Private Asset Metric Definitions

Published Date March 19, 2024

This article defines the private asset performance metrics currently available in Venn. For more details on where to find the metrics in Venn, data requirements, and any assumptions underlying the calculations, please refer to this article.

Called %: measure of the cumulative capital called as a percentage of committed capital.

For funds, value is shown as reported.
For portfolios, Called % is calculated by dividing the sum of underlying funds’ cumulative contributions by the sum of underlying funds’ capital committed:

RVPI %: Remaining Value to Paid-In Capital; represents how much value remains in the fund relative to how much the investor has already paid in.

For funds, value is shown as reported.
For portfolios, RVPI % is calculated by dividing the sum of underlying funds’ NAV by the sum of underlying funds’ cumulative contributions.

* Only reported NAVs (available in Venn or user uploaded) are used for calculations. Other performance metrics are not used to infer NAV of the fund.

DPI %: Distributed to Paid-In Capital; total capital returned to investors net of any carry or fees as a % of total investor contribution.

For funds, value is shown as reported

For portfolios, DPI % is calculated by dividing the sum of underlying funds’ cumulative distributions by the sum of underlying funds’ cumulative contributions.

**Only reported DPIs are used for calculations. Other performance metrics are not used to infer cumulative distribution of the fund.

Net Multiple: ratio of total value of fund to total investment amount, net any fees.

For funds, value is shown as reported
For portfolios, the Net Multiple is calculated by dividing the sum of underlying funds’ total cumulative distributions and NAV by the sum of underlying funds’ cumulative contributions.

*** Only reported Net Multiples are used for calculations. Other performance metrics are not used to infer the total cumulative distribution + NAV of the fund.

Note: reported cash flow data (contributions and distributions) are not used for the computation of any metrics outlined above.

NAV: Net Asset Value; current value of investment or portfolio

For funds, value is shown as reported
For portfolios, NAV is calculated by summing underlying funds’ NAVs

Performance metrics are not used to compute the NAV of a fund.

Net IRR %: Net Internal Rate of Return; money-weighted return expressed as a percentage, net of any fees or carried interest.

For funds, value is shown as reported. If IRR is not reported but cash flow data exists, Venn will compute the IRR using the cash flows and NAV.
For portfolios, IRR calculations are shown on aggregated cash flows and ending period NAV of all underlying investments. Note that Venn requires funds’ cash flow data to compute the portfolio. If one or more funds do not have reported cash flows, Venn will be unable to compute the portfolio IRR, even if the funds have reported IRRs.

PME: Public Market Equivalents; PME metrics can be useful as a benchmark for measuring private asset manager performance.

PME metrics are computed by Venn using the benchmark selected by the user and the cash flow data available for the underlying funds (available in Venn or user uploaded). For portfolios, Venn computes the PME metrics by first aggregating all cash flows and NAVs of the underlying funds for each period.

Venn offers 4 PME methodologies as outlined below [1]:

Name	Description	Metric	Fund outperforms if:	Example Interpretation
Kaplan Schoar (KS PME)	A market-adjusted performance ratio, computed by dividing the sum of discounted distributions and ending NAV by the discounted contributions. Cash flows are discounted by the public market index value.	Ratio	Value > 1	KS PME of 1.5 indicates that the private investment outperformed the market index. Given KS PME is a ratio, the metric cannot be directly compared to the IRR of the investment.
Long Nickels (LN PME)	IRR calculations using the contributions and distributions but with a different final period NAV. Final period NAV determined by converting contributions to an equal purchase of shares in the public index, and distributions to liquidation of the shares. Note: LN PME cannot be computed when the ending value for the PME index is negative, which can occur if there are distributions early in the fund’s life.	Annualized Rate	Value < IRR	IRR of 15% vs LN PME of 10% indicates that the private investment outperformed the index by 5%.
Capital Dynamics (PME+)	IRR calculations using contributions and modified distributions, but with the same final period NAV. Use a fixed scaling factor (λ) to modify each distribution such that the PME’s final period NAV is the same as the private asset investment NAV.	Annualized Rate	Value < IRR	IRR of 15% vs PME+ of 10% indicates that the private investment outperformed the index by 5%.
Direct Alpha	Represents an annualized excess return of the private asset investment to the benchmark. IRR calculation on discounted cash flows. Private asset cash flows discounted by the public market index value.	Annualized Rate of Excess Return	Value > 0	Direct Alpha of 5% indicates that the private investment has generated an annualized excess return of 5% over the market index. If the fund’s IRR was 15%, this would indicate the market index returned 10%.

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.