Qontigo, a global provider of risk analytics and index solutions, has partnered with CEPRES, a specialist in private market investment technology and data, to develop a suite of private market factor risk models for unique insights into private capital fund risk in multi-asset class portfolios.
The private market factor models will provide broad coverage of the private asset space in Qontigo’s enterprise risk management system, Axioma Risk. Through the combination of CEPRES’s verified private fund cash flow data and Qontigo’s industry-leading Axioma Factor Risk Models, asset managers and asset owners will receive deep insights across both public and private assets for risk analysis, portfolio construction and asset allocation.
The core of the methodology rests on using verified fund cash flows instead of subjective and overly stable fund net asset valuations to derive historical returns by fund category. The exposures of the private returns to public equity market risk factors such as size and value are then estimated to create a unified risk model that covers private and public assets.
