Tag: Private equity

Systematic Risk in Publicly Listed Private Equity

Posted on | by Hammad

We investigate systematic risk dynamics using the LPX Group’s 10 indices, which represent publicly listed private equity (PLPE) market indices as well as different PLPE investment styles and PLPE performance at alternative geographic regions. PLPE is a hybrid asset class that combines private capital exposure with public market liquidity. Using daily data from 2002 to 2025 and a recent score-driven modeling framework, i.e. the autoregressive conditional beta (ACB) model for the t-distribution (t-ACB), we demonstrate that the betas and volatility are highly time-varying and LPX-specific, particularly during periods of macroeconomic or financial crisis. Contrary to classical theory, LPX betas do not converge in crises, revealing persistent heterogeneity across PLPE firms. These findings challenge the assumptions underlying static asset pricing models and conventional methods for estimating the cost of equity. By capturing how systematic risk evolves across indices and regimes, this paper extends the literature by offering a more accurate framework for valuing hybrid assets and managing risk in an increasingly institutionalized segment of the private equity market.

Authors: Szabolcs Blazsek
Publication date: 26 September 2025
Published in: De Gruyter Brill
Volume/ Ausgabe: 
Source download link: https://www.degruyterbrill.com/document/doi/10.1515/snde-2025-0085/html

Effect of macro and geopolitics on LPE returns

Posted on | by Hammad

This study examines how global uncertainty and risk factors drive monthly returns of listed private equity across 13 developed economies during the period from April 2014 to March 2024. The findings reveal that financial and macroeconomic uncertainties significantly influence private equity firm performance by reducing its returns. Geopolitical uncertainty, resulting from political instability and global conflicts, further exacerbated these risks. GDP growth and industrial production are found to positively impact firm performance, while inflation, credit spreads, and unemployment rates negatively affect returns.

Authors: Oumaima Bouassida ; Yosra Ghabri
Publication date: 5 September 2025
Published in: Journal of Economic and Administrative Sciences
Volume/ Ausgabe: 1-19
Source download link: https://www.emerald.com/jeas/article-abstract/doi/10.1108/JEAS-01-2025-0023/1278084/Navigating-uncertainty-the-effect-of-macroeconomic?redirectedFrom=fulltext

Predicting Returns of Listed Private Equity

Posted on | by Hammad

We examine the predictive power of the net asset value (NAV)/price ratio for the LPX50 index, a key benchmark in the field of listed private equity, using monthly data from 2002 to 2024. A risk factor model reveals the index’s significant exposure to small-cap and value stocks. Autocorrelation tests indicate market inefficiencies and suggest potential predictability of future returns. Both in-sample and out-of-sample analyses confirm the NAV/price ratio as a significant predictor of future returns, particularly over longer investment horizons and when excluding periods of financial instability. When the index’s NAV is relatively high compared to its market price, investors can increase their exposure to value risk and potentially achieve excess returns. Our study offers practical insights for fund managers and institutional investors seeking to navigate this emerging asset class and underscores the relevance of fundamental valuation metrics in predicting returns.

Authors: Arthur Enders, Michèl Degosciu, Karl Schmedders, Maximilian Werner
Publication date: 7 June 2025
Published in: The Journal of Portfolio Management
Volume/ Ausgabe: Volume 51, Issue 7
Source download link: https://www.pm-research.com/content/iijpormgmt/early/2025/06/07/jpm20251736

Modelling listed Private Equity in South Africa

Posted on | by Hammad

This paper uses advanced econometric methods to explore the statistical properties, volatility dynamics, and macroeconomic determinants of Listed Private Equity (LPE) investments in South Africa from 2010 to 2023. The key objectives include testing for non-normality in LPE returns and assessing volatility clustering. By employing GARCH-family models, the study effectively captures asymmetric and long-memory effects in LPE returns. A VAR model combined with Impulse Response Functions quantifies the impact of macroeconomic shocks, revealing that inflation imposes a significant and sustained adverse effect on LPE returns. In contrast, GDP growth exerts a weaker, short-lived positive influence. The findings also highlight the dynamic Relationship between corporate strategies and market volatility, showcasing how firms adapt to and influence volatility through diversification, hedging, and sectoral realignment. These results are consistent with contemporary theories on strategic responses to volatility (Jiang et al., 2021). Furthermore, the DCC MGARCH results suggest minimal volatility spillovers within the South African LPE market, indicating reduced systemic risks and opportunities for adequate portfolio diversification. The study provides a framework to enhance risk management and informed decision-making within South Africa’s LPE market. Future research should extend these insights by investigating cross-border spillover effects and examining how regulatory frameworks can stabilise the LPE sector.

Authors: Chricencia Makanyara MURAPE, Raphael Tabani MPOFU
Publication date: 31 December 2024
Published in: Prizren Social Science Journal
Volume/ Ausgabe: Vol. 9, Issue No. 1; 2025
Source download link: https://www.lpx-group.com/wp-content/media%20posts/2025_Murape_Mpofu.pdf

Empirical Analysis of PE, Listed PE and Public Equity

Posted on | by Hammad

It is not a secret that the world of Private Equity is growing year by year, with an immense upwards trend and that the willingness of understanding how Private Equity as an alternative capital raising strategy can be used by companies which do not want to go public and get financed by Public Equity. The underlying paper investigates the world of Private Equity, Listed Private Equity and Public Equity. Regarding transparency of data, the comparability of Public Equity to Listed Private Equity provides way better results than comparing Public Equity to Private Equity. Due to the listing of the firms, the disclosure requirements need to be fulfilled. The GLPE Index illustrates and underlines the effectiveness of Listed Private Equity as a financing source. The GLPE Index contains 40 to 75 listed Private Equity firms which mostly invest Private Equity in firms that are not listed. However – The top ten constituents of this index show their diversification considering the companies they have invested in and their performance, the countries in which the Headquarter are located and the performance of these funds. One can see clearly that 2021 was an extra ordinary year for all of them. They achieved returns and performance better than indices like the MSCI World and S&P 500.

Authors: Ernst Fahling, Celina Fünfgeld andRobert Kelm
Publication date: 26 March 2023
Published in: International Journal of Financial Research
Volume/ Ausgabe: Vol. 14, No. 2; 2023
Source download link: https://www.lpx-group.com/wp-content/media%20posts/2023_Fahling_et_al.pdf

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/