NEWSLETTER of September 27, 2019

The following content has been added at finexpert:

Bain & Company

HOW EUROPE’S BANKS CAN RECAPTURE THE CAPITAL MARKETS BUSINESS AT HOME

European banks are struggling to keep up with US banks in the capital markets business, and without a major course change, they will see their share and overall prospects decline further. For capital markets as a whole, we forecast a base-case scenario in which global revenues will grow by 5% to $231 billion by the end of 2021, led by the fixed-income and M&A businesses. >more

UBS

GLOBAL FAMILY OFFICE REPORT 2019

Our 2019 Global Family Office Report reveals the latest survey results on the performance and insights from 360 family offices globally. For the first time, family offices also shared their views on broader issues – spanning politics, the economy and climate change. Another new section is dedicated to regional trends for family offices in North America, Europe, Asia-Pacific, and the Emerging Markets. >more

KfW Research

GERMAN PRIVATE EQUITY BAROMETER Q2 2019

Sentiment in the later stage of the German private equity market has fallen for the fourth consecutive quarter. The business climate indicator of the later-stage segment dipped slightly by another 2.7 points to 10.1 balance points in the second quarter of 2019. Equity investors are more downbeat about their current business situation than before but again hold more optimistic business expectations. The indicator for the current business situation fell to 14.1 balance points (-9.5), while the indicator for business expectations climbed to 6.1 balance points (+4.1).But despite the cooling business climate, most assessments of the later-stage market environment remain in the green. >more

Bank for International Settlements

BIS QUARTERLY REVIEW: SEPTEMBER 2019

The BIS Quarterly Review examines developments in international banking and financial markets. Published in March, June, September and December, it comprises a review of market developments over the past quarter, and special features that analyse topical economic and financial issues. This issue discusses how trade tensions and monetary policy affected asset prices, and includes a feature about the effects of the G-SIB framework on big banks' resilience and systemic importance. >more

RISK ADJUSTMENT IN PRIVATE EQUITY RETURNS

Arthur G. Korteweg
2018
This article reviews empirical methods to assess risk and return in private equity. I discuss data and econometric issues for deal-level, fund-level, and publicly traded partnerships data. Risk-adjusted return estimates vary substantially by method, time period, and data source. The weight of evidence suggests that relative to a similarly risky investment in the stock market, the average venture capital (VC) fund earned positive risk-adjusted returns before the turn of the millennium, but net-of-fee returns have been zero or even negative since. Average leveraged buyout (BO) investments have generally earned positive risk-adjusted returns both before and after fees, relative to a levered stock portfolio. I also consider additional risk factors proposed in the literature. VC looks like a small-growth investment, while BO loads mostly on value. Liquidity and idiosyncratic risks are also discussed. >more

MAN VS. MACHINE: COMPARING DISCRETIONARY AND SYSTEMATIC HEDGE FUND PERFORMANCE

Campbell R. Harvey, Sandy Rattray, Andrew Sinclair, and Otto Van Hemert
2019
We analyse and contrast the performance of discretionary and systematic hedge funds. Systematic funds use strategies that are rules-based, with little or no daily intervention by humans. In our experience, some large allocators shy away from systematic hedge funds altogether. A possible explanation for this is what the psychology literature calls “algorithm aversion”. However, we find no empirical basis for such an aversion. For the period 1996-2014, systematic and discretionary manager performance is similar, after adjusting for volatility and factor exposures, i.e., in terms of their appraisal ratio. It is sometimes claimed that systematic funds’ returns have a greater exposure to well-known risk factors. We find, however, that for discretionary funds (in the aggregate) more of the average return and the volatility of returns can be explained by risk factors. >more