Author: Robin Jakob

Does the day of week effect exist in other asset classes?

Posted on | by Robin Jakob

Purpose: This study aims to investigate the day-of-the-week (DoW) effect in globally listed private equity (LPE) markets using daily data covering the period 2004–2021. Design/methodology /approach: To investigate the existence of the DoW effect in globally LPE markets, ordinary least squares regression, generalised autoregressive conditional heteroscedasticity (GARCH) regression and robust regressions are used. In addition, robustness audits are conducted by subdividing the sampling period into two sub-periods: pre-financial and post-financial crisis. Findings: Limited statistically significant evidence is found for the DoW effect. By taking time-varying volatility into account, a statistically significant DoW effect can be observed, indicating that the DoW effect is driven by time-varying volatility. Economic significance is captured through visual inspection of average daily returns, which illustrate that Monday returns are lower than the other weekdays. Practical implications: The results have important implications on whether to adopt a DoW strategy for investors in LPE. The findings show that higher returns on selected days of the week for certain indices are possible.

Authors: Marcel Steinborn
Publication date: 26 April 2023
Published in: Studies in Economics and Finance, Emerald Group Publishing Limited
Volume/ Ausgabe:Volume 41, Issue 1
Source download link: https://www.emerald.com/insight/content/doi/10.1108/SEF-12-2021-0517/full/html

Don’t mind the Listed Private Equity gap

Posted on | by Robin Jakob

Explores the concept of discounts in listed private equity and argues that current market conditions present a buying opportunity, discussing the resilience of private equity values and the misconceptions about market discounts.

Authors: Dr. Michel Degosciu
Publication date: 10 November 2022
Published in: IFA Magazine
Volume/ Ausgabe:
Source download link: https://www.trustnet.com/news/13340589/dont-mind-the-listed-private-equity-gap

Excess returns during high inflation

Posted on | by Robin Jakob

According to the index provider LPX, infrastructure operators are able to adapt flexibly to rising prices due to their monopolistic positions. This makes investments in these companies an attractive inflation hedge for investors – but only if they interpret the investment theme narrowly.

Authors: Börse am Sonntag
Publication date: 2 September 2022
Source download link: https://www.lpx-group.com/wp-content/uploads/2022/02/BoZ-Uberrenditen-bei-hoher-Teuerung-090222s13_LPX.pdf

Ein Anlagetipp der besonderen Art

Posted on | by Robin Jakob

This article discusses how difficult it is to outperform the market, with many experts believing it is impossible to consistently achieve returns above the overall market. However, it suggests that the sharply fallen prices of private equity stocks, some trading at significant discounts, could present an attractive buying opportunity, as similar situations in the past have often led to above-average returns.

Authors: Markus Städeli
Publication date: 27 August 2022
Published in: Neue Zürcher Zeitung
Volume/ Ausgabe: 
Source download link: https://www.nzz.ch/finanzen/die-rohstoffpreise-sinken-lohnt-es-sich-jetzt-einzusteigen-ld.1784875

Private equity zum Discountpreis

Posted on | by Robin Jakob

The LPX Group in Zurich is renowned for its private equity and infrastructure index construction. Their strict criteria focus on companies with at least 50% of revenues from core infrastructure, ensuring stability and inflation protection. Notably, private equity investments often come with significant discounts, offering investors opportunities for potentially higher returns. This approach has shown strong, resilient performance, especially during inflationary times.

Authors: Michel Degosciu
Publication date: 26 August 2022
Published in: Börsen-Zeitung
Volume/ Ausgabe: Nr. 164
Source download link: https://www.boersen-zeitung.de/unternehmen-branchen/private-equity-zum-discountpreis-64731054-246f-11ed-8588-399066903a43

PE Performance Around the World

Posted on | by Robin Jakob

This paper looks at the performance of LPX Private Equity indices as proxy for Private Equity (PE) performance in North America, Europe, UK and the World and compares them to their respective regional stock and bond indices fromJanuary 1999 –December 2016. PE has outperformed stocks and bonds in all regions with much higher returns. However, PE also had higher risk compared to stocks and bonds in all regions. On a risk-adjusted basis (Sharpe, Sortino & Omega Ratios), PE has outperformed stocks in all regions of the world. However, PE underperformed bonds in North America, but outperformed bonds in UK and Europe on a risk-adjusted basis. PE also created much higher wealth compared to other asset classes. Overall, results indicate that PE has created tremendous value for their investors.

Authors: Martin Hanby, Srinidhi Kanuri, Anthony Fulmore, Robert Mcleod
Publication date: 20 June 2022
Published in: Journal of Applied Business and Economics
Volume/ Ausgabe: Volume 24(3)
Source download link: https://articlearchives.co/index.php/JABE/article/view/2567/2544