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You can calculate the Kaplan Schoar PME ratio for your Private Equity Investments in Eagle Performance Calculation reports.

The Kaplan Schoar PME (KS PME) is a market-adjusted money multiple ratio.  This uses the Total Value to Paid-In Capital (TVPI) formula to compare a private asset’s investment performance vs. the equivalent cash flows invested in a benchmark index.

A KS PME greater than one indicates that the investment has outperformed the benchmark index.  A KS PME of less than one means the private asset has underperformed the benchmark index.

KSPME Formula

The formula for the KS PME ratio:

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Distribution:  Total money paid out to Limited Partners from the Fund

Valuation: Value of remaining investment in the fund

Contribution: Total money called in from Limited Partners to Fund

On this Page

Formula Dates and Inputs

There are two dates and four inputs for the calculation of the KS PME.

End Market Value

The market value for the private equity investments on the end effective date of the Performance Calculation report.

Sum of Contribution Cash Flows (Paid-In Capital)

The Total of all paid-in cash flows for the private asset investment throughout the date range of the Money Multiple field. 

Sum of Distribution Cash Flows

The total of all paid out cash flows for the private asset investment throughout the date range of the Money Multiple field. 

Private Equity Benchmark, Benchmark Unit Values, and Growth Factor

Each Private Asset must be assigned a benchmark fund.  This is assigned at the security level using Reference Data Center.  This value is saved to the PRIVATE_EQUITY_BENCHMARK column in the SECURITYDBO.SECURITY_MASTER_DETAIL and SECURITY_MASTER_DETAIL_HIST tables.

The unit value is the market price of the benchmark on each effective date.   

Private Equity Benchmark unit values must be loaded to performance model “eglPrfPc-Total Level Model”.  

The Growth Factor is used to convert cash flows to a benchmark equivalent amount as of the end date of the report.  This is achieved by dividing the unit value as of the end date of the report by the unit value as of the effective date of the cash flow being converted.

Begin Date

The first date of the time range and the first date cash flows are eligible to be included in the calculation.

End Date

The last date of the time range and the last date cash flows are eligible to be included in the calculation. 

KS PME Example

Each Private Equity investment may have contribution flows and/or distribution flows. To calculate KS PME the security will also need an ending market value and Private Equity Benchmark unit values.  

Calculate KS PME

The ending market value is combined with the sum of the converted distribution amounts.  This sum is then divided by the sum of the converted contribution amounts for the KS PME value.  Based on this result (1.0145) the investment is slightly outperforming the market.

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Build the KS PME Money Multiple Field

The KS PME multiple is an option found on Money Multiple fields.  Money Multiple fields are found in General Reporting in the Custom fields folder.  Once a new Money Multiple field is opened you can select Money Multiple Kaplan Schoar PME.

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Money Multiple fields are also available in Metadata Center.  You can find Money Multiple fields under Direct and Derived fields and by setting the Field Type parameter to Money Multiple.

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Use KS PME Multiple Fields

The Money Multiple Field Type is a Performance Calculation based field and the result can be committed to the Performance database for downstream analysis.  Money Multiple fields utilize data from the CASHDBO.CASH_ACTIVITY table and HOLDINGDBO.POSITION_DETAIL table.  These fields offer the unique capability to sum cash flows across a time range within a Performance Calculation report.

Kaplan Schoar PME fields must also fetch the Private Asset end market value and the security’s Private Equity Benchmark’s unit values from the PERFORMDBO.PERF_SEC_RETURNS table.

Field Options

Field

Description

Money Multiple

Select the Money Multiple Ratio to Calculate (Kaplan Schoar PME)

Distribution Cash Flow

Select the Cash Adjustment field which defines a Fund Distribution to Limited Partner

Contribution Cash Flow

Select the Cash Adjustment field which defines a called contribution by the Limited Partner into the Fund

End Market Value

Select the Detail Calculation field which defines the market value and security criteria for Ending Market Value

Begin Date options

Defines the first date that cash flows will be included in the calculation

PE Benchmark Unit Value

Select the performance field that maps to the correct column in PERF_SEC_RETURNS benchmark unit value

Include Above Fields in Result

When selected the supporting cash distribution, cash contribution, and market value data is displayed as part of the results

Assign the Private Equity Benchmark

For the KS PME to calculate the private equity security must have a benchmark assigned at the security level.  This is done in Reference Data Center.  With the security selected you can assign a benchmark entity to the Private Equity security by selecting the Private Equity Benchmark field.  This opens an entity selector user interface where the correct index can be selected.

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Select the PE Benchmark Unit Value Column

To calculate the KS PME a benchmark unit value for each cash flow effective date must be present.  For this to be fetched you must select a column in PERFORMDBO.PERF_SEC_RETURNS where the unit value will be stored.  You will need to create and map a Performance Field to this column. 
The KS PME field has the field selector PE Benchmark Unit Value. This opens a field selector with available Performance fields.  Now you can select the Performance Field to fetch the unit values.
When fetching the Private Equity benchmark unit values the KS PME field uses the total level from DICTIONARY_ID = 2 and a PERF_FREQ_CODE = D (daily frequency).  This means benchmark returns must be loaded to that dictionary with a frequency of daily on the dates that cash flows exist.

Select the Performance Source

The performance source for Private Equity Benchmark unit values is taken from the source rule selected in the report profile.  This must be the same as the source on the benchmark unit values.

Select Contribution and Distribution Cash Flows

The security criteria should be the same in all Cash Adjustment and Detail Calculation fields.

Cash Flows Across a Date Range

The cash flows are selected using the Cash Adjustment field logic to identify flows that meet the specific criteria for Private Equity contributions or distributions.

Cash Adjustment fields can use security reference data as well as cash transaction details to select the correct flows.  In this example, the Cash Adjustment field is selecting Capital Base Fund Investments which are Private Equity Investments, transaction types equal to LPCASH, and event types equal to RECPTS (receipts) to define distributions to LPs.

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Select the End Market Value Detail Calculation Field

KS PME fields require an ending market value.   The KS PME field uses a Detail Calculation field to define the security criteria and to select the field in POSITION_DETAIL table where the market value is stored. The market value will be taken from the report results end date. Here is an example:

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Select a Performance Model

The Performance Model selector will open up to the list of Performance Models.  The Model you select here will be the model (DICTIONARY_ID) used in fetching the benchmark unit values.

Define the Date Range

Begin Date

You can define the begin date by selecting a specific date or using the date macros provided in the Begin Date options. For Performance Composites (ACOM) the inception date is the most recent date of the membership Start Date or the Inception Date within the member’s range. For Reporting Composites (COMP) the Inception Date is simply the member inception date for those who are members as of the report's end effective date.

End Date

The field’s end date is always the end date of the calculation single period in each performance calculation result.

Add to a Report and Field Rule

Money Multiple fields are designed for Performance Calculation reports.  They can be selected from the Custom folder in General Reporting or by selected the Money Multiple as the Field Type in Metadata Center.

All Money Multiple fields in a Field Rule must have the same begin date.  If not the report will result in an error and null values in the report results.

View the Results

KS PME field results will show up in the security rows for the securities which have cash flows, market values, and benchmark unit values.   The cash flows and securities must meet the criteria of the Cash Adjustment and/or Detail Calculation fields selected. 

The security criteria should be the same in all fields which require security criteria.

Along with the KS PME value the report can also display the supporting fields Contributions Cash Flow (CCF), Distribution Cash Flow (DCF), and Ending Market Value (EMV) in the results.

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