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CEPRES + Axioma Private Market Factor Risk Models

A collaboration between CEPRES and Qontigo has resulted in the launch of a new suite of factor risk models, now available in Qontigo's enterprise risk management platform, Axioma Risk. These models offer extensive coverage of the private asset fund space by breaking down the risk of private asset fund returns into both public market factor risk exposures and private asset latent factors. As a result, risk analysis can be conducted for portfolios that contain both public and private assets.

The relationship between public and private market risks has become increasingly important, and modeling the risk of private assets within a multi-asset class portfolio has traditionally been challenging due to the lack of observable, market-traded returns. However, the CEPRES-Qontigo models use verified fund cash flow data that corresponds to fund investments and distributions.

This whitepaper delves into the model calibration and validation approach in great detail.

Digital transformation
Due diligence
Fund of funds
Fund performance
General partners
Generating alpha
Investing trends
Investment data
Limited partners
Market performance
Market research
Placement agents
Portfolio insights
Portfolio management
Portfolio monitoring
Research reports
Risk management

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A Question of Performance

The CEPRES global buyout funds index has outperformed the S&P 500 and the MSCI ACWI – which tracks a broad selection of large- and mid-cap stocks from 47 markets – every quarter in every year since 2001. 

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