There is a scarcity of good tools to analyze Alternative Investments in general and private equity markets in particular. To support our clients we continue to refine a suite of proprietary analytical tools and models. These include:
Models for alternative asset allocation
Multi-variable stochastic alternative asset models that help us customize private equity portfolios.
We use the traditional Markowitz mean-variance approach, the Treynor-Black
approach, modified Black-Litterman as well as variants of the Qian-Gorman
method.
We treat these as approaches for devising an overall public-private portfolio strategy for our clients.
Models for investing and funds analysis
Proprietary databases of historical performance and correlation metrics, which serve as input to our stochastic asset allocation models.
Models for drawdown, distribution & reinvestment risk control
Tools to Monte Carlo simulate commitments, drawdown, distributions, reinvestments and liquidations.
Models for performance measurement and benchmarking
Tools for performance analysis, time series and cross sectional peer group comparison, estimation methodologies for measurement error, alpha attribution and customized performance analysis.
Given the absence of standards and recognized benchmarks in the Alternative Investments space, fund investors often lack meaningful performance comparison metrics. We work with our clients to arrive at meaningful short and long-term comparison measures using multifactor models.
We bring in best practices in performance measurement and attribution from the Hedge Fund world to the private equity space. This allows us to isolate the effect of manager skill from market conditions
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