PEF 성과평가 방법론에 관한 고찰 (A Study on PEF Performance Evaluation Methodology)

서지정보

· 발행기관 : 동국대학교 사회과학연구원
· 수록지 정보 : 사회과학연구 / 26권 / 2호 / 115 ~ 143페이지
· 저자명 : 배기범, 이준서

초록

본 연구에서는 다양한 PEF 성과평가 방법론에 대해 기술하고 실제 PEF 자료를 이용해 이들평가방법론을 활용한 펀드의 성과를 측정했다. IRR 및 투자배수 등 전통적 성과측정 방법이 아닌 PME+, mPME, K-S PME등 PME 계열과 다이렉트 알파 방법 등에 대해 설명하고, 방법론별 성과를 측정한 후, 이들 방법론 간의 성과서열의 차이 분석을 실시했다.
30개 PEF의 수익률 및 현금흐름 자료를 이용해 성과를 분석한 결과 국내 PEF 성과는 비교적 양호한 것으로 나타났다. 평균 IRR은 12.0%, 평균 투자배수는 2.84로 전통적인 방법론 상의 측정치가 우수하게 나타났고 시장지수를 고려한 PME 계열 방법론을 적용해서도 IRR의 경우 7.58% 시장지수를 초과했고 투자배수는 0.57배 상회했다. 또한 자산가격결정모형을 활용해알파를 도출하는 다이렉트 알파 방법론을 적용해서도 결과는 유사하게 도출되었다.
특히 PME 계열 중 가장 우수한 방법론으로 평가받고 있는 K-S PME와 다이렉트 알파간의성과차이는 거의 존재하지 않는 것으로 밝혀졌다. 두 방법론 간 성과지표에 대한 서열 상관계수는 0.9 이상이었고 두 방법론과 IRR 및 투자배수간의 서열 상관계수도 유사하게 나타났다.
PME 계열과 달리 다이렉트 알파의 경우 자산가격결정모형을 활용하고 초과수익률을 제공하므로 펀드간 비교 가능성이 더 높다는 측면에서 향후 PEF 성과평가 시 활용할 필요성이 제기된다고 할 수 있다.

영어초록

Since Korea's Private Equity Fund (PEF) was introduced in 2004, the number of existing funds has been 444, investment commitment amounted to 62.6 trillion won, and investment amount reached 45.5 trillion won by the end of 2017. In Korea, however, there is little academic analysis on the performance of the PEF and its usefulness as an asset class. This is due to the nature of private equity, which means GPs are not obliged to disclose their performance and that it is not easy for the public to access the performance data. Currently, only the IRR and the investment multiple, officially provided by the fund are used as the performance measure of the PEF. These measurements are known to have many limitations both in theory and in practice. Due to these problems, the public market equivalent (PME) has already been developed and applied to fields in overseas countries. In recent years, the direct alpha method has been introduced.
In this study, we applied various performance evaluation methodologies based on 30 actual cash flows of PEF for the first time in Korea. Korea PEF funds have shown relatively good performance until the end of 2017. The results for this is not only measured by the traditional IRR and multiples provided by the PEF, but also by other performance evaluation methods.
And examined their usefulness of public market equivalents (PME) methods, These are the Index Comparison Method, PME+, modified PME and K-S PME, DIRECT ALPHA.
IRR spread(fund IRR – various PMEs) were calculated through PME+ and K-S PME, DIRECT ALPHA. PME+ method showed about 7% higher than samples’ IRR. In multiples, the value of K-S PME were 0.6 times higher than samples’multiple. DIRECT ALPHA was also higher than Benchmark, KOSPI.
The gap between DIRECT ALPHA and IRR spread(PME+) were displayed on the chart, the values of each method were scatted. not identical. We classified 3 groups by fund IRR, we found DIRECT ALPHA and KS PME had higher probabilities to be same groups through calculation of transition probabilities. And Spearman rank-order correlation coefficient also confirmed PME+ were not related with other PME values, Finally, we analyzed the cause of differential between PME values and DIRECT ALPHA values through the regression analysis. The absolute value of DIRECT ALPHA was significant and fund lifetime were marginally significant.
Korea PEF performance was better than when investing in the open market, the KOSPI market or the KOSDAQ market.
Finally, there should be many discussions on selecting appropriate Benchmarks with the return on the stock market, considering the long investment life and the risk level of the PEF, This would be future research projects.

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