Rico von Wyss

Private Equity Funds of Funds vs. Funds: A Performance Comparison

Based on a comprehensive sample of 1,641 funds, this article investigates the performance of private equity funds of funds versus direct fund investments. On a risk-adjusted basis, funds of funds outperform the aggregated direct funds. When separated into categories such as buyout, venture, and fund of funds, buyout funds exhibit the most attractive risk–return profile. Analyzing how fund performance depends on macroeconomic variables, direct funds generate pro-cyclical returns: Returns increase with high public market performance and economic growth as well as declining corporate bond yields. For funds of funds, we cannot observe such a pattern.

Equity Market Fragmentation in the Swiss Market

The implementation of MiFID has lead to fragmentation of liquidity in European equity trading. We analyze longterm effects of MiFID on liquidity with a new sample of Swiss stocks and do not find evidence for a worsening of market quality. In contrast, liquidity measures indicate a general increase in market quality. The analyzis of information information processing on Chi-X and the Swiss exchange reveals that according to Hasbrouck information shares, the determination of a leading market is not conclusively possible. By applying an autoregressive conditional intensity (ACI) model that explicitly takes the asynchronous structure of order arrivals into account, we find strong evidence that Chi-X is the leading market in terms of intensity based information shares.