Tag: Benchmark

Private equity benchmarks and portfolio optimization

Posted on | by Robin Jakob

Portfolio optimization using private equity is typically based on one of three indices: listed private equity, transaction-based private equity, or appraisal value-based private equity indices. However, we show that none of these indices is fully suitable for portfolio optimization. We introduce here a new benchmark index for venture capital and buyouts, which is updated monthly, adjusted for autocorrelation (de-smoothing), and available contemporaneously. We illustrate how our benchmark enables superior quantitative portfolio optimization.

Authors: Douglas Cumming / Lars Helge Haß / Denis Schweizer
Publication date: 3 May 2013
Published in: Journal of Banking & Finance
Volume/ Ausgabe: Volume 37, Issue 9
Source download link: https://www.sciencedirect.com/science/article/abs/pii/S0305054811000025

Benchmarking PE – Listed PE als neue Anlageklasse

Posted on | by Robin Jakob

The article discusses the lack of adequate benchmarks for private equity investments and the efforts by the Finance Department at the University of Basel, led by Prof. Dr. Heinz Zimmermann, to wwwelop a new index. This index aims to provide a preliminary solution for benchmarking private equity in the listed segment of private equity products. It includes the creation of stable risk and return metrics based on a database of about 300 publicly traded private equity companies, noting the significant growth of listed private equity market capitalization and its distribution across different geographies.

Authors: Hans Christophers, Michèl Degosciu, Prof. Dr. Heinz Zimmermann
Publication date: 1 April 2005
Published in:Absolut Research
Volume/ Ausgabe: 2005, Issue 25
Source download link: https://www.absolut-research.de/publikationen/absolutreport/ausgaben/detail/ae/Issue/show/absolutreport-22005/