Japanese investment bank Nomura has announced the US launch of its QES Modelled Private Equity Returns Index (PERI), an index for institutional investors looking for similiar returns to those achieved in the global buyout industry.
The index claims to be the first daily investible index for institutional investors, which targets returns akin to those which can be made through a global broad-based investment in private equity buyout funds on a committed capital basis.
The PERI has been developed in collaboration with Quantitative Equity Strategies (QES), a sub-adviser and quantitative think tank, and uses data provided by London-based alternative data outfit Preqin.
It does not invest in buyout funds directly or indirectly, but has been developed on a foundation of private equity research that suggests a substantial portion of buyout fund returns can be attained through an investment in the ‘public market equivalents’ of the private investments made by those funds.
The index implements this theory through a QES developed systematic model that uses financial algorithms, in large part underpinned by Preqin data, to allocate to these ‘public market equivalents’ on a weekly basis.
The PERI is a daily investible, long only index that targets global private equity-like returns but on a committed capital basis.
The overall performance is intended to target both the returns of capital actually invested in the private equity buyout fund universe as well as a risk free rate of return on the proportion of capital awaiting deployment.
Exposure to the PERI is obtained though Nomura, which offers a variety of structured products on the index.
“The PERI addresses some of the traditional challenges facing private equity investors such as long lock-ups and uncertainty around cash flows,” said Samir Patel , Co-Head of Equities Americas at Nomura, said in a statement.
“It can be especially useful in managing private equity allocations in investment portfolios.”
Nomura said the PERI is the first liquid private equity returns index of its kind, and the first investible index to use data from Preqin.
The index is calculated daily by S&P Opco, LLCTM and published on Bloomberg NMQPERI Index.
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