds, the average standard deviation of their returns should
be considerably higher than the standard deviation of the private equity asset class due
to the concentrated nature of private equity funds. This phenomenon of a wide
dispersion of returns among private equity funds is documented in Lerner, Schoar,
and Wongsunwai [2007].
Public equity investments often involve exposure to more than 1,000 public
companies. While thousands of private companies collectively form the private equity
asset class, private equity funds are more concentrated and often involve exposure to
fewer than 15 private companies. The fragmented structure of the private equity
market is such that private equity investors cannot fully diversify away private
company specific risk; thus, all private equity investments are a mixture of systematic
risk exposure to the private equity asset class and private company specific risk.
Asset allocation decisions are largely based on the expected return and standard
deviation of the asset class. For most asset classes, it is relatively easy to invest in a
passive – or beta – representation of the asset class. When it comes to the private
equity asset class, a passive investment with risk and return characteristics that mimic
the risk and return characteristics of the total private equity asset class does not exist!
Thus, as advocates of separating the beta (asset allocation) decision from the alpha
(product) decision, we face a rather large dilemma – should we base the beta decision
on risk and return characteristics associated with the average private equity
investment or the private equity asset class? We are forced to muddy the alpha-beta
separation waters and use the risk and return characteristics that reflect the beta
characteristics that an investor could obtain through a particular method of private
equity exposure. Fortunately for us, the type of private equity exposure used in this
study – listed private equity exposure – provides exposure to thousands of private
equity companies and moving forward as more private equity investments are
securitized should be more reflective of the private equity asset class.
As asset allocators contemplating the role of private equity in a strategic asset
allocation, two strands of research are of particular interest: research on strategic
asset allocations to private equity and research on the risk and return characteristics of
private equity. Phalippou [2007a] provides an excellent literature review and
thoughtful commentary on a wide range of private equity investing issues.
Relatively little guidance exists in the literature about an optimal strategic asset
allocation to private equity. According to the Private Equity Council, the average
allocation to private equity from the 20 largest . public and private pension plans
was % and % respectively. In previous Ibbotson research, Chen, Baierl, and
Kaplan [2002] studies the role of venture capital in a strategic asset allocation.
Using data from Venture Economics on liquidated funds found that venture capital
funds had an annual compounded return of % (compared to returns of % and
% for . Large and Small stocks over the same 1960 to 1999 period), an annual
standard deviation of %, and a correlation with public equities of .04%, which
leads to an allocation range of 2% to 9%. Swenson [2000] reports the historical
(1982-1997) correlation between the Yale private equity portfolio and . equity
at .3. Grantier [2007] concludes that small cap stocks are a viable substitute for
private equity.
Yambao, Davis, and Sebastian [2007] advocates using indices of publicly traded
securities as proxies for illiquid asset classes such as private equity. Using Credit
Suisse Warburg Pincus Global Post Venture Capital Index, coupled with a global
CAPM approach similar to one used later in this paper, Yambao, David, and
Sebastian estimates the expected return of private equity at %, a standard
deviation of %, and a correlation with public equity of .9 – a correlation that is
substantially higher than most other estimates, but consistent with our view that, over
long time periods, returns to the public and private equity asset classes should be
similar. A slightly older version of the Yambao, Davis, and Sebastian [2007] capital
market assumptions was used in Ennis and Sebastian [2004]. Using mean-variance
optimization, it finds that private equity only begins to enter efficient portfolios when
equity allocations exceed 60%. Furthermore, it concludes, “Only moderate-size,
equity-oriented funds with exceptional private equity investment skill, strong
board-level support, and adequate staff resources should consider allocations of 10%
or more.” Finally, in an annual update on the benefits of private equity, the Center for
International Securities and Derivatives Markets (CISDM) Research Department
writes, “Results show that traditional private equity indices may provide
diversification and return benefits when 7 added to an existing stock and bond
portfolio, as well as a stock, bond, and hedge fund portfolio.”
The lack of agreement regarding the historical returns of the private equity asset
class is the key reason that relatively little asset allocation guidance around private
equity can be found in the literature. We, too, cannot escape the uncertainty
surrounding the historical returns of private equity.
The perception that the private equity asset class has significantly outperformed
public equity is one of the drivers of the current interest in private equity. The
National Venture Capital Association, in conjunction with Thomson, regularly report
the performance of Thomson Financials' US Private Equity Performance Index
(PEPI), in which the reported 10- and 20-year annualized returns approximately
double those of the S&P 500. The perception that private equity has superior returns
is also due to the exceptional performance of a few high profile private equity
investors, such as Yale, and the stellar returns of top quartile private equity funds that
are often trumpeted in the press. The Private Equity Council, an industry trade
organization, proclaims that from 1980 to 2005, top-quartile private equity firms had
annualized net of fee returns of % (see Private Equity Council [2007]).
Unfortunately, the average private equity investor experiences average private equity
returns and not top quartile returns. Overall, the literature on private equity returns vs.
public equity returns is mixed.
Schmidt [2006] compares the historical performance of private equity
investments against a benchmark of comparable stocks from the Russell 2000 small
stock universe. From 1980 to 1990, stocks outperformed private equity, while from
1990 to 2002, private equity outperformed stocks. Over the entire period, 1980 to
2002, the compounded annual return was approximately %, nearly three times
greater than the return on the comparable stock benchmark, suggesting that the returns
on true private equity investments are significantly different than the custom stock
benchmark.
Kaplan and Schoar [2005] finds that after fee performance of private equity funds
is similar to the S&P 8500. Studies by CalPERS and the Yale Endowment reach
similar conclusions:In contrast with the above findings, Moskowitz and
Vissing-Jorgensen [2002] finds that the risk and return trade-off is superior for public
equities. Phalippou and Gottschalg [2006] claims that Kaplan and Schoar [2005] and
others overstate the performance of private equity funds. After correcting for 9
potential biases, it estimates that private equity funds underperformed the S&P 500 by
383 basis points.
Phalippou [2007a] states, “An interesting area for further research is to
understand why investors 10 allocate large amounts to this asset class, given such
low past performance.”
After surveying the literature on private vs. public equity returns, Grantier [2007]
concludes that, on average, private equities do not outperform public equities,
although top private equity firms have outperformed public equities.
Unlike most other asset classes where past performance is viewed as a historical
fact and the focus is on forecasting future returns, further research is necessary to
accurately determine both historical and future expected returns of private equity.
Of particular interest, given the new private equity asset class proxies used in our
study, Zimmermann et al. studies the risk, returns, and biases of listed private equity
portfolios. Between 1986 and 2003, it estimates the annual return and standard
deviation of three portfolios of listed equities. The value weighted buy-and-hold
portfolio had a return of % and standard deviation of %. The
equally-weighted rebalanced portfolio had a return of % and standard deviation of
%. The equally-weighted buy-and-hold portfolio had a return of % and
standard deviation of %. Clearly, the weighting and rebalancing schemes have a
significant effect on performance. After adjusting for serial correlation, the standard
deviations of the two equally weighted portfolios increase substantially, to % and
%, respectively. For comparison purposes, over the same period, the S&P 500
had a compounded annual return of % and a standard deviation of %.
Private Equity Index Proxies
Representing the . private equity asset class, the Listed Private Equity Index is a
new index introduced on September 30, 2006, with an available backfilled history that
begins on September 29, 1995. The LPE Index is a collection of publicly traded
companies listed on the NYSE, AMEX and/or NASDAQ that are deemed to be
predominately “Private Equity Holding Companies.” As a general rule, the Index
Committee looks for companies from which the majority of the revenue stream comes
from investing, lending, or providing services to privately held businesses. The
Index uses a modified market capitalization approach. A desire to diversify amongst
different private equity phases (. early stage financing, late stage, etc.), a maximum
constituent weight of 10%, and concentration issues drive the Index Committee tilts
away from market capitalization weights.
The backfilled histories were created using the constituent weights at the time of
inception. Such an approach is susceptible to survivorship bias, as all of the
companies selected by the Index Committee on the true index inception dates
obviously survived to that point. It is unclear if, had the Index Committee existed in
1995, which companies would have been in the Index.
The 32 constituents as of September 30, 2007, are listed in Table 1. An
investment in the LPE Index is reported to represent an investment in over 1000
private companies. Conceptually, each of the constituents is like an investment in an
evergreen private equity fund providing exposure to multiple individual private equity
transactions. Packaging the constituents together results in an investment that is
conceptually similar to a fund of private equity funds.
Table 1: Listed Private Equity Index Constituents as of September 30, 2007
Company Name Ticker Weighting
Leucadia Natl Cp LUK %
Fortress Investment Group FIG %
American Capital Strategies ACAS %
Blackstone Group . BX %
Allied Cap Corp ALD %
Capitalsource Inc CSE %
Apollo Investments AINV %
KKR Financial Corp KFN %
Macquarie Infrastructure MIC %
SVB Financial Corp SIVB %
Ares Capital Corp ARCC %
Affiliated Managers Group Inc AMG %
MCG Capital Corp MCGC %
BlackRock Kelso Capital
Corp.
BKCC %
CMGI Inc CMGI %
Capital Southwest CSWC %
Compass Diversifi CODI %
Hercules Technology Growth
Capital
HTGC %
Internet Cap Grp ICGE %
MVC Capital Inc MVC %
Prospect Energy Corp PSEC %
Evercore Partners EVR %
Gladstone Capital Corp GLAD %
Gladstone Investment Corp GAIN %
Harris & Harris TINY %
Kohlberg Capital Corp KCAP %
UTEK Corp UTK %
Table 2: International Listed Private Equity Index .Constituents as of September 30, 2007
Company Name Weighting
Wendel Investment %
Eurazeo %
3i Group %
Jafco %
Ratos AB B %
Macquarie Global Infrastructure Total Return
Fund
%
KKR Private Equity %
Macquarie Airports %
Babcock & Brown Infrastructure Group %
Intermediate Capital %
SVG Capital %
GP Investments %
Macquarie Communications Infrastructure
Group
%
NIF SMBC %
GIMV %
RHJ Industrial %
Japan Asia %
Electra %
Candover Investments %
Arques Industries AG %
IP Group %
Graphite Enterprise Trust %
Deutsche Beteiligungs AG %
Macquarie Capital Alliance Group %
CDB Web Tech / DeA Capital . %
Macquarie Media Group %
Bure Equity %
Brait . %
Dinamia %
HgCapital Trust plc %
JZ Equity %
CapMan Oyj %
Growth Value Opportunities . %
AdCapital AG %
Dunedin Enterprise Investment Trust plc %
Traction %
Source: Tom Idzorek,2007 “Private Equity and Strategic Asset Allocation”.Journal
of Political Economy, October,-9.
译文：
私人股本和战略资产配置
私人股本既是一种资产类别又是一种投资策略。私人股本资产类别和私人股
票投资策略之间的可辨性是混乱的，它创造了传统的方法进行资产配置的挑战。
资产配置的决策应该基于资产类别的风险和收益特征，虽然在现实中，大多数私
人股本决定是对知觉风险以及对所提供的投资机会返回私人股本基础。
公众公司共同组成的公众股权类资产。投资者可以通过购买获得上市公司的
股份或投资工具，如共同基金，即社会公众股股份购买暴露在公众股权类资产。
私人（非公开）公司共同组成的私人股本资产类别。投资者可以通过购买获
得，如私募基金，即购买非公有制私人持有的公司股份或投资工具，股票股份暴
露于私人股本资产类别。
一个私营公司一般不被认为是公共机构，包括邓肯，赫兹，亚麻布，尼曼和
马库斯的。对于常见的原因包括被私人家族拥有的企业来说一直是私人的，杠杆
收购，风险创业公司仍然在等待着上市。
从现代投资组合的角度来看，最理想的情况是，在一个篮子中公司的重量是
根据它们投资的所有私立公司的价值。与实时定价的包括数以万计组成部分的这
样一个篮子，并且是私有产权财产类的一个真实的表示法。在这样一个世界里，
所有衡量价值的基准将导致人们会非常关注私有财权财产类的表现形式。不幸的
是，这是不可能的，在哲学中，不是大多数人如何概念化的私人股权投资。
当投资者作出私人股权分配，私募股本公司,它并不是一种被动投资里的所
有(或大部分)私人公司所构成的私人股本资产阶级。相反，对于大多数投资者而
言，就是投资于以提高技能为主的策略,两种主要的副策略是杠杆收购和风险资
本。私人股权分配是一项以技术为基础的战略，其中两个主要的子战略杠杆收购
和风险资本投资。你可以代表他们直接或通过一种投资工具实施策略来进行投资。
基于这两个战略投资了 5 个公司——传统的私募股权投资基金,并且已公开上市
公司。
在私人股本教学里，传统的私人股权基金通常是纯粹的投资战略，而上市公
司的私人股权是被公开列出的。大多数私人股权基金的组织被作为有限的生命的
（例如 10 年）有限合伙企业。有限合伙投资（或承诺的资金）的，然后由普通
合伙人管理的基金。业界似乎是朝着更永久的投资工具创造。如果假设传统的私
人股权基金公司和上市公司从事私人股权投资的投资策略为私人公司所有，集体
的表现将与这些与投资相关的完全分配给的代表私营股权类资产所有私人公司。
其含义是，私募基金的加权平均权重将作为私人股权类资产来投资的。在资产加
权的基础上，一半的投资者会做的更好，另一半会比作为一个资产类别的整体更
糟。这种回归关系式直接的，但总是被人忽略。
不同于直接的回归关系，财产类和投资工具之间的风险关系不是直接的。私
募基金“资产类”回报的标准偏差是不作为私人股权“基金”的回报标准偏差的，两
者并不相同的，作为各自的资金有金额上限的限制 （投资具体）风险。例如，
在美国于大市值共同基金的宇宙中，他们的回归的平均标准偏差与标准普尔系数
500 的标准偏差非常类似，这是大多数共同基金趋势的副产品，创造具有特色的
组合，模仿标准偏差这些基准。他们的回归的平均标准偏差高于私有产权财产类
的标准偏差，应该适当地由私有净值资本集中。据此，勒纳，斯佳罗和旺瑟威
（2007）提出回归具有一种广泛的分散作用。
公共股权投资的公开披露已涉及 1000 多家上市公司。而数以万计私人公司
共同形成私有产权财产类时，私有净值资本是被集中的并且涉及较少的私人公司，
15 家。私人股权市场结构分散是私人股权投资者不能充分分散的具体风险，因
此，所有的私人股本投资是一种系统性风险的私募股权类资产和私人公司的特定
风险的混合物。
资产配置的决策都是根据预期收益和资产类别的标准偏差。对于大多数资产
类别，它是相对容易处于被动的投资或β资产类的。当涉及到私人股权类资产，
一种有风险的被动投资和仿造的回归特征的私有产权类财产的风险是不存在的！
因此，作为分离β（资产配置）从α（产品）的决定决定论者，我们面临着相当大
的难题—我们应该与相应的平均私人股权投资相关的风险和收益特征或私人股
本β来决定资产类别？我们被迫对α-β分离并且使用β特征的投资者可能通过私有
产权曝光这一个特殊方法来获得回归特征。幸运的是，私人股本在本研究中使用
接触式――民营上市股票投资――提供涉及数以千计的私人股本司来暴露私有
产权的投资状况。
作为在战略性资产分配中凝视私人公平的作用的资产分配程序，两年调查的
搁浅有人们对这研究又有了特别的兴趣：有关私人公平的风险和回归特征的私人
股权以及研究战略性资产分配额上的调查。费立颇（2007） 提供了极好的文学
审核和各种有关私人股权投资的言论。
目前的理论中有关优选的战略资产分配的教学指导还是较少的。根据私人股
本委员会，将私人股权平均分配给 20 个美国的公众和私人养老金计划分别为
％和 ％。在早先的伊博森、贝阿柔和卡普兰（2002）的研究中提倡发挥风险
资本在战略资产配置中的作用。使用从经济学的违约风险基金的数据发现，创业
资本基金的年度复合回报率 ％（相对于 ％的回报率和 ％，较去年
同 1960 年至 1999 年期间美国大型股和小型股），一个年度标准偏差 ％和
与公共股票相关的 ％，这导致了配置范围在 2％至 9％之间。斯文森（2000）
报告指出耶鲁大学和美国私人股权投资权益之间的相关的历史（1982-1997）。
格朗迪（2007）的结论是，小额股本是私有产权的一个可实行的替补。
亚米巴奥，戴维斯和塞巴斯蒂安（2007）提倡使用非流动性资产类别作为基
准，如私人股权公开交易的证券指数。使用瑞士信贷全球华平创业投资指数后，
与全球资本资产定价模型中使用的方法相似，本文亚米巴奥·大卫后，塞巴斯蒂
安估计， 以后使用的一个私人股本期望值为 ％，标准偏差为 ％，公众
权益 对比的方法，相对于其他的大多数估计这是具有相当高的相关性。但我
们认为，在长期的时间段，向公众和私人股本资产类别的回报应该是相似的。作
者亚米巴奥，戴维斯和塞巴斯蒂安（2007）假设资本市场中有一个更旧的版本被
用在恩尼斯和塞巴斯蒂安（2004）。利用均值方差优化，它认为，只有私人股本
开始进入公平分配的有效投资组合时，即超过 60％。此外，它的结论是，“只有
适度规模，拥有卓越的私人股权投资能力，较强的板级支持，以及充足的人力资
源股票型基金应考虑 10％或以上的分配。”终于在一个年度更新，私人股本权益，
国际证券及衍生产品市场（英文简写：CISDM）研究部中心写道“结果表明，传
统的私人股票指数可以提供多样化和回报的好处时，也可以添加到现有的股票和
债券投资组合，以及股票，债券和对冲基金的等投资组合。”
缺乏有关研究私募股权类资产历史回报的文献是关键原因，在文献中也只能
找到较少得有关私人资产配置知识。但是我们也不能逃避私募基金的不确定性回
报，应进一步去深究私人股权投资的收益情况。
我们认为，私人股权类资产大大优于公共股权的看法是对当前投资私人股本
的动力之一。国家风险投资协会的数据，以及汤姆森的关于美国私人股本绩效指
标（私人股本市盈率指标）的定期金融报告中显示，在标准普尔 500 指数时，20
年的投资收益是 10 年的收益的两倍左右。人们认为私募股权公司具有优异的回
报是非同一般的表现，主要也是因为一些私募股权投资者的高调行为。如耶鲁大
学私人股权基金的前四分之一的，常常在报刊上大肆宣扬私募股权永久回报的优
异性能。私人投资委员会，一个行业贸易组织，宣布在 1980 年至 2005 年，顶级
私人资本运营公司四分之一的净额（见私募基金理事会 2007）费用年均回报达
到 ％。不幸的是，私人股权投资经验平均股票回报率不及顶级私人资本营运
公司的四分之一。总体而言，私人股本回报与公共权益报酬是喜忧参半。
施密特（2006）作出将私人股权投资的历史回报率与罗素集团的 2000 股股
票进行比较。从 1980 年到 1990 年，股票跑赢私募基金，而 1990 至 2002 年，私
人股权投资表现优于股票。在整个期间，1980 年至 2002 年，复合年度回报率约
为 ％，比股票基准大了近三倍，这表明真正的私人股权投资的回报明显高于
股票基准。
卡普兰和斯佳罗 （2005）发现私募股权基金的资本费用接近标准普尔 8500。
接着，加州公务员退休基金和耶鲁大学研究基金会达成了如下的结论：根据上述
研究结果表明，莫斯科维茨和威森·约根森（2002）认为，风险和收益的权衡优
于公众股票。 法利普和高特斯加尔哥 （2006）声称以及卡普兰和斯佳罗
（2005）等人夸大了私募基金的业绩。经过 9 次潜在的偏见纠正，据估计，私人
股本基金表现不佳的有 383 个基点，标准普尔指数为 500。
菲利普 （2007）指出“对这个大家都感兴趣的领域进一步研究的目的是要了
解为什么大量投资者的私人股本分配到该资产类别，但在过去这种可能性是非常
的低的。”
在对有关私人股权回报的文献进行研究后，格朗迪 （2007）的结论是，就
平均而言，私募基金没有超越公众股票，尽管顶级私人股权投资公司都已经超过
了公众股票投资收益。
大多数资产投资在过去取得的收益已被看作是历史，重点是对未来收益的预
测，因此进一步地研究是必要的，以进一步地确定私人股本历史回报和未来的期
望回报。
特别令人感兴趣的是因为新的私人股权资产类别也纳入我们的研究中，由齐
默尔曼等人研究这一块。研究的私人股权的风险，收益和人们对民营股票投资组
合上市的偏见。 1986 年至 2003 年，估计能列出三个上市股票投资组合的每年
的回报和标准偏差。得出第一个投资组合的回报率有 ％，标准偏差为 ％。
在同样的计算条件下得出第二个投资组合的回报率为 ％和 ％的标准偏
差，第三个投资组合的回报为 ％和 ％的标准偏差。显然，权重和重新平
衡方案会对性能产生的重大影响。调整相关序列后，这两个组合的加权平均标准
偏差大幅增加，从 ％增至 ％。为了便于比较，在同一时期，标准普尔 500
指数有 ％的复合年度回报和 ％的标准偏差。
代理私人股票指数
代表美国私人股本资产类的民营上市公司股票指数是一个新的指数，它在
2006 年 9 月 30 日推出了一个可查询历史数据（1995 年 9 月 29 日开始）的索引。
在一个在纽约证券交易所上的指数显示，在美国证券交易所或纳斯达克上市的被
认为是一般规则的“私人持股公司”。公司集合，它是券商把社会上零散的资金集
中起来，由专家进行管理。它和证券投资基金一样，都属于资产管理业务类型，
它们之间在业务开展上有很强的互补性，可以满足不同投资者的投资偏好，或是
一种提供服务的私人控股企业。该索引采用修改后的市场资本化法。期望不同的
私有产权阶段（如早期阶段融资，后期等）能够集中起来，由最大的私有产权比
例 10％驾驭资本市场并使其远离资本化。
这种做法很容易受到投资者的偏见的影响，作为由指数委员会选定的真实指
数成立以来，公司所有日期明显延续到这一点，如果该公司在 1995 年 9 月 29 日
后上市的，那么该公司的一些数据将会出现在该索引中。
截至 2007 年 9 月 30 日的 32 个指数，见表 1。在指数投资的外延数据报道，
代表了超过 1000 个私营公司的投资。对于每个私人股本投资者来说，这就给他
们提供了多次单独接触私募基金的投资机会。这些指数成分在概念上类似于私人
股本基金投资的一项投资基金。
表1: 2007年9月30日上市的私人股票指数成分
公司名称 股票代号 指数成分
卢卡迪亚内 LUK %
福蒂斯投资集团 FIG %
美国资本战略 ACAS %
黑石集团 BX %
盟军帽公司 ALD %
资金来源公司 CSE %
阿波罗投资公司 AINV %
科尔伯格·克莱维斯·罗伯
特公司
KFN %
麦格理基础设施公司 MIC %
美国硅谷银行金融集团 SIVB %
战神金融有限公司 ARCC %
附属公司经理组 AMG %
墨尔本资本公司 MCGC %
贝莱德凯尔索资本公司 BKCC %
中国下一代互联网公司 CMGI %
西南首都 CSWC %
多元化指南 CODI %
大力神科技创业投资 HTGC %
互联网第群岛 ICGE %
资本控制公司 MVC %
展望能源公司 PSEC %
艾芬科罗合伙公司 EVR %
格莱斯顿资本公司 GLAD %
格拉德斯通投资公司 GAIN %
哈里斯＆哈里斯 TINY %
科尔伯格资本公司 KCAP %
佑泰公司 UTK %
表2: 2007年9月30日国际上市私人股票指数成分
公司名称 指数成分
文德尔投资 %
尤拉吉奥投资集团 %
3i 集团 %
集富投资公司 %
航天公司 %
麦格理全球基础设施的总回报基金公司 %
科尔伯格·克莱维斯·罗伯特公司 %
麦格理机场 %
巴布科克＆布朗基建集团 %
资本中介公司 %
SVG 资本公司 %
普通合伙公司 %
麦格理通讯基础设施集团 %
大和三井住友风险投资公司 %
比利时佛兰德斯投资公司 %
RHJ 工业 %
亚洲日本 %
伊莱克特拉集团 %
坎多弗投资 %
阿奎斯工业集团 %
IP 集团 %
石墨企业 %
德国贝蒂里根股份公司 %
麦格理资本联集团 %
国家开发银行网络技术/ DEA 的资本 .
公司
%
麦格里媒体集团 %
布雷股票 %
金刚石有限公司 %
戴纳美 %
Hg 资本信托公司 %
锦州股票 %
生物医药业公司 %
价值增长机会 .公司 %
广告资本公司 %
达尼丁企业投资信托有限公司 %
建造业公司 %
出处:[美] 汤姆·伊迪森瑞克,《私有股份和战略资产的配置》 ，政治经济学期
刊,2007（10）： 7-9.
