SESSION A (60-minutes): Private market dynamics: systematic factors vs. idiosyncratic noise in the formation of private asset prices (the cases of private equity and private infrastructure)

A key question in studying private markets is whether there are specific elements that regularly influence the prices of private assets, rather than these prices changing randomly. This research looks into how various factors like profitability, debt levels, and company size affect asset prices in sectors and countries over time. The study particularly examines how these elements affect the buying and selling prices in private equity and infrastructure markets. The findings suggest that these factors do play a significant role and help in understanding and predicting the behavior of private market prices. These findings provide a rationale for modelling private market dynamics.  

• What factors explain the evolution of private asset prices
• The different dynamics of private equity and private infrastructure markets
• Implications of the existence of systematic risk in private markets

Q&A with the audience

 SESSION B (60-minutes): Issues with reported data in private investments

This session discusses why using raw transaction data or current appraisals is not effective for studying private markets. Instead, it suggests that the best approach is to model asset prices directly. This is because private markets have far fewer transactions compared to public markets, making it hard to get precise average prices from transaction data alone. The session also looks at how private appraisals are made and shows through a review of private fund annual reports that the valuations reported often do not reflect real market trends or fair market values.

• How much raw deal data is there and is it ever enough?
• What do private asset appraisals reported by fund managers consist of?
• What would reporting fair value on an ongoing basis require?

Q&A with the audience

SESSION C (60-minutes): Building comparables and benchmarks with quantitative analysis

This session expands on earlier discussions about private market behavior, focusing on how to develop a reliable, time-varying pricing model, based on actual transaction values. This model can then generate a wide range of shadow prices, allowing for the combination of different market segments, geographical areas, or business models, while maintaining a sufficient data volume. Because this model is accurate in predicting average prices and individual pricing errors are minimised through diversification, it enables the creation of comparable market values and continuously updated market indices. 

• Measuring the market price of risk using recent transactions
• Shadow pricing the universe with precision at the segment level
• Solving the stale NAV problem: dynamics valuation anchors

Q&A with the audience