EDHEC Private Markets Quantitative Research Day
Organised by the EDHEC Infrastructure & Private Assets Research Institute, New York, 11 December 2024
This conference is the first event dedicated to quantitative research in private markets. It aims to bring together investment professionals who work with private asset classes from either a risk, valuation or investment standpoint, as well as c-suite executives who want to understand the risks and performance drivers of private markets and their role in the portfolio.
Over a day of presentations and discussions, this event delves into several key topics for private market quantitative analysis.
Morning - Private Markets: buy, sell or hold?
09:30-13:00
Morning sessions focus on measuring private market dynamics and manager outperformance.Session 1: Private Markets - buy, sell or hold?
This session explores the dynamics of private asset market prices using twenty years of deal data and a multi-factor approach to better understand why and when private asset prices change and how it can be measured to create robust, high-frequency, time-weighted private market indices.
- What makes private asset prices change? (systematic vs idiosyncratic risks)
- A robust asset pricing model
- Are private markets expensive?
Speaker: Frédéric Blanc-Brude, PhD Director, EDHEC Infra & Private Assets
Chair: Daniel J Murphy, MD, Goldman Sachs Asset Management
Session 2: Do private asset managers outperform private asset markets?
This session proposes to measure the outperformance of private asset fund managers relative to the private asset market and to distinguish between alpha created through asset allocation choices (sector tilts) and asset selection and improvements. It shows that alpha can be measured on a consistent basis and that it is not always positive.
- Beyond peer groups: comparing funds to the right market index
- The market beta and the alpha of private asset funds over time
- Persistence and comparison with other active managers
Speaker: Frédéric Blanc-Brude, PhD Director, EDHEC Infra & Private Assets
Chairs:Â
Barry Griffiths, Senior Advisor, Arctos Partners
Avi Turetsky, Partner, Head of Quantitative Research Group, Ares Management
Afternoon - Liquidity Solutions & Strategy Decsions
14:30-18:00
Afternoon sessions discuss quant approaches to current private investor headaches: liquidity and the denominator effect.Session 3: Alternative Liquidity Solutions
As investors in private assets develop new solutions to manage liquidity risk in times of lower exit volumes and distributions, this session considers what might go wrong with dividend recaps, continuation vehicles and LP-led secondaries and how crucial it is to measure risk to get the market value of private assets right at the right time.
- From secondaries to dividend recaps, the implications of getting the price wrong
- A more robust market price anchor for private assets
- Ensuring NAVs are not stale
Speaker:Â Srinivasan Selvam, Senior Researcher in Finance - Solutions, EDHEC Infra & Private Assets
Chair: Alex Dotov, Head of Alternatives Investment Risk Management, TIAA
Session 4: Private Asset Allocation - avoiding the denominator effect
Investors in private assets have been forced to sell at the worst time because the denominator effect. In this session, we consider the losses created by stale valuations amplifying this effect but also how to make better  allocation decision on the basis of market information which is neither smoothed not de-smoothed.
- The pitfalls of usuing smooth indices to measure allocations
- The costs of not marking private asset allocations to market
- A dynamic approach to invest better in private markets
Speaker:Â
Moataz Farid, Senior Quantitative Analyst, EDHEC Infra & Private Assets
Chair:
Anil Suri, Managing Director, Head of Asset Allocation and Portfolio Construction Analytics, Bank of America Corporation
Our Speakers
Managing Director, Goldman Sachs Asset Management
Senior Researcher in Finance - Solutions, EDHEC Infra & Private Assets
Partner and Head of the Quantitative Research Group, Ares Management
Senior Advisor, Arctos Partners
Senior Quantitative Analyst, EDHEC Infra & Private Assets
Managing Director, Head of Asset Allocation and Portfolio Construction Analytics, Bank of America Corporation
EVENT LOCATION
