Nomura launches daily Investible Private Equity index
Nomura has launched the Nomura QES Modelled Private Equity Returns Index (Net) (PERI), a daily investible index which targets returns similar to those which may be achieved through a global broad-based investment in private equity buyout funds.
The PERI has been developed in collaboration with sub-adviser and quantitative think tank, Quantitative Equity Strategies and uses data provided by Preqin.
The index does not invest in buyout funds directly or indirectly but has been developed on a foundation of private equity research which suggests a substantial portion of private equity 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 model which uses financial algorithms to allocate on a weekly basis to these ‘public market equivalents’.
The long only index targets global private equity like returns but on a committed capital basis. 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.
Access is exclusively via Nomura, which will offer a variety of structured products (including optionality) on the index.
Matthew Peakman, managing director, head of Fund Derivatives Trading at Nomura said: “The PERI has been developed to address some of the limitations traditionally associated with private equity investing, including long term capital lock ups, high minimum investment sizes and infrequent reporting. With the PERI, we are capable of providing truly liquid products that target global buyout returns in a cost efficient way.”
The Prequin data covers over 6,000 funds and over 70% of all capital ever raised by the industry. The index is calculated daily by S&P Opco and published on Bloomberg NMQPERIN Index.