SD-09.8 — Private-Markets Performance Analytics

Business Domain: BD-09 Performance & Analytics (Middle office) · Applies: PRIV

Purpose

Computes and benchmarks the performance metrics specific to private markets — the multiples, the public-market-equivalent comparison, the vintage-cohort positioning that a time-weighted return cannot express. Where SD-09.1 produces the general return figure, Private-Markets Performance Analytics is the specialised layer that builds on it: it knows that a private-markets investment is a dated cash-flow series against an illiquid, slowly-marked asset, and it produces the metrics that make sense of that shape. It is the performance language of the private-markets portfolio.

Service Operations

Compute the multiples — TVPI (total value to paid-in), DPI (distributed to paid-in), RVPI (residual value to paid-in) and MOIC (multiple on invested capital), each computed gross and net of fees and carried interest.
Compute IRR — since-inception, interim, and point-to-point (horizon) IRR, gross and net; built on the money-weighted return from SD-09.1 applied to the dated call / distribution / NAV series.
Fund-level and deal-level metrics — compute the multiples and IRR at both the fund grain and the individual underlying-investment (portfolio-company) grain.
Realised vs unrealised decomposition — split total value into realised (distributed, DPI) and unrealised (residual NAV, RVPI), with the paid-in / called ratios.
Public-market-equivalent analysis — compute PME by the recognised methods: Long-Nickels, Kaplan-Schoar (KS-PME), PME+ and direct-alpha; mPME where the Cambridge Associates variant is used.
Vintage-cohort benchmarking — position a fund against the peer universe of funds of the same vintage year and strategy, by quartile.
J-curve staging — locate a fund on its realised J-curve and characterise its stage of life (distinct from SD-09.7, which models the future J-curve trajectory).
Look-through performance — compute performance at the underlying-asset level beneath a fund or fund-of-funds, where data permits.
Fee and carry impact — the gross-to-net bridge: the effect of management fee, carried interest and expenses, including carry-waterfall and clawback exposure.

Inputs and outputs

Inputs: the call, distribution and NAV series of each fund investment (PM-07, PM-08, PM-09, E-07); the since-inception IRR and money-weighted return from SD-09.1; public-market index returns (E-10) for the PME comparator; vintage / strategy peer-universe data; fund fee and carry terms (PM-10 Fund Terms).
Outputs: the private-markets metric set — multiples, IRR, PME, quartile rank, J-curve stage — consumed by SD-09.2 (the PME comparator for private-market attribution), SD-09.7 (the realised J-curve stage informs the forecast), manager monitoring (SD-03.6), and investor and governance reporting (BD-16).

Entities

Consumes: PM-07 Capital Call, PM-08 Distribution, PM-09 Fund Investment, PM-10 Fund Terms (fee and carry), E-07 Valuation (method = manager_mark for the operated-fund NAV series struck by SD-12.9 and for the marked underlying-asset valuations produced by SD-08.3), E-10 Benchmark / Index (the PME index), E-03 Portfolio / Mandate; the SD-09.1 since-inception IRR and money-weighted return.
Owns: none — the metrics are defined in the semantic layer (SD-13.8). The same open Performance Result entity question noted in SD-09.1 applies, and is strongest here: PME and quartile rank are methodology-sensitive and audit-relevant.

Standards

GIPS — GIPS provides private-market provisions; where these metrics are presented in a GIPS-compliant report the calculation conforms to the methodology governed by SD-09.6.
ILPA — the ILPA Reporting Template (v2.0, January 2025) standardises the call / distribution / NAV data this Service Domain consumes. The companion ILPA Performance Template (introduced alongside it, January 2025) standardises the calculation methodology for IRR and the multiples reported gross and net, at fund and investment level — which is why those distinctions are explicit operations above; the Reporting Template covers the underlying capital-activity data, the Performance Template covers how the performance metrics built on that data are calculated and disclosed.
Long-Nickels, Kaplan-Schoar, PME+ (Rouvinez) and direct-alpha are the recognised PME methodologies; KS-PME returns a ratio, Long-Nickels and PME+ return an IRR comparator, direct-alpha returns an annualised excess return.

Open extensions

Resolution of the Performance Result entity question — PME methodology and quartile provenance are a strong argument for stored, governed private-markets performance figures.
The look-through-performance dependency on underlying-asset data — how far down the fund-of-funds structure performance can be computed.