PitchBook年四季度分配器解决方案：PitchBook的私人资本回报晴雨表扩展套件（英）

QUANT RESEARCHAllocator SolutionsPITCHBOOK’S EXPANDED SUITE OF PRIVATE CAPITAL RETURN BAROMETERSQ420242Institutional Research GroupAnalysisContentsQ4 2024 ALLOCATOR SOLUTIONSPitchBook Data, Inc.Nizar Tarhuni Executive Vice President of Research and Market IntelligenceDaniel Cook, CFA Head of Quantitative Researchpbinstitutionalresearch@pitchbook.comPublished on October 4, 2024Click here for PitchBook’s report methodologies.PublishingReport designed by Chloe LadwigOverview3Gauging the current return environment 4Barometers in action7Fundamental expectations vs. reported returns 10Appendix12Nathan Schwartz, CFA Quantitative Research Analyst nathan.schwartz@pitchbook.comZane Carmean, CFA, CAIA Lead Analyst, Quantitative and Funds Research zane.carmean@pitchbook.comAndrew Akers, CFA Senior Quantitative Research Analyst andrew.akers@pitchbook.com3Q4 2024 ALLOCATOR SOLUTIONSOVERVIEWOverview1: The PitchBook Private Capital Return Barometer readings are available two quarters prior to the nonpreliminary data in the PitchBook Benchmarks Reports. 2: The recalibration to a 0 to 100 scale is achieved through a winsorized minimum-maximum normalization of the raw Barometer score. In this process, any Barometer score that falls below -1.5 standard deviations is adjusted to 0, while any score above +1.5 standard deviations is adjusted to 100. Scores that fall within this range are scaled proportionally between 0 and 100. The mechanics of private market returns are much slower and less visible than those of their public market counterparts. Beyond maintaining an active private market allocation and receiving updates from GPs on current marks, private market participants typically need to wait several months for closed-end funds to report performance to get a clearer, more comprehensive view of private market returns. And even then, fund net asset values (NAVs) and returns can be slow to react to changes in the macroeconomic environment. To address this reporting lag and offer a more real-time estimate of PE returns, we developed a factor-based framework that became the PE Barometer.1 The Barometer produces a single score that quantifies the state of the current closed-end fund return environment for US-based funds and allows us to surface implied quarterly returns, or “nowcasts,” based on market fundamentals.Now, we are refining the methodology and expanding the PitchBook Barometers beyond PE to cover VC, private debt, infrastructure, and natural resources —collectively referred to as the PitchBook Private Capital Return Barometers, or “Barometers” for short. Expanding the Barometer framework will offer a more complete view of the current returns landscape across US private markets. The framework consists of a simple linear regression that takes in fundamental indicators as inputs and outputs a Barometer score that we recalibrate to a 0 to 100 scale,2 where 50 represents a neutral expectation of average returns. The indicators used in our methodology fall into