Author: Robin Jakob

Mit liquiden Bausteinen die Private Equity Performance konstruieren

Posted on | by Robin Jakob

Private equity is often favored over stocks by investors due to its higher returns and lower volatility. However, stocks can sometimes outperform private equity, especially when leveraging legal skew, leverage, and volatility tolerance. While private equity funds provide attractive returns with less market fluctuation, the rise in interest rates and reduced deal-making activity have impacted their performance. Some investors now view liquid equity investments, like those in listed private equity indices, as a viable alternative, offering benefits of both private equity and stock market exposure, with lower fees and greater liquidity.

Authors: Patrick Eisele
Publication date: 30 September 2024
Published in: portfolio institutionell
Volume/ Ausgabe: 2024, 9
Source download link: https://www.portfolio-institutionell.de/mit-liquiden-bausteinen-die-private-equity-performance-konstruieren/

Tail risks and private equity performance

Posted on | by Robin Jakob

We examine the drivers of private equity in response to the fully exogenous Covid-19 shock, employing listed private equity as a proxy for traditional non-listed private equity. This approach enables us to reliably measure firm characteristics and performance in real-time. Listed private equity firms, on average, underperformed significantly during the crisis, with a performance drop ranging from 9.2 % to 43.6 %, depending on the model used. However, there is substantial cross-sectional variation driven by unique firm-level attributes including access to capital, liquidity, transparency, and ownership structure. Listed private equity with better access to capital and higher transparency shows resilience during the crisis, while higher illiquidity and opacity exacerbate the negative effects. This study offers early evidence on Covid-19′s impact on private equity firms, highlighting value drivers and performance dynamics of this alternative asset class during a period of extreme tail risk.

Authors: Hrvoje Kurtović / Garen Markarian
Publication date: 1 December 2023
Published in: Journal of Empirical Finance
Volume/ Ausgabe: Volume 75
Source download link: https://www.sciencedirect.com/science/article/pii/S092753982300124X

Market-based private equity returns

Posted on | by Robin Jakob

Using the universe of business development companies (BDCs), a unique publicly traded segment of U.S. Private Equity (PE), for the period 1998–2017, we provide the first in-depth examination of their performance and risk-adjusted characteristics and compare our results to contrasting evidence derived from recently wwweloped time series proxies for unlisted PE returns. BDCs exhibit zero alpha, beta of one, and significant exposure to SMB, HML, and CMA factors of 0.5, 0.7, and -0.3, respectively. BDC performance and market beta are sensitive to fund size and leverage. We provide evidence that BDC returns capture both the asset selection and PE ownership elements of the unlisted PE investment strategy. Finally, an event study analysis shows that NAV disclosures become informative only after the adoption of the Statement of Financial Accounting Standards 157 (SFAS 157). We posit that BDCs provide a readily available market-based PE benchmark for use by regulators, market participants, and academics.

Authors: Theodosis L. Kallenos / George P. Nishiotis
Publication date: 6 November 2023
Published in: Journal of Banking & Finance
Volume/ Ausgabe: Volume 157
Source download link: https://www.sciencedirect.com/science/article/abs/pii/S0378426623002339

In Flughäfen, Funkmasten und Stromleitungen investieren

Posted on | by Robin Jakob

The article discusses the investment landscape for infrastructure stocks, focusing on their underperformance despite inflation-linked price increases. It highlights the challenges faced by renewable energy infrastructure investments and the broader market conditions affecting infrastructure stocks.

Authors: Markus Städeli
Publication date: 28 October 2023
Published in: Neue Zürcher Zeitung
Volume/ Ausgabe:
Source download link: https://www.nzz.ch/finanzen/in-flughaefen-funkmasten-und-stromleitungen-investieren-ld.1782451

Why investors should look again at private equity

Posted on | by Robin Jakob

This document discusses LPX AG’s business strategies and its use of indices in the listed private equity market. It covers the intricacies of listed private equity investments, the challenges of limited data availability in private equity, and the transparency that listed equity offers over traditional private equity.

Authors: Dr. Michel Degosciu, Karl Schmedders, and Maximilian Werner
Publication date: 24 August 2023
Published in: IMD – International Institute for Management Development
Volume/ Ausgabe:
Source download link: https://www.imd.org/ibyimd/finance/why-investors-should-look-again-at-private-equity/

The Risk and Performance of Listed Private Equity

Posted on | by Robin Jakob

Private equity (PE) risk and performance is a black box for investors, as information is quasi-private during a fund’s life. To overcome this issue, the authors use the universe of listed PEs (LPEs) in US exchanges, which permits the measurement of financial fundamen¬tals based on audited quarterly reports, and the observation of share price performance and volatility on a real-time basis. They first show that LPE performance and valuations are highly correlated to that of unlisted PEs, and hence are a good proxy. LPEs constantly exhibit leverage double that of the broader market while showing no distinctive share price performance. Controlling for standard determinants of returns, LPE firms do not outperform market benchmarks. Using COVID-19 as an exogenous increase in tail risk, PE firms grossly underperformed as markets penalized the riskiness and lack of transparency inherent in PE investments. The problems are likely greater in privately held PEs, where performance is self-reported, not audited, and illiquidity periods last up to 10 or 12 years.

Authors: Hrvoje Kurtovic / Garen Markarian / Patrick Breuer
Publication date: 22 May 2023
Published in: The Journal of Alternative Investments
Volume/ Ausgabe: Volume 26, Issue 1
Source download link: https://www.pm-research.com/content/iijaltinv/early/2023/05/21/jai20231191