Published Date March 19, 2024
What performance metrics are available in Venn and where can I find them?
Venn offers the performance metrics listed below for evaluating private asset investments and portfolios. These metrics can be analyzed using the blocks in the “Private - Assets - Performance” section of Report Lab or Studio. Currently only private asset investments and portfolios may be used for these blocks.
Called %
DPI %
RVPI %
Net Multiple
Net IRR %
NAV
PME - Direct Alpha
PME - Kaplan-Schoar (KS)
PME - Long-Nickels (LN)
PME - Capital Dynamics (PME+)
The “Performance Summary” block shows a table of the performance metrics across multiple private asset investments and portfolios (including the underlying constituents) as of a specified date. The Time Series block visualizes a private asset performance metric over time across multiple private asset investments and portfolios, in either a chart or table format.
Please note that private asset performance metrics are only available in Studio and Report Lab. To access Studio or Report Lab, please reach out to your Client Solutions representative. Additional fees may apply.
How do I set a benchmark to be used for PMEs?
To display the PME metrics, the desired benchmark setting must be selected under the “Benchmark” section of the block configuration panel in Studio or Report Lab.
To use the same benchmark across all subjects of the analysis block, use the “Common Benchmark” setting and select an investment to use as benchmark. Any fund or index, including user uploaded returns and composite benchmarks, may be selected.
To use a unique benchmark for each subject, select the “Individual Benchmark” option. For this option, benchmarks first need to be assigned to each investment or portfolio in the Data Library. To assign a benchmark, search for the investments/portfolios in the Data Library, click on the “...” icon in the “Actions” column, and select “Configure Benchmarks.”
Click “Add new” and search for any investment or index to use as a benchmark. To use a composite benchmark, click on the “Create composite” tab.
To change the assigned benchmark, follow the same steps to open the benchmark configuration window, add a new benchmark, and select the new benchmark.
Please note that if the selected benchmark does not have enough returns data, PMEs may not be computed.
What can I use as a benchmark for PMEs?
As noted above, any fund or index, including user uploaded returns and composite benchmarks, may be selected as long as the selected benchmark has sufficient historical returns data. All data frequency (daily, monthly, and quarterly) is supported.
If the benchmark returns start after the first private asset cash flow, Venn will fail to compute the PMEs. If the benchmark returns end before the private asset cash flows, PMEs will only be computed up to the last benchmark returns date.
Does Venn calculate the performance metrics?
For individual investments, Venn currently does not calculate most performance metrics using the cash flows data. Instead, Venn relies on the reported performance metrics supplied by Preqin or data uploaded by users.
For portfolios, Venn computes the portfolio level performance metrics by aggregating the reported data of the underlying funds.
PMEs are calculated by Venn for both investments and portfolios using the available cash flow data and the benchmark returns.
Please refer to this article for the metric definitions and formulas.
How are the performance metrics computed for a portfolio?
Venn computes the portfolio level performance metrics by aggregating the reported data of the underlying funds. To do so, Venn first converts the reported performance metrics of the underlying funds into total contributions and distributions. Those cash flows are then aggregated for each period to compute the portfolio level metrics. Please refer to this article for the metric definitions and formulas.
Here is an example for illustrative purposes:
If one or more funds are missing performance metrics data and are > 1 year old, Venn will not compute that metric for the portfolio.
Why are IRRs and PMEs missing for my private asset investment or portfolio?
IRR and/or PMEs may be missing if:
Investment does not have sufficient cash flow data. For a portfolio, one or more funds in the portfolio has no cash flow data available.
PME or IRR calculations are computationally impossible.
The as-of-date of the analysis is less than 3 years from the fund’s or the oldest fund in a portfolio’s vintage. Venn starts computing IRR and PMEs once the investment or portfolio is older than 3 years.
Benchmark selected does not have enough returns data.
“Individual Benchmark” setting is selected but a benchmark has not been assigned to the investment or portfolio.
Does Venn make any data modifications to compute performance metrics?
Private asset investments often have incomplete data. As such, Venn makes some data modifications to compute as many performance metrics of a private asset investment and portfolio as possible.
Scenario 1: quarterly or monthly frequency benchmark is used, but an investment has intra-period cash flows
Scenario 1: quarterly or monthly frequency benchmark is used, but an investment has intra-period cash flows
Impacted Metric: PME
For the computation of PMEs, Venn will forward fill the benchmark price and use the last available price of the index for cash flows that occur on an intra-period date. Effectively, any cash flows reported in that period will use the index’s monthly/quarterly return for any computations, regardless of when the actual cash flow occurred during the period.
Scenario 2: an investment has gaps in available NAV data
Scenario 2: an investment has gaps in available NAV data
Impacted Metric: NAV
For an individual investment, NAVs will be reported as is, meaning the value will be blank if the mark is missing.
For a portfolio, Venn will estimate an investment’s missing NAV as the previous period’s NAV adjusted by any cash flows that occurred during the period. The modified NAVs of the investments will be aggregated to compute the portfolio’s total NAV for each period. This is so that Venn is able to show as many portfolio NAVs as possible while not significantly understating the total NAV due to missing marks. As such, a fund may not have NAV available for a certain date when it is available at the portfolio level.
Impacted Metric: IRR
For the computation of investment IRRs, Venn will estimate the missing period’s NAV as the previous period’s NAV adjusted by any cash flows that occurred during the period. For portfolios, any modifications will occur at the investment level, and the modified ending NAVs will be aggregated to compute the portfolio IRR.
Note: this only applies if Venn is calculating the investment’s IRR. If an investment has reported IRRs, Venn will display the values as reported (blank if missing data).
Impacted Metric: PME
For the computation of investment PMEs, Venn will estimate the missing period’s NAV as the previous period’s NAV adjusted by the benchmark return and any cash flows that occurred during the period (see equation below). For portfolios, any modifications will occur at the investment level, and the modified NAVs will be aggregated to compute the portfolio PME.
As noted above, Venn will estimate NAVs for computation purposes outlined above only. In the NAV column of the Private Asset Performance Summary table or the NAV Time Series chart, any missing investment NAV will be displayed as blank.
Scenario 3: an investment has gaps in available performance metrics data (Called %, DPI, RVPI, Net Multiple)
Scenario 3: an investment has gaps in available performance metrics data (Called %, DPI, RVPI, Net Multiple)
Impacted Metrics: Called %, DPI %, RVPI %, Net Multiple
For an individual investment, metrics will be reported as is, meaning the value will be blank if the mark is missing for the set analysis date.
For portfolios, if an investment is missing performance data, the implied cash flows from the previous period will be forward filled until the next available performance data. The modified cash flows will then be aggregated for each period to compute the portfolio level metrics.
Here is an example for illustrative purposes, highlighted in yellow are examples of forward filling the cash flows to compensate for the missing data at the fund level:
What data do I need to be able to analyze each performance metric in Venn?
The table below outlines the data required for each performance metric both at the fund level and portfolio level.
Metric | Fund | Portfolio |
Called % | Called % | All funds' Called % |
DPI % | DPI % | All funds' DPI % and Called % |
RVPI % | RVPI % | All funds' RVPI % and Called % |
Net Multiple | Net Multiple | All funds’ Net Multiple and Called % |
NAV | NAV | All funds' NAV |
IRR | IRR % or NAV and cash flows | All funds' NAV and cash flows |
PME | NAV and cash flows | All funds' NAV and cash flows |
Private asset portfolios are less liquid than public asset portfolios and have additional risks, including the risk of loss.
This document highlights certain aspects of this feature. As an overview, it does not discuss all material facts or assumptions. Please see Important Disclosure and Disclaimer Information.