Building Pe Fund Performance Reports

Building Pe Fund Performance Reports

When To Use

• Preparing quarterly or annual LP reporting packages with fund-level performance metrics
• Calculating IRR, MOIC, DPI, RVPI, or TVPI for a PE/growth equity fund
• Running Public Market Equivalent (PME) analysis against a benchmark index
• Benchmarking fund performance by vintage year against peer universes (Cambridge, Preqin, Burgiss)
• Responding to LP due diligence requests or ILPA-compliant reporting obligations
• Building GP-facing dashboards that roll up deal-level returns to fund-level aggregates

Inputs To Gather

• Cash flow schedule: Date-stamped capital calls (drawdowns) and distributions for the fund, net of management fees and carried interest
• NAV / residual value: Most recent reported NAV with valuation date; confirm whether NAV is gross or net of carry/fees
• Fund terms: Vintage year, committed capital, investment period end date, fund term, fee structure (management fee rate, carry percentage, preferred return, GP catch-up)
• Deal-level data (if rolling up): Entry date, cost basis, realized proceeds, current fair value, and holding period per portfolio company
• Benchmark reference: Target benchmark index (e.g., S&P 500, Russell 2000, MSCI World) for PME; peer vintage year dataset source (Cambridge Associates, Preqin, Burgiss)
• Reporting period: As-of date and whether report covers inception-to-date, trailing period, or both

Workflow

1. Validate cash flow data

   • Confirm all capital calls and distributions are net of fees/carry unless explicitly building gross metrics
   • Check that cash flow dates are sequential and complete — flag any gaps or duplicate entries
   • Reconcile total called capital against commitment amount; flag if called > committed

2. Calculate core return metrics

   • Net IRR: Compute using cash flow series (calls as negatives, distributions as positives) plus ending NAV as terminal value; use Newton-Raphson or bisection method; flag if multiple IRR solutions exist
   • Gross IRR: Repeat using pre-fee, pre-carry cash flows if GP reporting requires both
   • MOIC (TVPI): (Total distributions + Residual value) / Total called capital
   • DPI: Total distributions / Total called capital (realized return measure)
   • RVPI: Residual value / Total called capital (unrealized return measure)
   • Confirm TVPI = DPI + RVPI as a cross-check

3. Run PME analysis

   • Select appropriate public index benchmark [VERIFY — confirm LP-agreed benchmark]
   • Apply Kaplan-Schoar PME: discount each cash flow by the corresponding index return from cash flow date to as-of date; PME > 1.0 indicates outperformance
   • Optionally compute Long-Nickels PME+ or Direct Alpha for a spread-based comparison
   • State index return source and total return vs. price return assumption

4. Benchmark against vintage year peers

   • Pull quartile breakpoints (upper quartile, median, lower quartile) from the selected peer dataset for the fund's vintage year
   • Plot fund IRR, MOIC, and DPI against peer quartiles
   • Note the peer universe size (n-count) and dataset date — stale benchmarks undercount recent performance [VERIFY — confirm benchmark data vintage]

5. Build the LP report package

   • Fund summary page: Fund name, vintage, committed capital, called %, invested %, key metrics (IRR, MOIC, DPI, RVPI, PME)
   • Cash flow waterfall: Period-by-period capital calls, distributions, and net cash flow with cumulative totals
   • Portfolio company table: Company name, sector, investment date, cost, fair value, realized proceeds, gross MOIC, status (realized/unrealized/partially realized)
   • Vintage year benchmarking chart: Quartile ranking visualization
   • Valuation methodology note: Basis for NAV (comparable transactions, public comps, DCF, third-party appraisal) with effective date

6. Sensitize and stress-test

   • Show IRR sensitivity to exit timing: what happens if NAV is realized 1–2 years earlier or later
   • Show MOIC sensitivity to residual value write-downs (e.g., NAV at 75%, 50%)
   • If fund is early (< 50% DPI), flag J-curve effect and note that IRR is heavily NAV-dependent

Output

• Fund performance summary table with Net IRR, Gross IRR, MOIC, DPI, RVPI, and PME
• Cash flow schedule with cumulative called/distributed amounts
• Portfolio company roll-up with deal-level gross MOICs
• Vintage year benchmarking comparison (quartile placement)
• PME analysis with stated benchmark and methodology
• Sensitivity tables on IRR and MOIC under alternative exit/valuation scenarios
• Methodology notes and disclaimers

Quality Checks

• TVPI reconciliation: Confirm TVPI = DPI + RVPI; any discrepancy indicates a data error
• IRR reasonableness: Cross-check IRR against MOIC and holding period — a 3.0x MOIC over 5 years should yield roughly 25% IRR, not 5% or 50%
• Cash flow completeness: Total capital called should not exceed committed capital; total distributions should tie to realized proceeds plus any recallable amounts
• NAV consistency: NAV used for RVPI and terminal IRR cash flow must match the stated valuation date; do not mix Q3 NAV with Q4 cash flows
• Fee netting: Confirm whether metrics are gross or net; never mix gross cash flows with net labels
• PME index alignment: Ensure index returns cover the full fund life from first cash flow to as-of date; gaps in index data will distort PME [VERIFY — confirm index data availability for full period]
• Benchmark currency: If fund reports in a non-USD currency, confirm peer benchmarks use the same currency or apply FX adjustment [VERIFY]
• ILPA compliance: If LP reporting, verify alignment with ILPA Reporting Template v3 standards for fee and expense disclosure [VERIFY — confirm ILPA version requirement]