Documentos de Académico
Documentos de Profesional
Documentos de Cultura
The Importance of
Benchmarking
Preqin now offers PME
metrics that benchmark
fund performance against
public market indices while
accounting for fund cash
flow timings.
July 2015
Market Benchmarks
Preqin median
benchmarks, PrEQIn
Quarterly Index and
median net IRRs and
quartile boundaries for
All Private Equity as at 31
December 2014.
Cash Flow
A look at what Preqins
private equity Cash Flow
Data download offers.
Contents
The Importance of PME Benchmarking
Understanding the Shortness of LN PME - Philippe Jost (Capital Dynamics) and Philipp Stoll (Evoco)
PME Benchmarks
All Private Equity - All Geographies
10
11
12
13
14
Cash Flow
15
For more information, or to register for a demonstration of Performance Analyst, please visit:
www.preqin.com/pa
All rights reserved. The entire contents of Preqin Special Report: PME, June 2015 are the Copyright of Preqin Ltd. No part of this publication or any information contained in it may be copied, transmitted by any electronic means, or stored in
any electronic or other data storage medium, or printed or published in any document, report or publication, without the express prior written approval of Preqin Ltd. The information presented in PPreqin Special Report: PME, June 2015 is
for information purposes only and does not constitute and should not be construed as a solicitation or other offer, or recommendation to acquire or dispose of any investment or to engage in any other transaction, or as advice of any nature
whatsoever. If the reader seeks advice rather than information then he should seek an independent financial advisor and hereby agrees that he will not hold Preqin Ltd. responsible in law or equity for any decisions of whatever nature the
reader makes or refrains from making following its use of Preqin Special Report: PME, June 2015.
While reasonable efforts have been made to obtain information from sources that are believed to be accurate, and to confirm the accuracy of such information wherever possible, Preqin Ltd. does not make any representation or warranty
that the information or opinions contained in Preqin Special Report: PME, June 2015 are accurate, reliable, up-to-date or complete.
Although every reasonable effort has been made to ensure the accuracy of this publication Preqin Ltd. does not accept any responsibility for any errors or omissions within Preqin Special Report: PME, June 2015 or for any expense or other
loss alleged to have arisen in any way with a readers use of this publication.
Methodology
KS PME
(Kaplan-Schoar)
Metric
Private Equity
Outperformance if:
Ratio
Value > 1
Data Source
Preqins Private Equity Cash Flow
Download provides the ultimate
source of private equity fund cash
flow data, showing full cash flow
information for:
Description of Calculation
Strengths
Weaknesses
Easy to interpret.
LN PME
(Long-Nickels)
Annualized
Rate
IRR sensitive to
early distributions.
Large distributions
could cause a
negative PME final
period remaining
value, making PME
IRR calculation
computationally
impossible.
Annualized
Rate
Understanding the
Shortness of LN PME
- Philippe Jost, Capital Dynamics
- Philipp Stoll, Evoco
Measuring the performance of private equity
is challenging due to the irregular timing of
the cash flow. Internal rates of return (IRR)
and performance multiples are often-used
methods, with the latter being simpler and
relating the distributions to the investments.
While performance multiples have the
disadvantage of disregarding the time value
of money, the IRR takes it into account by
computing the equivalent rate at which the
present value of the investments is equal to
the present value of the distributions and
the NAV of the investment. Monitoring both,
the IRR and multiples, results in a good
absolute performance overview of a private
equity fund.
These performance measures are specific
to private equity (or more generally any
asset class that has irregular cash flows) and
allow a comparison between different funds.
Public benchmarking is the comparison of
private equity funds to public benchmarks
and is very important as it computes the
opportunity cost of investing in private equity
as compared to public equity.
Public Benchmarking of Private Equity
Capital
Calls
Dist.
NAV
Public Index
Public Shares
Owned
Public NAV
0
1
-1,000
1,000
100
10
1,000
560
600
112
560
-60
700
120
5.5
660
280
370
140
3.5
490
240
300
120
1.5
180
25%
20%
34.8%
15%
32.4%
LN PME is Short
10%
5%
0%
MSCI World
6.4%
S&P 500
Source: Capital Dynamics
2.
3.
50%
40%
PME+ Overperformance
1.
LN PME
PME+
Benchmark
OutUnderNot
OutUnderNot
Index
Performance Performance Calculable Performance Performance Calculable
MSCI World
366
350
36
400
352
0
S&P 500
303
401
48
352
400
0
30%
20%
LN PME Short
10%
0%
LN PME Not
Short
-10%
-20%
-30%
-40%
-50%
-50%
-10%
10%
30%
50%
LN PME Overperformance
Source: Capital Dynamics
-30%
2.
Capital Dynamics is an independent, global asset manager, investing in private equity and clean energy infrastructure. We
manage investments through a broad range of products and opportunities including separate account solutions, funds and
structured products. Capital Dynamics and all its affiliates have USD$19 billion in assets under discretionary management,
advisement and administration as of December 2014. The firms history goes back to 1988. Its 20 most senior investment
professionals have over 20 years of experience in private asset management on average. We believe our experience and culture
of innovation give us superior insight and help us deliver returns for our clients. We invest locally while operating globally from our
London, New York, Zug, Tokyo, Hong Kong, Silicon Valley, Munich, Birmingham, Seoul and Scottsdale offices.
PME Benchmarks
All Private Equity, All Geographies
KS PME
Fig. 3: KS PME: All Private Equity - All Regions (As of 31 December 2014)
1.3
1.2
1.1
KS PME Using
S&P 500 TR
1.0
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
2004
2003
2002
2001
0.9
2000
Vintage Year
Source: Preqin Performance Analyst
Fig. 4: PME+: All Private Equity - All Regions (As of 31 December 2014)
25
20
PME+ Using
S&P 500 TR
10
Preqin
Median Net
IRR
2011
2010
2009
2008
2007
2006
2005
2004
2003
2002
2001
2000
15
Vintage Year
Source: Preqin Performance Analyst
Fig. 5: LN PME: All Private Equity - All Regions (As of 31 December 2014)
25
20
LN PME Using
S&P 500 TR
15
10
Preqin
Median Net
IRR
2011
2010
2009
2008
2007
2006
2005
2004
2003
2002
2001
2000
Vintage Year
Source: Preqin Performance Analyst
PME Benchmarks
All Private Equity, North America
KS PME
Fig. 6: KS PME: All Private Equity - North America (As of 31 December 2014)
1.3
Unlike
the
all
geographies
benchmarks, 2007 and 2009 vintages
are already outperforming public
markets, while 2008 vintage funds
have equal performance.
1.2
1.1
KS PME Using
S&P 500 TR
2014
2013
2012
2011
2010
2009
2008
2007
20
15
PME+ Using
S&P 500 TR
10
Preqin Median
Net IRR
2011
2010
2009
2008
2007
2006
2005
2004
2000
2006
25
2003
2005
Fig. 7: PME+: All Private Equity - North America (As of 31 December 2014)
2002
2004
2003
Vintage Year
2002
0.9
2001
1.0
2001
2000
Vintage Year
Source: Preqin Performance Analyst
Fig. 8: LN PME: All Private Equity - North America (As of 31 December 2014)
Data Source
25
Preqin Median
Net IRR
2011
2010
2009
2008
2007
2006
2005
2004
2003
2002
2001
www.preqin.com/fim
10
2000
LN PME Using
S&P 500 TR
15
%
20
Vintage Year
Source: Preqin Performance Analyst
PME Benchmarks
All Private Equity, Europe
Compared to the MSCI Europe Total
Return index.
1.2
KS PME
Using MSCI
Europe TR
1.1
1.0
0.9
0.8
0.7
Fig. 10: PME+: All Private Equity - Europe (As of 31 December 2014)
20
18
16
PME+ Using
MSCI Europe TR
14
12
%
2014
2013
2012
2011
2010
2009
2008
2007
Vintage Year
2006
2005
0.6
2004
1.3
2003
1.4
2002
1.5
2000
1.6
*2001
KS PME
Preqin Median
Net IRR
10
8
2
2011
2010
2009
2008
2007
2006
2005
2004
2003
2002
**2001
2000
Vintage Year
Preqin
gathers
private
equity
performance data primarily from two
sources:
Fig. 11: LN PME: All Private Equity - Europe (As of 31 December 2014)
25
20
LN PME Using
MSCI Europe TR
15
www.preqin.com/sharedata
LN PME Using
S&P 500 TR
2011
2010
2009
2008
2007
2006
2005
***2004
2003
2002
0
***2001
Preqin Median
Net IRR
10
2000
Vintage Year
Source: Preqin Performance Analyst
PME Benchmarks
All Private Equity, Asia & Rest of World
0.9
0.7
KS PME Using
S&P 500 TR
0.5
2014
Fig. 13: PME+: All Private Equity - Asia & Rest of World (As of 31 December 2014)
25
20
PME+ Using
S&P 500 TR
15
%
2013
Vintage Year
PME+ LN PME
2012
2011
2010
2009
0.3
2008
1.1
2007
1.3
2005
Fig. 12: KS PME: All Private Equity - Asia & Rest of World (As of 31 December 2014)
2006
KS PME
10
Preqin
Median Net
IRR
0
2005
2006
2007
2008
2009
2010
2011
Vintage Year
Source: Preqin Performance Analyst
Fig. 14: LN PME: All Private Equity - Asia & Rest of World (As of 31 December 2014)
25
LN PME Using
S&P 500 TR
15
%
20
10
Preqin
Median Net
IRR
0
2005
2006
2007
2008
2009
2010
2011
Vintage Year
Source: Preqin Performance Analyst
PME Benchmarks
Buyout, All Geographies
1.6
1.3
1.1
1.0
2014
2013
2012
2011
2010
2009
2008
Vintage Year
Source: Preqin Performance Analyst
25
PME+ Using
Russell 3000
TR
20
15
Preqin
Median
Net IRR
10
5
2011
2010
2009
2008
2007
2006
2005
2004
2003
2000
Vintage Year
Data Source
2007
2006
2005
2004
0.9
KS PME
Using Russell
3000 TR
1.2
2003
1.4
2002
1.5
2002
1.7
2001
1.8
2000
2001
KS PME
15
10
Preqin
Median
Net IRR
2011
2010
2009
2008
2007
2006
2005
*2004
www.preqin.com/rcp
LN PME
Using
Russell 3000
TR
2003
20
Vintage Year
Source: Preqin Performance Analyst
10
PME Benchmarks
Venture Capital, All Geographies
KS PME
Fig. 18: KS PME: Venture Capital - All Regions (As of 31 December 2014)
1.7
0.9
0.7
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
2004
2003
2002
2001
2000
0.5
Vintage Year
Source: Preqin Performance Analyst
Fig. 19: PME+: Venture Capital - All Regions (As of 31 December 2014)
20
15
PME+ Using
Russell
2000 TR
10
Preqin
Median
Net IRR
2011
2010
2009
2008
2007
2006
2005
2004
2003
-5
2002
KS PME
Using Russell
2000 TR
2001
1.1
2000
1.3
1.5
Vintage Year
Fig. 20: LN PME: Venture Capital - All Regions (As of 31 December 2014)
20
15
LN PME
Using
Russell 2000
TR
10
%
Preqin
Median
Net IRR
2011
2010
2009
2008
2007
2006
2005
2004
2003
2002
2001
2000
-5
Vintage Year
Source: Preqin Performance Analyst
11
PME Benchmarks
Distressed Private Equity, All Geographies
1.4
0.9
2014
2013
2012
2011
2010
2009
2008
2007
2005
0.8
Vintage Year
Source: Preqin Performance Analyst
Fig. 22: PME+: Distressed Private Equity - All Regions (As of 31 December 2014)
25
20
PME+ Using
Russell 3000
TR
15
10
Preqin
Median Net
IRR
2011
2010
2009
1.1
1.0
KS PME
Using Russell
3000 TR
1.2
2008
1.3
2007
1.5
2006
1.6
Fig. 21: KS PME: Distressed Private Equity - All Regions (As of 31 December 2014)
2006
KS PME
Vintage Year
Source: Preqin Performance Analyst
Fig. 23: LN PME: Distressed Private Equity - All Regions (As of 31 December 2014)
Data Source
25
20
LN PME
Using
Russell 3000
TR
15
%
www.preqin.com/pa
2011
2010
2009
2008
2007
Preqin
Median
Net IRR
10
2006
Vintage Year
Source: Preqin Performance Analyst
12
PME Benchmarks
Fund of Funds, All Geographies
KS PME
Fig. 24: KS PME: Fund of Funds - All Regions (As of 31 December 2014)
1.4
1.2
1.1
KS PME Using
Russell 3000
TR
1.0
0.9
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
2004
2003
2002
2001
0.8
2000
1.3
Vintage Year
PME+ Using
Russell 3000
TR
15
10
Preqin
Median
Net IRR
2011
2010
2009
2008
2007
2006
2000
2005
20
2004
25
2003
Funds of funds with vintages 20042011 have smaller median net IRRs
than PME+ and LN PME values.
2002
Fig. 25: PME+: Fund of Funds - All Regions (As of 31 December 2014)
2001
Vintage Year
Source: Preqin Performance Analyst
Data Source
www.preqin.com/pa
LN PME
Using
Russell 3000
TR
15
10
Preqin
Median
Net IRR
-5
2011
2010
2009
2008
2007
2006
2005
2004
2003
2002
0
2001
20
*2000
Fig. 26: LN PME: Fund of Funds - All Regions (As of 31 December 2014)
Vintage Year
Source: Preqin Performance Analyst
13
Market Benchmarks
Fig. 27: Preqin Median Benchmarks: All Private Equity - All Regions (As of 31 December 2014)
Vintage
No. of
Funds
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
209
141
105
113
127
225
280
279
228
105
141
225
186
198
137
Median
Fund
Called
(%)
99.0
100.0
99.5
99.9
99.0
98.0
96.0
93.9
92.0
90.5
85.0
70.3
56.6
34.6
13.0
Q1
Median
Q3
Q1
Median
Q3
Q1
Median
Q3
Q1
Median
Q3
Max
Min
201.8
207.1
206.6
185.0
164.4
128.0
108.4
95.3
86.2
85.4
62.4
34.0
17.5
5.3
0.0
140.2
153.5
156.5
145.5
121.7
95.0
71.6
64.0
55.4
40.4
28.8
13.0
4.7
0.0
0.0
91.9
108.7
112.6
98.4
70.7
61.3
47.0
34.6
29.6
23.0
10.3
0.8
0.0
0.0
0.0
12.0
24.6
21.3
37.2
53.1
64.3
82.2
100.4
105.3
108.6
119.2
120.7
116.7
112.0
100.5
0.0
2.2
0.0
8.9
22.4
38.5
59.4
75.5
83.1
91.3
97.8
104.5
103.9
100.0
96.6
0.0
0.0
0.0
0.0
0.0
17.7
30.7
47.0
54.6
66.2
77.6
88.0
92.1
90.9
84.1
2.07
2.27
2.09
2.05
1.87
1.67
1.65
1.71
1.67
1.70
1.55
1.43
1.34
1.17
1.03
1.48
1.64
1.71
1.63
1.54
1.41
1.40
1.41
1.42
1.42
1.37
1.26
1.14
1.04
0.97
1.02
1.31
1.31
1.34
1.12
1.08
1.13
1.22
1.23
1.21
1.20
1.08
1.01
0.95
0.86
23.1
27.1
28.5
23.0
21.5
12.8
11.2
14.4
17.6
23.0
19.8
20.9
n/m
n/m
n/m
13.0
14.8
18.4
13.2
10.6
7.6
7.2
9.6
11.6
15.2
13.5
14.1
n/m
n/m
n/m
4.3
7.8
9.4
8.0
4.2
3.5
2.6
6.0
7.9
7.9
8.4
7.5
n/m
n/m
n/m
138.0
70.0
93.0
207.0
75.0
105.5
45.0
53.7
62.9
448.0
118.9
100.4
n/m
n/m
n/m
-96.0
-23.9
-47.2
-49.9
-26.0
-100.0
-100.0
-44.2
-39.2
-18.0
-7.8
-36.8
n/m
n/m
n/m
25
20
15
Median IRR
10
Bottom Quartile
IRR Boundary
2011
2010
2009
2008
2007
2006
2005
2004
2003
2002
2001
2000
Vintage Year
500
450
Buyout
400
350
Venture Capital
300
250
Real Estate
200
Fund of Funds
150
100
Distressed
Private Equity
50
S&P 500 TR
31-Dec-00
30-Sep-01
30-Jun-02
31-Mar-03
31-Dec-03
30-Sep-04
30-Jun-05
31-Mar-06
31-Dec-06
30-Sep-07
30-Jun-08
31-Mar-09
31-Dec-09
30-Sep-10
30-Jun-11
31-Mar-12
31-Dec-12
30-Sep-13
30-Jun-14
30
Fig. 28: All Private Equity - All Regions: Median Net IRRs and
Quartile Boundaries by Vintage Year (As of 31 December
2014)
For more information, or to register for a demonstration of Performance Analyst, please visit:
www.preqin.com/pa
14
CASH FLOW
Preqins Private Equity Cash Flow download is the industrys only
source of reliable cash flow data, allowing users to undertake
extensive financial modelling and gain a complete understanding
of how private equity fund returns evolve over time. The download
shows over 176,000 historical data points, including 90,456 cash flow
transactions and 85,591 historical NAVs, for over 2,900 private equity
funds of all types.
The download provides the ultimate source of private equity fund
cash flow data, showing full cash flow information for:
Horizon IRR
Buyout
15%
Venture Capital
Fund of Funds
10%
Mezzanine
Distressed
Private Equity
5%
0%
1 Year to
Sep 2014
3 Years to
Sep 2014
5 Years to 10 Years to
Sep 2014
Sep 2014
www.preqin.com/cashflow
alternative assets. intelligent data.
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private equity funds and performance details for over 7,500 individual named funds.
Examine fund terms
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terms that a private equity fund charges? What are the implications of making changes to
different fees? How do these fees vary between fund types and geographies?
Find out how Preqins range of private equity products and services can
help you:
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