风险基金的最优投资组合策略是什么?

去年,我写了几篇文章(在这里在这里) that talked 亚博 正规吗 how skewed venture returns were外卖图形从那篇文章的关键是下面的高额回报,风险投资是罕见的比大多数人意识到少得多。

一个关键问题我的帖子没考虑理想的风险投资组合的样子面对这些数据。

史蒂夫Crossan也尝试着建模使用数据从我这个问题的答案结果帖子这是一个有趣的阅读,你可以看到他的全面分析在这里有趣的是,我们思考这个问题一开始铸造。纳西姆•塔勒布的书,《黑天鹅》 had just come out and we decided to read the book and discuss its implications for the venture firm we were 亚博 正规吗 to start in late 2006I imagine many of you have read the book (if not, I’d highly recommend it) – the basic premise is that humans do a poor job of understanding the likelihood of unusual or improbable events.Black swans are rare but just because you’ve personally never seen one doesn’t mean they don’t existCompounding this error, humans are also poor at understanding the causes of these unlikely events after they take place (we misattribute their causes and as a result continue to make poor judgements 亚博 正规吗 their likelihood of reoccurrence).

The robust dinner conversation we had back in 2006 essentially asked the question: “If venture outcomes are Black Swans, what does the optimal venture portfolio construction look like?” Steve asked a similar question in his analysis, which tries to use a simulation model (actually thousands of them) to construct hypothetical portfolios to see what the resulting returns look like我们显然没有我原来的数据结果依赖,但在风险投资行业已经一段时间我们知道风险结果相对少见最后,我们得出了类似的结论像史蒂夫那样一端投资建设规模,但我们的观点分歧的组合尺寸变大,可以更低。

It’s clear from the data (and from common sense) that every venture firm needs to place enough bets to expose themselves to outsized successful companies有少量的投资赢家的几率太小,你的赌注太集中That’s true no matter the size fund you’re investing (I’m referring to early stage funds here but a version of this is true even for larger, later stage funds; although a higher level of  concentration in later stage funds is actually helpful)这是相似的我给天使投资者的建议也多元化显然是重要的风险投资——你可以看到从陡坡在下面的图中左边的图(显示非常贫穷的平均回报倍数有少量的投资组合的基金公司)。

But is too much diversification a bad thing? Here’s where I think math fails practical reality鉴于高额回报的罕见(我原来的数据post出乎很多)一个纯粹的理论模型,如史蒂夫运行表明,最优策略暴露自己巨大的结果几乎没有上限的公司数量应该投资(再次看到第二图——坡度平缓,但仍然在上升,企业数量的增加)我认为我们直观地理解这个早在2006年,我们辩论的克鲁兹围绕多么像我们这样的一个投资组合应该多元化一方面显然是有一些好处接触大量的公司另一方面是不实际的管理,许多关系,我们相信有好处知道企业继续支持,哪些不是另外有好处集中所有权表现最好在你的投资组合公司,公司不能做的事情如果是过于分散我们继续讨论在铸造的历史,在我们的案例中解决~ 30公司/基金(每个早期基金232美元的大小)我们觉得袭击的平衡能力,所有权集中的能力,能够继续支持“赢家”,坦率地说,我们想要与我们关系的组合。

That said, I imagine there’s an argument to be made that 30 is still too concentrated for a fund of our size – we debated this vigorously back in 2006 and still talk 亚博 正规吗 optimal portfolio construction regularly当然也有像我们这样的基金,投资于更多的例子(或在某些情况下更)比我们公司(FirstRound资本一样想到真正的企业)当然,有很多的例子,同样大小的基金相同或更大的浓度比我们的模型我还注意到,早期基金投资集中我想应该越少——初投资较大的分布结果同样的,较小的基金越集中应该——缺乏的能力继续投资在轮(明显的赢家,因此有效地集中所有权)的初始投资集应该更加多样化。

作为一名学生的风险数学,我喜欢这些类型的问题我肯定我们将会讨论他们年复一年。