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20260629144309.0 |
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260629t20242024enka ob 001 0 eng |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9781394159604 |
| Qualifying information |
hardcover |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9781394159635 |
| Qualifying information |
electronic book |
| 041 ## - LANGUAGE CODE |
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| Language code of text/sound track or separate title |
eng |
| 042 ## - AUTHENTICATION CODE |
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| Authentication code |
pcc |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER |
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| Classification number |
HG4529.5 |
| Item number |
.M488 2024 |
| 082 00 - DEWEY DECIMAL CLASSIFICATION NUMBER |
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| Classification number |
332.6 |
| Edition number |
23/eng/20240501 |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
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| Preferred name for the person |
Meyer, Thomas C. |
| Titles and other words associated with a name |
(Investment advisor), |
| Relator term |
author. |
| 245 14 - TITLE STATEMENT |
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| Title |
The art of commitment pacing : |
| Remainder of title |
engineering allocations to private capital / |
| Statement of responsibility, etc |
Thomas Meyer. |
| 264 #1 - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) |
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| Place of publication, distribution, etc |
West Sussex, UK ; |
| -- |
Hoboken, NJ : |
| Name of publisher, distributor, etc |
John Wiley & Sons, |
| Date of publication, distribution, etc |
2024. |
| 264 #4 - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) |
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| Date of publication, distribution, etc |
©2024 |
| 300 ## - PHYSICAL DESCRIPTION |
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| Extent |
1 online resource ( xiv, 302 pages) : |
| Other physical details |
illustrations |
| 336 ## - CONTENT TYPE |
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| Content type term |
text |
| Content type code |
txt |
| Source |
rdacontent |
| 337 ## - MEDIA TYPE |
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| Media type term |
computer |
| Media type code |
c |
| Source |
rdamedia |
| 338 ## - CARRIER TYPE |
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| Carrier type term |
online resource |
| Carrier type code |
cr |
| Source |
rdacarrier |
| 490 1# - SERIES STATEMENT |
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| Series statement |
Wiley finance series |
| 504 ## - BIBLIOGRAPHY, ETC. NOTE |
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| Bibliography, etc |
Includes bibliographical references and index. |
| 505 0# - CONTENTS |
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| Miscellaneous information |
Table of Contents<br/>Acknowledgments xiii<br/><br/>Chapter 1 Introduction 1<br/><br/>Scope of the book 1<br/><br/>Quick glossary 2<br/><br/>The challenge of private capital 2<br/><br/>Risk and uncertainty 3<br/><br/>Why do we need commitment pacing? 4<br/><br/>Illiquidity 4<br/><br/>The siren song of the secondary market 4<br/><br/>How does commitment pacing work? 5<br/><br/>Significant allocations needed 7<br/><br/>Multi‐asset‐class allocations 8<br/><br/>Intra‐asset‐class diversification 8<br/><br/>Engineering a resilient portfolio 9<br/><br/>Organisation of the book 10<br/><br/>Chapter 2 Institutional Investing in Private Capital 15<br/><br/>Limited partnerships 15<br/><br/>Structure 16<br/><br/>Criticism 18<br/><br/>Costs of intermediation 18<br/><br/>Inefficient fund raising 18<br/><br/>Addressing uncertainty 19<br/><br/>Conclusion 19<br/><br/>Chapter 3 Exposure 21<br/><br/>Exposure definition 21<br/><br/>Layers of investment 23<br/><br/>Net asset value 23<br/><br/>Undrawn commitments 24<br/><br/>Commitment risk 24<br/><br/>Timing 24<br/><br/>Classification 25<br/><br/>Exposure measures – LP’s perspective 25<br/><br/>Commitment 26<br/><br/>Commitment minus capital repaid 26<br/><br/>Repayment‐age‐adjusted commitment 27<br/><br/>Exposure measures – fund manager’s perspective 28<br/><br/>Ipev Nav 28<br/><br/>IPEV NAV plus uncalled commitments 29<br/><br/>Repayment‐age‐adjusted accumulated contributions 30<br/><br/>Summary and conclusion 31<br/><br/>Chapter 4 Forecasting Models 37<br/><br/>Bootstrapping 37<br/><br/>Machine learning 38<br/><br/>Takahashi–Alexander model 40<br/><br/>Model dynamics 40<br/><br/>Strengths and weaknesses 46<br/><br/>Variations and extensions 47<br/><br/>Stochastic models 49<br/><br/>Stochastic modelling of contributions, distributions, and NAVs 49<br/><br/>Comparison 50<br/><br/>Conclusion 51<br/><br/>Chapter 5 Private Market Data 53<br/><br/>Fund peer groups 53<br/><br/>Organisation of benchmarking data 53<br/><br/>Bailey criteria 54<br/><br/>Data providers 55<br/><br/>Business model 55<br/><br/>Public route 55<br/><br/>Voluntary provision 56<br/><br/>Problem areas 56<br/><br/>Biases 57<br/><br/>Survivorship bias 57<br/><br/>Survivorship bias in private markets 58<br/><br/>Impact 58<br/><br/>Conclusion 59<br/><br/>Chapter 6 Augmented TAM – Outcome Model 61<br/><br/>From TAM to stochastic forecasts 61<br/><br/>Use cases for stochastic cash‐flow forecasts 62<br/><br/>Funding risk 62<br/><br/>Market risk 65<br/><br/>Liquidity risk 65<br/><br/>Capital risk 66<br/><br/>Model architecture 66<br/><br/>Outcome model 67<br/><br/>Pattern model 67<br/><br/>Portfolio model 68<br/><br/>System considerations 68<br/><br/>Semi‐deterministic TAM 68<br/><br/>Adjusting ranges for lifetime and TVPI 70<br/><br/>Ranges for fund lifetimes 71<br/><br/>Ranges for fund TVPIs 73<br/><br/>Picking samples 76<br/><br/>Constructing PDF for TVPI based on private market data 78<br/><br/>A1*TAM results 82<br/><br/>Chapter 7 Augmented TAM – Pattern Model 85<br/><br/>A2*tam 86<br/><br/>Reactiveness of model 86<br/><br/>Model overview 87<br/><br/>Changing granularity 89<br/><br/>Injecting randomness 89<br/><br/>Setting frequency of cash flows 90<br/><br/>Setting volatility for contributions 92<br/><br/>Setting volatility for distributions 94<br/><br/>Scaling and re‐ picking cash‐ flow samples 94<br/><br/>Convergence A2*TAM to TAM 95<br/><br/>Split cash flows in components 97<br/><br/>Fees 98<br/><br/>Fixed returns 102<br/><br/>Cash‐ flow‐ consistent NAV 103<br/><br/>Principal approach 103<br/><br/>First contributions, then distributions 103<br/><br/>Forward pass 104<br/><br/>Backward pass 104<br/><br/>Combination 104<br/><br/>Summary 105<br/><br/>Chapter 8 Modelling Avenues into Private Capital 109<br/><br/>Primary commitments 109<br/><br/>Modelling fund strategies 110<br/><br/>Parameter as suggested by Takahashi and Alexander (2002) 110<br/><br/>Further findings on parameters 113<br/><br/>Basing parameters on comparable situations 113<br/><br/>Funds of funds 114<br/><br/>Secondary buys 114<br/><br/>Secondary FOFs 116<br/><br/>Co‐investments 118<br/><br/>Basic approach 118<br/><br/>Co‐investment funds 119<br/><br/>Syndication 119<br/><br/>Side funds 119<br/><br/>Impact on portfolio 120<br/><br/>Chapter 9 Modelling Diversification for Portfolios of Limited Partnership Funds 123<br/><br/>The LP diversification measurement problem 123<br/><br/>Fund investments 124<br/><br/>Diversification or skills? 124<br/><br/>Aspects of diversification 125<br/><br/>A (non‐ESG‐compliant) analogy 125<br/><br/>Commitment efficiency 126<br/><br/>Exposure efficiency 126<br/><br/>Outcome assessment 126<br/><br/>Diversifying commitments 127<br/><br/>Assigning funds to clusters 127<br/><br/>Diversification dimensions 128<br/><br/>Self‐proclaimed definitions 128<br/><br/>Market practices 128<br/><br/>The importance of diversification over vintage years 129<br/><br/>Other dimensions and their impact on risks 129<br/><br/>Include currencies? 130<br/><br/>Definitions 131<br/><br/>Styles 131<br/><br/>Classification groups 132<br/><br/>Style drifts 133<br/><br/>Robustness of classification schemes 133<br/><br/>Modelling vintage year impact 134<br/><br/>Commitment efficiency 135<br/><br/>Importance of clusters 135<br/><br/>Partitioning into clusters 136<br/><br/>Measurement approach 137<br/><br/>Remarks 139<br/><br/>Mobility barriers 139<br/><br/>Similarity is a measure for barriers to switching between classes 140<br/><br/>Similarity is not correlation 140<br/><br/>Is there an optimum diversification? 141<br/><br/>How many funds? 141<br/><br/>Costs of diversification 141<br/><br/>How to set a ‘satisficing’ number of funds? 143<br/><br/>Portfolio impact 143<br/><br/>Commitment efficiency timeline 143<br/><br/>Portfolio‐level forecasts 143<br/><br/>Appendix A – Determining similarities 145<br/><br/>Appendix B – Geographical similarities 146<br/><br/>Geographical diversification for private capital 146<br/><br/>Regional groups 146<br/><br/>Trade blocs 147<br/><br/>Transport way connection 148<br/><br/>Language barriers 148<br/><br/>Limits to geography as diversifier 148<br/><br/>Appendix C – Multi‐strategies and others 149<br/><br/>Appendix D – Industry sector similarities 149<br/><br/>Appendix E – Strategy similarities 149<br/><br/>Appendix F – Fund management firm similarities 150<br/><br/>Appendix G – Investment stage similarities 151<br/><br/>Appendix H – Fund size similarities 152<br/><br/>Chapter 10 Model Input Data 155<br/><br/>Categorical input data 155<br/><br/>Perceptions 156<br/><br/>Regulation 156<br/><br/>Risk managers 157<br/><br/>Can data be objective? 157<br/><br/>Moving from weak to strong data 158<br/><br/>Chapter 11 Fund Rating/Grading 161<br/><br/>Private capital funds and ratings 161<br/><br/>Fiduciary ratings 161<br/><br/>Fund rankings 162<br/><br/>Internal rating systems 162<br/><br/>Further literature 163<br/><br/>Private capital fund gradings 163<br/><br/>Scope and limitations 163<br/><br/>Selection skill model 164<br/><br/>Assumptions for grading 165<br/><br/>Prototype fund grading system 165<br/><br/>Ex‐ante weights 166<br/><br/>Expectation grades 166<br/><br/>Risk grades 169<br/><br/>Quantification 171<br/><br/>Chapter 12 Qualitative Scoring 173<br/><br/>Objectives and scope 173<br/><br/>Relevant dimensions 174<br/><br/>Investment style 175<br/><br/>Management team 176<br/><br/>Fund terms 177<br/><br/>Liquidity and exits 178<br/><br/>Incentive structure 178<br/><br/>Alignment and conflicts of interest 180<br/><br/>Independence of decision‐making 181<br/><br/>Viability 181<br/><br/>Confirmation 182<br/><br/>Scoring method 183<br/><br/>Tallying 183<br/><br/>Researching practices 184<br/><br/>Ex‐post monitoring 184<br/><br/>Assigning grades 185<br/><br/>Appendix – Search across several private market data providers 186<br/><br/>Interoperability 186<br/><br/>Matching 187<br/><br/>Chapter 13 Quantification Based on Fund Grades 191<br/><br/>Grading process 191<br/><br/>Quartiling 191<br/><br/>Quantiles 192<br/><br/>Quartiling 193<br/><br/>Approach 194<br/><br/>Example – how tall will she be? 195<br/><br/>Probabilistic statement 196<br/><br/>Controlling convergence 196<br/><br/>LP selection skills 198<br/><br/>Impact of risk grade 201<br/><br/>TVPI sampling 203<br/><br/>Chapter 14 Bottom- up Approach to Forecasting 205<br/><br/>Look‐ through 205<br/><br/>Regulation 205<br/><br/>Fund ratings 206<br/><br/>Look‐ through in practice 206<br/><br/>Bottom‐ up 207<br/><br/>Stochastic bottom‐ up models 207<br/><br/>Machine‐ learning‐ based bottom‐ up models 207<br/><br/>Overrides 208<br/><br/>Investment intelligence 208<br/><br/>Advantages and restrictions 208<br/><br/>Treatment as exceptions 209<br/><br/>Integration of overrides in forecasts by a top‐ down model 209<br/><br/>Probabilistic bottom‐ up 211<br/><br/>Expert knowledge for probability density functions? 212<br/><br/>Estimating ranges 212<br/><br/>Combining top‐ down with bottom‐ up 214<br/><br/>Chapter 15 Commitment Pacing 217<br/><br/>Defining a pacing plan 217<br/><br/>Pacing phases 218<br/><br/>Ramp‐up phase 219<br/><br/>Maintenance phase 219<br/><br/>Ramp‐down phase 220<br/><br/>Controlling allocations 221<br/><br/>Simulating the pacing plan 221<br/><br/>Ratio‐based commitment rules 222<br/><br/>Dynamic commitments 222<br/><br/>Pacing plan outcomes 222<br/><br/>‘Slow and steady’ 223<br/><br/>Accelerated pacing plan 223<br/><br/>Liquidity constraints 224<br/><br/>Impact on cash‐flow profile 224<br/><br/>Impact of commitment types 225<br/><br/>Maintenance phase 228<br/><br/>Recommitments 229<br/><br/>Target NAV 229<br/><br/>Cash‐flow matching 230<br/><br/>Additional objectives and constraints 231<br/><br/>Commit to high‐quality funds 231<br/><br/>Achieve intra‐asset diversification 231<br/><br/>Minimise opportunity costs 233<br/><br/>Satisficing portfolios 233<br/><br/>Conclusion 234<br/><br/>Chapter 16 Stress Scenarios 235<br/><br/>Make forecasts more robust 235<br/><br/>Communication 235<br/><br/>Specific to portfolio 236<br/><br/>Impact of ‘Black Swans’ 236<br/><br/>Interest rates and inflationary periods 237<br/><br/>Modelling crises 238<br/><br/>Delay of new commitments 238<br/><br/>Changes in contribution rates 238<br/><br/>Changes in distributions 239<br/><br/>NAV impact and secondary transactions 240<br/><br/>Lessons 240<br/><br/>Building stress scenarios 241<br/><br/>Market replay 241<br/><br/>Varying outcomes 242<br/><br/>Foreign exchange rates 244<br/><br/>Varying portfolio dependencies 244<br/><br/>Increasing and decreasing outcome dependencies 244<br/><br/>Increasing and decreasing cash‐flow dependencies 247<br/><br/>Blanking out periods of distributions 247<br/><br/>Varying patterns 248<br/><br/>Stressing commitments 249<br/><br/>Extending and shortening of fund lifetimes 250<br/><br/>Front‐loading and back‐loading of cash flows 251<br/><br/>Foreign exchange rates and funding risk 251<br/><br/>Increasing and decreasing frequency of cash flows 253<br/><br/>Increasing and decreasing volatility of cash flows 254<br/><br/>Conclusion 256<br/><br/>Chapter 17 The Art of Commitment Pacing 259<br/><br/>Improved information technology 259<br/><br/>Direct investments 260<br/><br/>Use of artificial intelligence 260<br/><br/>Risk of private equity 261<br/><br/>Securitisations 261<br/><br/>Judgement, engineering, and art 262<br/><br/>Abbreviations 263<br/><br/>Glossary 267<br/><br/>Biography 275<br/><br/>Bibliography 277<br/><br/>Index 289 |
| 520 ## - SUMMARY, ETC. |
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| Summary, etc |
About the Author<br/>THOMAS MEYER, is the co-author of Beyond the J Curve (translated into Chinese, Japanese, and Vietnamese), J Curve Exposure, Mastering Illiquidity (all by Wiley), and two CAIA books, which are required reading for Level II of the Chartered Alternative Investment Analyst ® Program. He authored Private Equity Unchained (by Palgrave MacMillan). |
| 588 ## - SOURCE OF DESCRIPTION NOTE |
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| Source of description note |
Description based on online resource; title from digital title page (viewed on June 29, 2026). |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Asset allocation. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Private equity. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Portfolio management. |
| 655 #4 - INDEX TERM--GENRE/FORM |
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| Genre/form data or focus term |
Electronic books. |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE |
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| Uniform title |
Wiley finance series. |
| 856 40 - ELECTRONIC LOCATION AND ACCESS |
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| Uniform Resource Identifier |
https://onlinelibrary.wiley.com/book/10.1002/9781394159635 |
| Link text |
Wiley Online Library |
| 942 ## - ADDED ENTRY ELEMENTS |
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| Source of classification or shelving scheme |
|
| Item type |
EBOOK |