Kooperativer Bibliotheksverbund

UID:

Umfang: 1 online resource (xiv, 302 pages) : , illustrations

ISBN: 9781394159635 , 1394159633 , 9781394159628 , 1394159625 , 9781394159611 , 1394159617

Serie: Wiley finance series

Inhalt: "While many books have been written on private equity, they tend to focus on the exciting aspects of this market -- deals, their structures, the personalities involved, statistics on stellar successes and the occasional spectacular flop. For a long time, due diligence and selection was seen to be everything' but with the market maturing and no shortage of experienced professionals, selection skills have ceased to the driver of investment success. There are still surprisingly few works that look at the processes institutional investors follow and the portfolio and risk management methodologies needed for creating value with illiquid alternative assets. Considering how much money has been flowing into illiquid alternative assets in recent years, the term alternative' increasingly looks like a misnomer. Private assets -- notably private equity, infrastructure, and real-estate -- have become an accepted and even necessary part of an institutional investment portfolio. Historically, allocations to such assets were immaterial and often experimental, and rarely justified developing the portfolio and risk tools that investors would normally rely on when designing and implementing their investment strategies. Today, however, these allocations are no longer immaterial, yet many investors still follow approaches to managing portfolios of illiquid assets that remain relatively unsophisticated and poorly adapted to the task"--

Weitere Ausg.: Print version: Meyer, Thomas C. Art of commitment pacing Hoboken, NJ : Wiley, 2024 ISBN 9781394159604

Sprache: Englisch

URL: https://onlinelibrary.wiley.com/doi/book/10.1002/9781394159635

URL: https://onlinelibrary.wiley.com/doi/book/10.1002/9781394159635

URL: https://onlinelibrary.wiley.com/doi/book/10.1002/9781394159635

UID:

Umfang: 1 Online-Ressource (xiv, 302 Seiten) , Illustrationen, Diagramme

ISBN: 9781394159611 , 9781394159635 , 9781394159628

Serie: Wiley finance series

Inhalt: "While many books have been written on private equity, they tend to focus on the exciting aspects of this market -- deals, their structures, the personalities involved, statistics on stellar successes and the occasional spectacular flop. For a long time, due diligence and selection was seen to be everything' but with the market maturing and no shortage of experienced professionals, selection skills have ceased to the driver of investment success. There are still surprisingly few works that look at the processes institutional investors follow and the portfolio and risk management methodologies needed for creating value with illiquid alternative assets. Considering how much money has been flowing into illiquid alternative assets in recent years, the term alternative' increasingly looks like a misnomer. Private assets -- notably private equity, infrastructure, and real-estate -- have become an accepted and even necessary part of an institutional investment portfolio. Historically, allocations to such assets were immaterial and often experimental, and rarely justified developing the portfolio and risk tools that investors would normally rely on when designing and implementing their investment strategies. Today, however, these allocations are no longer immaterial, yet many investors still follow approaches to managing portfolios of illiquid assets that remain relatively unsophisticated and poorly adapted to the task"--

Anmerkung: Includes bibliographical references and index

Weitere Ausg.: ISBN 9781394159604

Weitere Ausg.: Erscheint auch als Druck-Ausgabe Meyer, Thomas, 1959 - The art of commitment pacing West Sussex, UK : Wiley, 2024 ISBN 9781394159604

Sprache: Englisch

URL: lizenzpflichtig

URL: Inhaltsverzeichnis

UID:

Umfang: 1 Online-Ressource (319 Seiten)

Ausgabe: 1st ed

ISBN: 9781394159628

Serie: The Wiley Finance Series

Anmerkung: Description based on publisher supplied metadata and other sources , Cover -- Title Page -- Copyright Page -- Contents -- Acknowledgements -- Chapter 1 Introduction -- Scope of the book -- Quick glossary -- The challenge of private capital -- Risk and uncertainty -- Why do we need commitment pacing? -- Illiquidity -- The siren song of the secondary market -- How does commitment pacing work? -- Significant allocations needed -- Multi-asset-class allocations -- Intra-asset-class diversification -- Engineering a resilient portfolio -- Organisation of the book -- Notes -- Chapter 2 Institutional Investing in Private Capital -- Limited partnerships -- Structure -- Criticism -- Costs of intermediation -- Inefficient fund raising -- Addressing uncertainty -- Conclusion -- Notes -- Chapter 3 Exposure -- Exposure definition -- Layers of investment -- Net asset value -- Undrawn commitments -- Commitment risk -- Timing -- Classification -- Exposure measures - LP's perspective -- Commitment -- Commitment minus capital repaid -- Repayment-age-adjusted commitment -- Exposure measures - fund manager's perspective -- IPEV NAV -- IPEV NAV plus uncalled commitments -- Repayment-age-adjusted accumulated contributions -- Summary and conclusion -- Notes -- Chapter 4 Forecasting Models -- Bootstrapping -- Machine learning -- Takahashi-Alexander model -- Model dynamics -- Strengths and weaknesses -- Variations and extensions -- Stochastic models -- Stochastic modelling of contributions, distributions, and NAVs -- Comparison -- Conclusion -- Notes -- Chapter 5 Private Market Data -- Fund peer groups -- Organisation of benchmarking data -- Bailey criteria -- Data providers -- Business model -- Public route -- Voluntary provision -- Problem areas -- Biases -- Survivorship bias -- Survivorship bias in private markets -- Impact -- Conclusion -- Notes -- Chapter 6 Augmented TAM - Outcome Model -- From TAM to stochastic forecasts , Use cases for stochastic cash-flow forecasts -- Funding risk -- Market risk -- Liquidity risk -- Capital risk -- Model architecture -- Outcome model -- Pattern model -- Portfolio model -- System considerations -- Semi-deterministic TAM -- Adjusting ranges for lifetime and TVPI -- Ranges for fund lifetimes -- Ranges for fund TVPIs -- Picking samples -- Constructing PDF for TVPI based on private market data -- A1*TAM results -- Notes -- Chapter 7 Augmented TAM - Pattern Model -- A2*TAM -- Reactiveness of model -- Model overview -- Changing granularity -- Injecting randomness -- Setting frequency of cash flows -- Setting volatility for contributions -- Setting volatility for distributions -- Scaling and re-picking cash-flow samples -- Convergence A2*TAM to TAM -- Split cash flows in components -- Fees -- Fixed returns -- Cash-flow-consistent NAV -- Principal approach -- First contributions, then distributions -- Forward pass -- Backward pass -- Combination -- Summary -- Notes -- Chapter 8 Modelling Avenues into Private Capital -- Primary commitments -- Modelling fund strategies -- Parameter as suggested by Takahashi and Alexander (2002) -- Further findings on parameters -- Basing parameters on comparable situations -- Funds of funds -- Secondary buys -- Secondary FOFs -- Co-investments -- Basic approach -- Co-investment funds -- Syndication -- Side funds -- Impact on portfolio -- Notes -- Chapter 9 Modelling Diversification for Portfolios of Limited Partnership Funds -- The LP diversification measurement problem -- Fund investments -- Diversification or skills? -- Aspects of diversification -- A (non-ESG-compliant) analogy -- Commitment efficiency -- Exposure efficiency -- Outcome assessment -- Diversifying commitments -- Assigning funds to clusters -- Diversification dimensions -- Self-proclaimed definitions -- Market practices , The importance of diversification over vintage years -- Other dimensions and their impact on risks -- Include currencies? -- Definitions -- Styles -- Classification groups -- Style drifts -- Robustness of classification schemes -- Modelling Vintage year impact -- Commitment efficiency -- Importance of clusters -- Partitioning into clusters -- Measurement approach -- Remarks -- Mobility barriers -- Similarity is a measure for barriers to switching between classes -- Similarity is not correlation -- Is there an optimum diversification? -- How many funds? -- Costs of diversification -- How to set a 'satisficing' number of funds? -- Portfolio impact -- Commitment efficiency timeline -- Portfolio-level forecasts -- Appendix A - Determining similarities -- Appendix B - Geographical similarities -- Geographical diversification for private capital -- Regional groups -- Trade blocs -- Transport way connection -- Language barriers -- Limits to geography as diversifier -- Appendix C - Multi-strategies and others -- Appendix D - Industry sector similarities -- Appendix E - Strategy similarities -- Appendix F - Fund management firm similarities -- Appendix G - Investment stage similarities -- Appendix H - Fund size similarities -- Notes -- Chapter 10 Model Input Data -- Categorical input data -- Perceptions -- Regulation -- Risk managers -- Can data be objective? -- Moving from weak to strong data -- Notes -- Chapter 11 Fund Rating/Grading -- Private capital funds and ratings -- Fiduciary ratings -- Fund rankings -- Internal rating systems -- Further literature -- Private capital fund gradings -- Scope and limitations -- Selection skill model -- Assumptions for grading -- Prototype fund grading system -- Ex-ante weights -- Expectation grades -- Risk grades -- Quantification -- Notes -- Chapter 12 Qualitative Scoring -- Objectives and scope -- Relevant dimensions , Investment style -- Management team -- Fund terms -- Liquidity and exits -- Incentive structure -- Alignment and conflicts of interest -- Independence of decision-making -- Viability -- Confirmation -- Scoring method -- Tallying -- Researching practices -- Ex-post monitoring -- Assigning grades -- Appendix - Search across several private market data providers -- Interoperability -- Matching -- Notes -- Chapter 13 Quantification Based on Fund Grades -- Grading process -- Quartiling -- Quantiles -- Quartiling -- Approach -- Example - how tall will she be? -- Probabilistic statement -- Controlling convergence -- LP selection skills -- Impact of risk grade -- TVPI sampling -- Notes -- Chapter 14 Bottom-up Approach to Forecasting -- Look-through -- Regulation -- Fund ratings -- Look-through in practice -- Bottom-up -- Stochastic bottom-up models -- Machine-learning-based bottom-up models -- Overrides -- Investment intelligence -- Advantages and restrictions -- Treatment as exceptions -- Integration of overrides in forecasts by a top-down model -- Probabilistic bottom-up -- Expert knowledge for probability density functions? -- Estimating ranges -- Combining top-down with bottom-up -- Notes -- Chapter 15 Commitment Pacing -- Defining a pacing plan -- Pacing phases -- Ramp-up phase -- Maintenance phase -- Ramp-down phase -- Controlling allocations -- Simulating the pacing plan -- Ratio-based commitment rules -- Dynamic commitments -- Pacing plan outcomes -- 'Slow and steady' -- Accelerated pacing plan -- Liquidity constraints -- Impact on cash-flow profile -- Impact of commitment types -- Maintenance phase -- Recommitments -- Target NAV -- Cash-flow matching -- Additional objectives and constraints -- Commit to high-quality funds -- Achieve intra-asset diversification -- Minimise opportunity costs -- Satisficing portfolios -- Conclusion -- Notes , Chapter 16 Stress Scenarios -- Make forecasts more robust -- Communication -- Specific to portfolio -- Impact of 'Black Swans' -- Interest rates and inflationary periods -- Modelling crises -- Delay of new commitments -- Changes in contribution rates -- Changes in distributions -- NAV impact and secondary transactions -- Lessons -- Building stress scenarios -- Market replay -- Varying outcomes -- Foreign exchange rates -- Varying portfolio dependencies -- Increasing and decreasing outcome dependencies -- Increasing and decreasing cash-flow dependencies -- Blanking out periods of distributions -- Varying patterns -- Stressing commitments -- Extending and shortening of fund lifetimes -- Front-loading and back-loading of cash flows -- Foreign exchange rates and funding risk -- Increasing and decreasing frequency of cash flows -- Increasing and decreasing volatility of cash flows -- Conclusion -- Notes -- Chapter 17 The Art of Commitment Pacing -- Improved information technology -- Direct investments -- Use of artificial intelligence -- Risk of Private Equity -- Securitisations -- Judgement, engineering, and art -- Notes -- Abbreviations -- Glossary -- Biography -- Bibliography -- Index -- EULA.

Weitere Ausg.: Erscheint auch als Druck-Ausgabe Meyer, Thomas The Art of Commitment Pacing Newark : John Wiley & Sons, Incorporated,c2024 ISBN 9781394159604

Sprache: Englisch