We study clustering of underlying investments across funds in public and alternative markets. Funds often invest in the same company or stock, and we study whether the amount of overlap is indicative of random or clustered investing and what that can tell us. We start with the simplest case, and...

The limited partners of a private equity (venture capital and buyout) fund need to rely on the fund manager's valuation of the company investments until the company is exited. We investigate how fund managers have valued their investments with respect to fund year and whether the fund managers...

As private equity is increasingly becoming part of the traditional investment world for institutional investors, banks, and high net worth individuals, its risk needs to be understood and managed like for any other asset class. Unfortunately, applying standard risk management techniques in...

Private equity fund-of-funds (FoF) investments are now contributing more than 10% of the capital to private equity, i.e. venture capital and buyout. However, their risk profile is not well understood due to the opaque and illiquid market, and the limited access to performance figures. FoFs need...

Private equity fund-of-funds (FoF) investments are now contributing more than 10% of the capital to private equity, i.e. venture capital and buyout. However, their risk profile is not well understood due to the opaque and illiquid market, and the limited access to performance figures. FoFs need...

Previous research on reporting and disclosure in private equity (buyout and venture capital) has primarily focused on describing the contractual clauses between portfolio company, fund manager and fund investor, and on explaining its origin in terms of more general economic concepts. In...

Private equity is a risky asset, but private equity investments not necessarily so. We look at the risk profile of each type of investment vehicle, and find clear differences. For example in venture capital, the probability of a total loss of capital invested is around 30% for direct...

Venture capital funds operate in an opaque and illiquid market, where standard risk models are not directly applicable. We here propose a framework for a risk model for venture capital funds and fund-of-funds. In a previous paper, we proposed a consistent framework for performance and liquidity...

Modelling venture capital funds is a challenge and has become more important due to recent and upcoming securitisation deals, the need for efficient portfolio management, and Basel II. Here, Thomas Meyer and Tom Weidig summarise the issues both industry and academia face, from estimation of past...

We propose a conceptually clear and consistent risk management tool for both performance and liquidity forecasting for venture capital funds. Its input is a factor on market conditions and a correction factor that is a judgment on the accuracy of the reported net asset value as the net present...