The Evolution of Private Equity Fund Value

IF 0.4 Q4 BUSINESS, FINANCE Journal of Alternative Investments Pub Date : 2020-07-31 DOI:10.2139/ssrn.3621407
Gregory W. Brown, W. Hu, Jian Zhang
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引用次数: 2

Abstract

This article provides the first large-sample analysis of buyout and venture capital fund values over their lifetimes. Specifically, the authors examine fund future investment multiples (TVPIs), internal rates of return (IRRs), and direct alphas based on the current reported net asset values (NAVs) at each year of a fund’s life. Using a sample of 1,400 mature buyout and VC funds, they find that the typical fund experiences a falloff in future returns after it is about seven to eight years old. However, the remaining performance is highly variable for funds of all ages, and the dispersion in returns also tends to increase after funds are about eight years old. They examine the cross-sectional determinants of the remaining fund value and find that several fund-specific and market-wide factors determine future performance and that these vary by type and age of fund. For example, young funds tend to be harmed by high market-wide dry powder levels, whereas older funds appear to benefit. TOPICS: Private equity, performance measurement Key Findings ▪ The typical fund experiences a falloff in returns after it is about seven to eight years old. This is true for both VC and buyout funds. ▪ Contrary to common wisdom, the cross-sectional dispersion of fund performance measured by future internal rate of return and direct alpha tends to increase, not decrease, for funds more than five years old. ▪ A wide variety of market-wide and fund-specific factors predict future fund performance. These include to-date distributions, dry powder, previous fund performance, fund size, general partner fundraising activity, previous public market stock returns, and credit spreads. Relevant factors are different for VC funds and buyout funds and can vary systematically over funds’ life cycles.
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私募股权基金价值的演变
本文首次对并购基金和风险投资基金的价值进行了大样本分析。具体而言,作者根据基金寿命中每年的当前报告净资产价值(NAV),研究了基金未来投资倍数(TVPI)、内部收益率(IRRs)和直接阿尔法。通过对1400只成熟的收购基金和风险投资基金的样本分析,他们发现,典型的基金在成立约七到八年后,未来回报率会下降。然而,对于所有年龄段的基金来说,剩余业绩都是高度可变的,在基金成立约八年后,回报的分散性也往往会增加。他们研究了剩余基金价值的横截面决定因素,发现几个特定于基金和整个市场的因素决定了未来的业绩,这些因素因基金类型和年龄而异。例如,年轻的基金往往会受到整个市场高干粉水平的伤害,而年长的基金似乎会受益。主题:私募股权,绩效衡量关键发现▪ 典型的基金在成立七到八年后会经历回报率的下降。风险投资基金和收购基金都是如此。▪ 与普遍看法相反,对于成立五年以上的基金,通过未来内部收益率和直接阿尔法衡量的基金业绩的横截面离散度往往会增加,而不是减少。▪ 各种各样的市场和基金特定因素预测未来基金的业绩。其中包括迄今为止的分配、干粉、以前的基金业绩、基金规模、普通合伙人的筹资活动、以前的公开市场股票回报和信用利差。风险投资基金和收购基金的相关因素不同,并且可能在基金的生命周期内系统地变化。
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来源期刊
CiteScore
1.50
自引率
14.30%
发文量
40
期刊介绍: The Journal of Alternative Investments (JAI) provides you with cutting-edge research and expert analysis on managing investments in hedge funds, private equity, distressed debt, commodities and futures, energy, funds of funds, and other nontraditional assets. JAI is the official publication of the Chartered Alternative Investment Analyst Association (CAIA®). JAI provides you with challenging ideas and practical tools to: •Profit from the growth of hedge funds and alternatives •Determine the optimal mix of traditional and alternative investments •Measure and track portfolio performance •Manage your alternative investment portfolio with proven risk management practices
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