This bachelor thesis first provides a comprehensive overview of private equity by delineating its history, legal aspects, current facts and figures and possible ways of investing in this asset class. Then, a unique data sample from Allianz Private Equity Partners (APEP) containing cash flow information on 358 funds, which hold an aggregate number of 7 511 portfolio companies, is thoroughly scrutinized. Performance measures for both funds and deals are calculated and compared to the data of Thomson Venture Economics. Markov transition probabilities for quartile performance of general partners are computed, and thus, the strategy of solely investing in top-quartile funds is analyzed. By the means of linear regression the influence of numerous variables, such as the GDP, the MSCI, interest rates, fund size and diversification across financing stages, regions, sectors and portfolio companies is investigated. An approach for deriving net asset value time series from cash flow information by using Nelson-Siegel functions as discount rate spreads is presented. This enabled the incorporation of the APEP funds in a portfolio containing stocks and bonds as well as a Listed Private Equity Index. To simulate return distributions of the portfolio assets, a Markov-Switching Model is applied, which adequately considers the autocorrelative structure and the non-normality of the data. The portfolio optimization process is based on both traditional performance measures like the Sharp Ratio and more advanced alternatives such as the Score-value, which account for non-normally distributed returns and the height of the investor’s risk aversion.     «

This bachelor thesis first provides a comprehensive overview of private equity by delineating its history, legal aspects, current facts and figures and possible ways of investing in this asset class. Then, a unique data sample from Allianz Private Equity Partners (APEP) containing cash flow information on 358 funds, which hold an aggregate number of 7 511 portfolio companies, is thoroughly scrutinized. Performance measures for both funds and deals are calculated and compared to the data of Thoms...     »