Quarterly Update Valuations Estimate

Private Equity Fair Market Value Model Background

Hamilton Lane conducts a regression analysis on historical quarterly private markets fund valuations against relevant public market indices and, based on the results, developed a model to estimate quarterly private markets fund valuations given a known quarter over quarter index value change. The regression analysis and model segments funds by investment strategy, fund size, and geography. The regression analysis shows, with statistical significance, that private markets fund valuations are correlated to relevant public market indices, with typical Beta values positive and less than 1 (i.e. fund valuations generally move in the same direction as the market, but with potentially less volatility).


Please refer to Methodology and Endnotes

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Private Equity Fair Market Value Model – Background:              

Hamilton Lane conducts a regression analysis on historical quarterly private markets fund valuations against relevant public market indices and, based on the results, developed a model to estimate quarterly private markets fund valuations given a known quarter over quarter index value change.  The regression analysis and model segments funds by investment strategy, fund size, and geography.  The regression analysis shows, with statistical significance, that private markets fund valuations are correlated to relevant public market indices, with typical Beta values positive and less than 1 (i.e. fund valuations generally move in the same direction as the market, but with potentially less volatility).

Please note that the regression analysis shown above is based on Hamilton Lane data and should not be used as the basis for an investment decision. There are a number of factors that can affect the private markets which can have a substantial impact on the results included in this analysis. There is no guarantee that this analysis will accurately reflect actual results which may differ materially. All information contained herein is based on information available to Hamilton Lane as of the date of the presentation and is subject to change. These valuations do not necessarily reflect current values in light of market disruptions and volatility, particularly in relation to the evolving impact of conflict in Europe and the Middle East, which is affecting markets globally. Forecasts may exhibit greater error during periods of extreme volatility and valuations may see a more modest increase than the historical relationship with public markets would otherwise indicate. Please refer to the following pages for important endnotes, definitions, and disclosures.

To estimate the 3/31/2025 valuation of a fund or portfolio, apply the estimated quarterly growth rate given in the attached table. The quarterly growth rate should be applied after adjusting for all fund contributions and distributions made during the quarter. The predicted growth rate is in USD, and therefore does not take into account a change in exchange rates that may also impact valuations. The predicted FX effect should be applied to the predicted growth rate prior to using it, as shown in the equation below. For quick reference, a few common FX movements are shown in the attached. Other FX rate changes can be found using Bloomberg or another financial data resource.  FX adjustments should be applied if the LP wants to see performance in a non-USD currency or if the underlying fund data you are applying the estimates to is not quoted in USD. If the beginning NAV + cash flows + predicted growth rates are all in USD, there is no need to apply an additional FX adjustment.

Predicted Ending NAV = (Beginning NAV)(1 + Predicted Growth + FX Effect) + (1 + (Predicted Growth + FX Effect)/2)(Period Capital Calls - Period Distributions)

Example 1: USD investor in USD Energy Fund: [Predicted Growth Range] + FX Rate =  [3.1% - 7.1%] + 0.0% = Between 3.1% - 7.1%
Example 2: EUR investor in USD Energy Fund: [Predicted Growth Range] + FX Rate = [3.1% - 7.1%] - 4.5% = Between -1.4% - 2.6%

Using this methodology, clients may predict the ending valuations for each specific fund and sum these to predict the total ending valuation of their portfolio.

Please note that these estimates are only a rough guidance and are based on predicting the movement in valuations for the industry as a whole. Similarly, once actual valuations are known, we may see that larger portfolios follow the prediction model more closely than smaller portfolios.

1The All Private Markets projected return is a weighted blend of the projected returns from the other strategies, excluding core real estate.  Therefore it does not have a single public index associated with it.  The Index Return for All Private Markets is the blend of all other indices used, weighted by their respective proportion of All Private Markets.
2Core Real Estate and Non-Core Real Estate forecasts use a multi-factor model that incorporates additional factors beyond public index returns.
3All Returns quoted in USD.

The projections published herein are based on a regression of quarterly public market index returns against quarterly private market index returns.  This regression generates an alpha and a beta by strategy which can be used as inputs into the single-index model of pricing assets (Sharpe 1964, Lintner 1965).  The formula for the single-index model is:

π‘Ÿπ‘ƒπ‘Ÿπ‘–π‘£π‘Žπ‘‘π‘’ π‘€π‘Žπ‘Ÿπ‘˜π‘’π‘‘π‘ =π›Όπ‘ƒπ‘Ÿπ‘–π‘£π‘Žπ‘‘π‘’ π‘€π‘Žπ‘Ÿπ‘˜π‘’π‘‘π‘ +π›½π‘ƒπ‘Ÿπ‘–π‘£π‘Žπ‘‘π‘’ π‘€π‘Žπ‘Ÿπ‘˜π‘’π‘‘π‘ (π‘Ÿπ‘ƒπ‘’π‘π‘™π‘–π‘ π‘€π‘Žπ‘Ÿπ‘˜π‘’π‘‘π‘ −π‘Ÿπ‘…π‘–π‘ π‘˜ πΉπ‘Ÿπ‘’π‘’)+π‘Ÿπ‘…π‘–π‘ π‘˜ πΉπ‘Ÿπ‘’π‘’

Where:
π‘Ÿπ‘ƒπ‘Ÿπ‘–π‘£π‘Žπ‘‘π‘’ π‘€π‘Žπ‘Ÿπ‘˜π‘’π‘‘π‘ =π‘…π‘’π‘‘π‘’π‘Ÿπ‘› π‘œπ‘“ π‘‘β„Žπ‘’ π‘ƒπ‘Ÿπ‘–π‘£π‘Žπ‘‘π‘’ π‘€π‘Žπ‘Ÿπ‘˜π‘’π‘‘π‘ 
π‘Ÿπ‘ƒπ‘’π‘π‘™π‘–π‘ π‘€π‘Žπ‘Ÿπ‘˜π‘’π‘‘π‘ =π‘…π‘’π‘‘π‘’π‘Ÿπ‘› π‘œπ‘“ π‘‘β„Žπ‘’ 𝑃𝑒𝑏𝑙𝑖𝑐 π‘€π‘Žπ‘Ÿπ‘˜π‘’π‘‘π‘ 
π›Όπ‘ƒπ‘Ÿπ‘–π‘£π‘Žπ‘‘π‘’ π‘€π‘Žπ‘Ÿπ‘˜π‘’π‘‘π‘ =π΄π‘™π‘β„Žπ‘Ž π‘œπ‘“ π‘‘β„Žπ‘’ π‘ƒπ‘Ÿπ‘–π‘£π‘Žπ‘‘π‘’ π‘€π‘Žπ‘Ÿπ‘˜π‘’π‘‘π‘ 
π›½π‘ƒπ‘Ÿπ‘–π‘£π‘Žπ‘‘π‘’ π‘€π‘Žπ‘Ÿπ‘˜π‘’π‘‘π‘ =π΅π‘’π‘‘π‘Ž π‘œπ‘“ π‘‘β„Žπ‘’ π‘ƒπ‘Ÿπ‘–π‘£π‘Žπ‘‘π‘’ π‘€π‘Žπ‘Ÿπ‘˜π‘’π‘‘π‘ 
π‘Ÿπ‘…π‘–π‘ π‘˜ πΉπ‘Ÿπ‘’π‘’=π‘…π‘–π‘ π‘˜ πΉπ‘Ÿπ‘’π‘’ π‘…π‘Žπ‘‘π‘’

The regression formulas for Core and Non-Core Real Estate differ slightly from the single-index model in that the regressions are multi-index models, which include multiple betas and public market returns to better predict private market returns, such as the U.S. Regression Indicator Index.

Once all inputs are obtained, we create a 75% confidence interval for our expected returns.  This should denote the inherent uncertainty in these sorts of predictions.  In general, we expect to be accurate within a 400 basis point spread with 75% confidence in quarters of normal stock market volatility.  During periods of outsized positive or negative returns in the public markets, we would expect to either be less accurate or for the confidence interval to expand meaningfully.  We also expect individual portfolios to vary meaningfully from these projections, as individual portfolio returns vary from the industry’s returns for many reasons, including concentration of assets, different investment pacing, and different strategy/geography makeups, to name a few. Larger and more mature portfolios should be expected to have a performance more similar to the market, and therefore more reflective of these estimates, than other portfolios might be.

To estimate the next quarter’s valuation for a portfolio, you can apply the estimated quarterly growth rate associated with it.  The quarterly growth rate should be applied after adjusting for all fund contributions and distributions made during the quarter, in accordance with the Simple-Dietz methodology for calculating returns.  Note that all calculations shown in the document are in USD.  Therefore, the formula for calculating r_(Private Markets) shown above yields a return in USD.  To apply the r_(Private Markets) to a portfolio with valuation and cash flow information already in USD, use the formula below:

Pπ‘Ÿπ‘’π‘‘π‘–π‘π‘‘π‘’π‘‘ 𝑁𝐴𝑉𝐸𝑛𝑑𝑖𝑛𝑔=(𝑁𝐴𝑉𝐡𝑒𝑔𝑖𝑛𝑛𝑖𝑛𝑔)(1+π‘Ÿπ‘ƒπ‘Ÿπ‘–π‘£π‘Žπ‘‘π‘’ π‘€π‘Žπ‘Ÿπ‘˜π‘’π‘‘π‘ )+ (1+(π‘Ÿπ‘ƒπ‘Ÿπ‘–π‘£π‘Žπ‘‘π‘’ π‘€π‘Žπ‘Ÿπ‘˜π‘’π‘‘π‘ /2)(π‘ƒπ‘’π‘Ÿπ‘–π‘œπ‘‘ πΆπ‘Žπ‘π‘–π‘‘π‘Žπ‘™ πΆπ‘Žπ‘™π‘™π‘ β€π‘ƒπ‘’π‘Ÿπ‘–π‘œπ‘‘ π·π‘–π‘ π‘‘π‘Ÿπ‘–π‘π‘’π‘‘π‘–π‘œπ‘›π‘ )

If the portfolio valuation and cash flow information is not in USD OR you wish to convert a USD return to a non-USD currency, an “FX Effect” factor must be applied.  The formula should be adjusted as shown below:

π‘ƒπ‘Ÿπ‘’π‘‘π‘–π‘π‘‘π‘’π‘‘ 𝑁𝐴𝑉𝐸𝑛𝑑𝑖𝑛𝑔=(𝑁𝐴𝑉𝐡𝑒𝑔𝑖𝑛𝑛𝑖𝑛𝑔)(1+π‘Ÿπ‘ƒπ‘Ÿπ‘–π‘£π‘Žπ‘‘π‘’ π‘€π‘Žπ‘Ÿπ‘˜π‘’π‘‘π‘ +𝐹𝑋 𝐸𝑓𝑓𝑒𝑐𝑑)+ (1+((π‘Ÿπ‘ƒπ‘Ÿπ‘–π‘£π‘Žπ‘‘π‘’ π‘€π‘Žπ‘Ÿπ‘˜π‘’π‘‘π‘ +𝐹𝑋 𝐸𝑓𝑓𝑒𝑐𝑑)/2))(π‘ƒπ‘’π‘Ÿπ‘–π‘œπ‘‘ πΆπ‘Žπ‘π‘–π‘‘π‘Žπ‘™ πΆπ‘Žπ‘™π‘™π‘ β€π‘ƒπ‘’π‘Ÿπ‘–π‘œπ‘‘ π·π‘–π‘ π‘‘π‘Ÿπ‘–π‘π‘’π‘‘π‘–π‘œπ‘›π‘ )

For our model, we define the private market indices as follows:

All Private Markets: Hamilton Lane’s definition of “Private Markets” includes all private commingled funds excluding fund-of-funds, secondary fund-of-funds and co-investment funds.

Core Real Estate: As a proxy for a PM fund that has a strategy of core real estate, we use the net appreciation return of NCREIF’s NFI-ODCE Value Weighted Index.

Credit – Distressed: Includes any PM fund that primarily invests in the debt of distressed companies.

Credit – Origination: Includes any PM fund that focuses primarily on providing debt capital directly to private companies, often using the company’s assets as collateral.

Energy: Includes any natural resources fund that primarily invests in energy investments

European Mega/Large: Any buyout fund larger than a certain fund size that depends on the vintage year that is primarily investing in Western Europe.

European SMID: Any buyout fund smaller than a certain fund size, dependent on vintage year that is primarily investing in Western Europe.

Infrastructure: Includes any PM fund with a strategy of infrastructure.

Non-Core Real Estate: Includes any PM fund with a strategy of real estate that is not core real estate.

ROW Equity: Includes all buyout, growth, and venture capital-focused funds, with a geographic focus outside of North America and Western Europe.

U.S. & European VC/Growth Equity: Includes all funds with a strategy of venture capital or growth equity that are primarily investing in the United States or Western Europe.

U.S. Mega/Large: Any buyout fund larger than a certain fund size that depends on the vintage year that is primarily investing in the United States.

U.S. SMID: Any buyout fund smaller than a certain fund size, dependent on vintage year that is primarily investing in the United States.

For our model, we define the public market indices as follows:

Credit Suisse High Yield Index: The Credit Suisse High Yield index tracks the performance of U.S. sub-investment grade bonds.

FTSE Nareit U.S. Equity REITs: The FTSE Nareit Equity REITs index tracks the return of U.S. equity REITs ex dividends.

FTSE Nareit U.S. Equity REITs Price Return: The FTSE Nareit Equity REITs index tracks the price return of U.S. equity REITs.

MSCI Emerging Markets: The MSCI Emerging Markets Index is a free-float weighted equity index that captures large and mid cap representation across Emerging Markets countries. The index covers approximately 85% of the free float-adjusted market capitalization in each country.

MSCI World Index: The MSCI World Index tracks large and mid-cap equity performance in developed market countries.

NASDAQ 100: The NASDAQ-100 Index is a modified capitalization-weighted index of the 100 largest and most active non-financial domestic and international issues listed on the NASDAQ.

NFI-ODCE Value Weighted Index:The NCREIF NFI-ODCE Value Weighted Index tracks 38 open-ended commingled real estate funds that purse a core investment strategy.

Risk Free Rate: 10-Year U.S. Treasury Yield

Russell 3000 Index: The Russell 3000 Index is composed of 3000 large U.S. companies, as determined by market capitalization.

S&P 500 Index: The S&P 500 Index tracks the 500 largest companies based on market cap of companies listed on NYSE or NASDAQ.

S&P Global 1200 Energy Index: The S&P Global 1200 Energy Index includes all constituents included in the S&P Global 1200 that are classified under the GICS Energy sector.

S&P Global Infrastructure Index: The S&P Global Infrastructure Index includes 75 companies that are meant to represent the infrastructure industry.

STOXX Europe 600: The STOXX Europe 600 Net Total Return index represents 600 large, mid and small capitalization companies across 17 European countries.

STOXX Europe Large 200: The STOXX Europe Large 200 Net Total Return Index tracks the 200 largest companies from 17 European nations by market capitalization.

U.S. Recession Indicator: The U.S. Recession Indicator is a dummy indicator based off of the returns of the Russell 3000 Index. If the Russell 3000 has two consecutive quarters of negative returns, then the indicator is 1; otherwise, it is 0.

 

This presentation has been prepared solely for informational purposes and contains confidential and proprietary information, the disclosure of which could be harmful to Hamilton Lane. Accordingly, the recipients of this presentation are requested to maintain the confidentiality of the information contained herein. This presentation may not be copied or distributed, in whole or in part, without the prior written consent of Hamilton Lane.

The information contained in this presentation may include forward-looking statements regarding returns, performance, opinions, the fund presented or its portfolio companies, or other events contained herein. Forward-looking statements include a number of risks, uncertainties and other factors beyond our control, or the control of the fund or the portfolio companies, which may result in material differences in actual results, performance or other expectations. The opinions, estimates and analyses reflect our current judgment, which may change in the future.

All opinions, estimates and forecasts of future performance or other events contained herein are based on information available to Hamilton Lane as of the date of this presentation and are subject to change. Past performance of the investments described herein is not indicative of future results. In addition, nothing contained herein shall be deemed to be a prediction of future performance. The information included in this presentation has not been reviewed or audited by independent public accountants. Certain information included herein has been obtained from sources that Hamilton Lane believes to be reliable, but the accuracy of such information cannot be guaranteed.

This presentation is not an offer to sell, or a solicitation of any offer to buy, any security or to enter into any agreement with Hamilton Lane or any of its affiliates. Any such offering will be made only at your request. We do not intend that any public offering will be made by us at any time with respect to any potential transaction discussed in this presentation. Any offering or potential transaction will be made pursuant to separate documentation negotiated between us, which will supersede entirely the information contained herein.

Certain of the performance results included herein do not reflect the deduction of any applicable advisory or management fees, since it is not possible to allocate such fees accurately in a vintage year presentation or in a composite measured at different points in time. A client’s rate of return will be reduced by any applicable advisory or management fees, carried interest and any expenses incurred. Hamilton Lane’s fees are described in Part 2 of our Form ADV, a copy of which is available upon request.

The following hypothetical example illustrates the effect of fees on earned returns for both separate accounts and fund-of-funds investment vehicles. The example is solely for illustration purposes and is not intended as a guarantee or prediction of the actual returns that would be earned by similar investment vehicles having comparable features. The example is as follows: The hypothetical separate account or fund-of-funds consisted of $100 million in commitments with a fee structure of 1.0% on committed capital during the first four years of the term of the investment and then declining by 10% per year thereafter for the 12-year life of the account. The commitments were made during the first three years in relatively equal increments and the assumption of returns was based on cash flow assumptions derived from a historical database of actual private equity cash flows. Hamilton Lane modeled the impact of fees on four different return streams over a 12-year time period. In these examples, the effect of the fees reduced returns by approximately 2%. This does not include performance fees, since the performance of the account would determine the effect such fees would have on returns. Expenses also vary based on the particular investment vehicle and, therefore, were not included in this hypothetical example. Both performance fees and expenses would further decrease the return.

Hamilton Lane (Germany) GmbH is a wholly-owned subsidiary of Hamilton Lane Advisors, L.L.C. Hamilton Lane (Germany) GmbH is authorised and regulated by the Federal Financial Supervisory Authority (BaFin). In the European Economic Area this communication is directed solely at persons who would be classified as professional investors within the meaning of Directive 2011/61/EU (AIFMD). Its contents are not directed at, may not be suitable for and should not be relied upon by retail clients.

Hamilton Lane (UK) Limited is a wholly-owned subsidiary of Hamilton Lane Advisors, L.L.C. Hamilton Lane (UK) Limited is authorised and regulated by the Financial Conduct Authority (FCA). In the United Kingdom this communication is directed solely at persons who would be classified as a professional client or eligible counterparty under the FCA Handbook of Rules and Guidance. Its contents are not directed at, may not be suitable for and should not be relied upon by retail clients.

Hamilton Lane Advisors, L.L.C. is exempt from the requirement to hold an Australian financial services licence under the Corporations Act 2001 in respect of the financial services by operation of ASIC Class Order 03/1100: U.S. SEC regulated financial service providers. Hamilton Lane Advisors, L.L.C. is regulated by the SEC under U.S. laws, which differ from Australian laws. The PDS and target market determination for the Hamilton Lane Global Private Assets Fund (AUD) can be obtained by calling 02 9293 7950 or visiting our website www.hamiltonlane.com.au.

Any tables, graphs or charts relating to past performance included in this presentation are intended only to illustrate the performance of the indices, composites, specific accounts or funds referred to for the historical periods shown. Such tables, graphs and charts are not intended to predict future performance and should not be used as the basis for an investment decision.

The information herein is not intended to provide, and should not be relied upon for, accounting, legal or tax advice, or investment recommendations. You should consult your accounting, legal, tax or other advisors about the matters discussed herein.

The calculations contained in this document are made by Hamilton Lane based on information provided by the general partner (e.g. cash flows and valuations), and have not been prepared, reviewed or approved by the general partners.

This material is being issued by Hamilton Lane (UK) Limited (DIFC Branch) (''Hamilton Lane DIFC''). Hamilton Lane DIFC is regulated by the Dubai Financial Services Authority (''DFSA''). This document is intended for Professional Clients and Market Counterparties only as defined by the DFSA and no other person should act upon it.

In some instances, this presentation may be distributed by MPW Capital Advisors Limited (“MPW”) on behalf of Hamilton Lane and is for informational purposes only. MPW is incorporated in the Abu Dhabi Global Market (“ADGM”) and is authorized and regulated by the Financial Services Regulatory Authority (“FSRA”)”. Nothing contained in this presentation constitutes investment, legal or tax advice. Neither the information, nor any opinion contained in this presentation constitutes a solicitation or offer by MPW, to buy or sell any securities or other financial instruments or products. Decisions based on information contained on this presentation are the sole responsibility of the visitor. No guarantee, representation, undertaking, warranty, advice or opinion, express or implied, is given by MPW or their respective directors, officers, partners, shareholders or members or employees or agents as to the accuracy, authenticity or completeness of the information or opinions contained on this presentation and no liability is accepted by such persons for the accuracy, authenticity or completeness of any such information or opinions. Important risk factors that could impact our ability to deliver the services include, among others, the following: developments and changes in laws and regulations, including increased regulation of the financial services industry through legislative action and revised rules and standards applied by regulators. Furthermore, any opinions are subject to change and may be superseded without notice.

This presentation is intended only for Professional Clients or Market Counterparties (as defined by the Financial Services Regulatory Authority) and no other Person should act upon it.

As of April 1st, 2025