GLPE Index Overview
Red Rocks Capital Global Listed Private Equity (GLPE) Index
USD Total Return: GLPEXUTR:IND
EUR Total Return: GLPEXTR:IND
GBP Total Return: GLPEXPTR:IND
Annualized Returns YTD 1 Year 3 Year 5 Year Global Listed Private Equity Index 6.22% 18.23% 4.47% 12.43% S&P 500 Total Return Index 6.07% 17.17% 10.37% 13.30% Credit Suisse Managed Futures Liquid Index -4.13% -4.70% 8.04% 3.61% MSCI World Index 6.53% 15.45% 6.15% 10.03% FTSE EPRA/NAREIT Global Real Estate Index 3.40% 2.94% 5.93% 7.66% Bloomberg Commodity Index Total Return -2.33% 8.71% -13.91% -9.54% HFRX Global Hedge Fund Index 1.66% 6.19% -0.42% 1.35%
Past performance does not guarantee future results.
Bloomberg data from 3/31/2012 - 3/31/2017
The Index is designed to track the performance of private equity firms which are publicly traded on any nationally recognized exchange worldwide. These companies invest in, lend capital to, or provide services to privately held businesses. The Index is comprised of 40 to 75 public companies representing a means of diversified exposure to private equity firms. The securities of the Index are selected and rebalanced quarterly per modified market capitalization weights.
Market capitalization may be adjusted to represent a means of diversified exposure to private equity firms, as well as the consolidated exposure of the underlying portfolio investments. Considerations for diversification include the consolidated stage of investment (early, mid, late), type of capital (equity, debt, mezzanine, etc.), sector (energy, industrials, technology, etc.), and geography.
Index returns shown are not reflective of actual investor performance nor do they reflect fees and expenses applicable to investing. An investor may not invest directly in an index.
S&P 500 Total Returns Index
An index of 500 stocks chosen for market size, liquidity and industry grouping, among other factors. The S&P 500 is designed to be a leading indicator of U.S. equities and is meant to reflect the risk/return characteristics of the large cap universe.
Credit Suisse Managed Futures Liquid Index
Index systematically tracks 18 of the most liquid and widely traded instruments in seeking to reflect the returns the Managed Futures sector.
FTSE EPRA/NAREIT Global Real Estate Index
Designed to track the performance of listed real estate companies and REITS globally in both developed and emerging markets.
MSCI World Index
Captures large and mid cap representation across 23 Developed Markets countries. With 1,612 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country.
Bloomberg Commodity Index
Broadly diversified index composed of futures contracts on physical commodities traded on U.S. exchanges, with the exception of aluminum, nickel and zinc, which trade on the London Metal Exchange (LME).
HFRX Global Hedge Fund Index
Designed to be representative of the overall composition of the hedge fund universe. It is comprised of all eligible hedge fund strategies; including but not limited to convertible arbitrage, distressed securities, equity hedge, equity market neutral, event driven, macro, merger arbitrage, and relative value arbitrage. The strategies are asset weighted based on the distribution of assets in the hedge fund industry. The methodology is based on defined and predetermined rules and objective criteria to select and rebalance components to maximize representation of the Hedge Fund Universe.
GLPE Index Methodology
Index membership and maintenance is determined by the Red Rocks Capital Index Committee. The Index is rebalanced at the end of each calendar quarter. There are no intra-quarter additions. Intra-quarter deletions occur only following de-listings from major stock exchanges.
- Private Equity: Companies must have, or a stated intention of reaching, a majority of their assets invested in, or loans to, private businesses. Investments or loans must be made with at least five unrelated privately held businesses.
- Domicile: Companies may be domiciled anywhere but the publicly traded stock must be listed on a recognized exchange.
- Market Capitalization: Must be greater than $100 million.
- Business Type: The publicly traded stocks within the Index may be, but are not limited to, the following: Business Development Companies, publicly traded limited partnership interests, Investment Holding Companies, Special Purpose Acquisition Corporations, publicly traded Venture Capital Funds, Closed End Funds, Financial Institutions, Real Estate Investment Trusts, and any other vehicle whose primary purpose is to invest in, or lend capital to, privately held companies.
- Excluded Business Types: In order to minimize additional layers of fees, investment vehicles intended for the sole purpose of representing pooled investments or fund-of-funds of privately held businesses will be avoided.
- Index Violations: Substantial violations to the criteria stated above are removed from the Index.
- Private Equity Purity: Changes in or prolonged interruptions to focus of investments from private equity.
Modified Market Capitalization Weighting
- Market Capitalization: Primary weighting of stocks within the Index is based on stock market capitalizations.
- Diversification: Market capitalization may be modified in the interest of consolidated exposure of the underlying investments of Index constituents. Sector diversification is targeted to be similar to recognized industry weightings by other major Indices. Consolidated stage of investment is to be similar to the typical large institutional private equity portfolio: 65% late stage, 25% mid stage, and 10% early stage.
- Private Equity Purity: Further adjustments to market capitalization may be made to companies experiencing diminishing exposure to private businesses or relatively unclear direct exposure versus other companies.
- Restrictions: The Index holds a minimum of thirteen securities and a 10% maximum weight of individual securities. Companies that represent a 5% or greater weighting will not in aggregate equal more than 50% of the index. Securities with average daily volume less than $250,000 will be added to the index at a 0.25% weight, with changes at rebalance limited to 0.25% up or down. An exception may be to companies removed from the index following corporate actions.
GLPE Index Composition
The Index is composed of direct investments in over 60 public companies and indirect investments in over 1,000 private businesses. The top 10 direct investments are broken down in the table below.
Top 10 Holdings as of 03/31/2017, subject to change
Company Name Ticker 3I GROUP PLC III LN EQUITY ARES CAPITAL COR ARCC US EQUITY BLACKSTONE GROUP BX US EQUITY EURAZEO RF FP EQUITY FOSUN INTERNATIONAL 656 HK EQUITY KKR & CO. LP KKR US EQUITY LEUCADIA NATL LUK US EQUITY MELROSE PLC MRO LN EQUITY ONEX CORP OCX CN EQUITY PARTNERS GROUP J PGHN SW EQUITY
GLPE Index Returns*
The GLPE Index is composed of investments in over 1,000 private businesses. Those investments experienced returns as follows:
Index Returns as of 03/31/2017
YTD 1 Year 3 Year 5 Year 10 Year Cumulative 6.22% 18.23% 14.03% 79.62% 19.95% Annualized - 18.23% 4.47% 12.43% 1.84%
*This report has been prepared by Red Rocks Capital from data believed to be reliable, but no representation is made as to accuracy or completeness. Returns are based on a simulated index from October 1, 1995 to September 27, 2007 and an actual index from September 28, 2007 to Present. Red Rocks Capital calculated the hypothetical results by taking a snapshot of the index as of September 28, 2007 and back-testing performance to October 1, 1995. The hypothetical performance results are back-tested and are shown for illustrative purposes only and do not represent decisions made by the adviser during the period described. Such results were compiled after September 27, 2007 and do not reflect the impact that material economic and market factors might have had on the adviser's decision-making if the adviser was actually maintaining the index during that time. Hypothetical back-tested performance has inherent limitations. It does not reflect actual market activity and it is not indicative of future results. The performance of the index for the period from September 28, 2007 to present was actual. The results portrayed reflect the reinvestment of dividends and other earnings. The index included securities that track the performance of private equity firms that are publicly traded. Past performance is no guarantee of future results and future investments have the potential for loss as well as profit. Index returns shown are not reflective of actual investor performance or do they reflect fees and expenses applicable to investing.
One cannot invest directly in an index.
GLPE Index Diversification
Industry Sectors as of 03/31/2017, subject to change
Financial Services 22.8% IT 11.8% Industrials 18.5% Healthcare 9.3% Consumer Staples 5.8% Consumer Discretionary 14.2% Energy 7.2% Utilities 0.4% Telecomm 2.5% Materials 1.9% Other-Industry 5.6%
Stage of Investment as of 03/31/2017, subject to change
Early 10.0% Mid 33.0% Late 57.0%
Geography as of 03/31/2017, subject to change
Australia and NZ 1.1% Europe 36.4% N Amer and Canada 46.4% Far East/Asia and Japan 9.9% S America 0.8% Other-Geography 5.5%