Applied Research

Applied and Academic Research

Burgiss Research

Burgiss has an established reputation for unbiased research-quality data that has been adopted globally by leading practitioners and academics. We also originate research, which provides actionable insight to practitioners. See below for links to summaries of papers and to request copies. From time to time, we offer in-depth webinars with our research team on current topics -- watch for announcements in our newsletters.

Independent Research Using Burgiss Data

Burgiss also has a deep and ongoing collaboration with the Private Equity Research Consortium (PERC), a group of leading academics and practitioners. Here is a list of research from this collaboration.

 

 

Burgiss Research: Working Papers and Briefs

 

Measuring Portfolio Diversification Is Not Easy

In this research brief we explore the pitfalls in measuring portfolio diversification in private capital. To this end we examine two very different methodologies - temporal diversification and cross-sectional diversification - and discuss the shortcomings of each. Continue reading and request a copy.

 

 

Commitment Pacing: Targeting a Fixed Valuation

If you were to take over the management of a private capital portfolio at a large pension fund and were tasked with maintaining a valuation of about $1B, how would you approach it? At what rate should you commit capital to best achieve this goal? It turns out that this question can be formulated in a number of different ways, each leading to an algorithm that dictates the pace at which commitments should be made. Continue reading and request a copy.

 

 

What Happens To Fund Ranks When the Measure of Performance is Changed?

In this research brief, we compared fund ranks produced by these various performance measures: Internal Rate of Return (IRR), Total Value To Paid-In (TVPI), Kaplan Schoar Public Market Equivalent (KS-PME), Direct Alpha (DA), and Time-Weighted Rate of Return (TWRR). We found that most measures tend to produce similar ranks. Continue reading and request a copy.

 

 

Single-Period Brinson-Style Performance Attribution for Private Capital

June 2018

Performance attribution is the process of decomposing a portfolio's return into subcomponents that are each the result of the decisions that went into the construction of that portfolio. In the latest paper from Burgiss Applied Research, the team examines Brinson-style attribution, which decomposes a portfolio's active returns into allocation and selection effects, and supplies a methodology to carry out this exercise for private capital. Continue reading and request a copy.

 

 

What Happens to Cash Flows During a Crisis?

April 2018

In this brief we focus on the effect of two crises — the dot-com crash and the global financial crisis (GFC) — on private capital cash flows, disentangling these effects from those arising from returns. Continue reading and request a copy.

 

 

Budgeting for Capital Calls: A VaR-Inspired Approach

March 2018

The results in the first paper showed that contributions and uncalled capital, in addition to age, are a useful predictor of future cash flows. Additionally, we demonstrate that the approach outlined by Takahashi and Alexander underperforms our data-driven models. In this second paper, we deepen this examination, focusing our attention on budgeting for future capital calls. Continue reading and request a copy.

 

 

Modeling Cash Flows for Private Capital Funds

February 2018

In this paper we focus on predicting cash flows for private capital funds. We start by discussing the characteristics of cash-flow data that make these predictions challenging, and then examine several models for expected contributions and distributions, and evaluate their performance, both in-sample and out-of-sample. Continue reading and request a copy.

 

 

Better Than The Buffett Bet?

November 2017

A decade ago Warren Buffett bet that public equities would outperform hedge funds. In this month’s research brief, we revisit his bet, this time pitting private equity against public equity. Continue reading and request a copy.

 

 

Can We Improve on Roll-Forward Valuations?

September 2017

Roll-forward valuations ignore important sources of information, creating possibly significant errors. The Applied Research team discusses their recommended technique to mitigate errors.  Continue reading and request a copy. 

 

 

How Accurate Are Roll-Forward Valuations?

August 2017

This research brief discusses errors in roll-forward valuations, which can be significant. Continue reading and request a copy.

 

 

Endurance of Internal Rate of Return

July 2017

This research brief discusses performance measurement of private capital investments. Continue reading and request a copy.  

 

 

Estimating Public Market Exposure of Private Capital Funds Using Bayesian Inference

June 2017

The Burgiss Applied Research team discusses the challenges involved in determining the exposure of private capital to the public market. Continue reading and request a copy.  

 

 

Indexes, Investability and Self-financing Strategies

May 2017

Burgiss Applied Research announces its first in a series of research papers discussing how TWRR-based indexes may be used to track wealth outcomes. Continue reading and request a copy.  

 

 

Inside Private Equity

 

Inside Private Equity (Wiley, 2009) was written for institutional investors to help provide a general understanding of how to invest in, monitor, and measure the performance and risk of private equity. Here, you’ll become familiar with everything from traditional industry measurements to a structured approach to portfolio management. Inside Private Equity was co-authored by Burgiss’ own James M. Kocis, Founder and CEO, and James C. Bachman, COO, as well as Austin M. Long, Head of Alignment Capital, and Craig J. Nickels, Head of US Investments at Abu Dhabi Investment Authority.  Purchase here.

 Inside Private Equity