私募股权基金的私募基准

IF 0.4 Q4 BUSINESS, FINANCE

Journal of Alternative Investments Pub Date : 2023-06-19 DOI:10.3905/jai.2023.1.192

Christian Tausch, Markus J. Rieder, Philipp Abel

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引用次数: 0

摘要

私募股权（PE）基金，或者更广泛地说，私人资本基金，可以与公共或私人替代基金进行比较。学术文献通常只关注公众。在这篇文章中，作者研究了超越传统“四分位数排名”的更严格的私人同行群体基准测试方法。他们主要关注统计和确定性模型，用于（1）同行群体数据增强，（2）处理非常小的同行群体，（3）基于模拟的投资组合聚合，以及（4）最大多样化私人基准的概念。最终，他们讨论为私人资本投资组合获得更有意义的私人基准。

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Private Benchmarking for Private Equity Funds

Private equity (PE) funds, or more broadly private capital funds, can be benchmarked against public or private alternatives. Academic literature usually focuses exclusively on the public side. In this article, the authors investigate more-rigorous private peer group benchmarking methods beyond traditional “quartile ranking.” They focus mainly on both statistical and deterministic models for (1) peer group data enhancement, (2) handling very small peer groups, (3) simulation-based portfolio aggregation, and (4) the notion of maximum diversified private benchmarks. Ultimately, they discuss obtaining more-meaningful private benchmarks for a private capital portfolio.

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来源期刊

Journal of Alternative Investments BUSINESS, FINANCE-

CiteScore

1.50

自引率

14.30%

发文量

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