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The S&P Listed Private Equity Index is composed of 30 leading listed private equity companies that meet size, liquidity, exposure, and activity requirements. The index is designed to provide tradable exposure to the leading publicly listed companies in the private equity space. The top 10 companies of the S&P Listed Private Equity Index (LPE) are shown in Exhibit Al in the Appendix. The country weights and number of companies are given in Exhibit A2.
METHODOLOGY
For research purposes, monthly and yearly data of the S&P LPE as well as of the S&P 500, S&P 600, S&P 400, and S&P Global 1200 indices were used for the time period from December 2006 to December 2011. The study used four moments - mean, standard deviation, kurtosis, and skewness - to study the return characteristics of the S&P LPE, S&P 500, S&P 600, S&P 400, and S&P 1200. Kurtosis characterized the relative peakedness or flatness of a distribution compared with the normal distribution. Positive kurtosis indicated a relatively peaked distribution. Negative kurtosis indicated a relatively flat distribution. Skewness characterized the degree of asymmetry of a distribution around its mean. Positive skewness indicated a distribution with an asymmetric tail extending toward more positive values. Negative skewness indicated a distribution with an asymmetric tail extending toward more negative values. Thereafter, Sharpe ratios were calculated to analyze the performance of S&P LPE relative to the S&P 500, S&P 600, S&P 400, and S&P 1200 indices.
The R^sup 2^ or coefficient of determination (COD) indicates the percentage of the variation in the dependent variable that can be explained and accounted for by the independent variables in this regression analysis. The multiple correlation coefficient (multiple R) measures the correlation between the actual dependent variable (Y) and the estimated or fitted (Y) based on the regression equation. This is also the square root of the coefficient of determination (R2). Regression analysis was also used to determine the relationship of S&P LPE with the SSiP 500, S&P 600, S&P 400, and S&P 1200. For maximizing the coefficient of determination, the S&P 500, S&P 600, S&P 400, and S&P 1200 were first individually regressed with the S&P LPE index by taking the S&P LPE as dependent variable and the S&P 500, S&P 600, S&P 400,...