Takahashi–Alexander Revisited: Modeling Private Equity Portfolio Outcomes Using Historical Simulations
针对耶鲁大学Takahashi-Alexander私募股权估值模型的缺陷，提出一种基于历史现金流数据的新模拟方法，无需用户假设即可提供结果范围，帮助投资者避免过度自信导致的决策失误。
In 2001, Dean Takahashi and Seth Alexander of the Yale University Investments Office developed a deterministic model for estimating future cash flows and valuations for the Yale endowment’s private equity portfolio. Their model, which is simple and intuitive, is still commonly used by investors to this day. However, the model possesses significant shortcomings, including its sensitivity to the assumptions necessary for the model to function and its failure to provide a range of possible portfolio outcomes. Both issues can result in investors developing overconfidence in forecasts, which can result in suboptimal—or even adverse—portfolio management decisions. To address these shortcomings, we propose a novel historical simulation approach that preserves the simplicity and intuition behind Takahashi and Alexander’s approach. However, our model, which leverages historical private equity cash flow data, requires no user assumptions and naturally provides a range of outcomes. We explore this model in some depth, highlighting the model’s power and flexibility across myriad use cases.