ganoro/df1ef9f0-3138-4b76-8be9-a0e40bc4ccef/claude-plugin/skills/fund-performance

Fund Performance Metrics

Compute standard PE/VC fund performance metrics during the COMPUTE phase of the ACSR lifecycle.

Core Metrics

IRR (Internal Rate of Return)

The discount rate that makes NPV of all cash flows equal zero.

Gross IRR: Before management fees and carried interest. Net IRR: After management fees and carried interest (what LPs actually earn).

Always specify gross vs. net.

Computation

import numpy as np
from scipy.optimize import brentq

def compute_irr(cash_flows, dates):
    """
    cash_flows: list of (date, amount) tuples
                Negative = contribution (LP pays in)
                Positive = distribution (LP receives)
    Last cash flow should include residual NAV as a positive value.
    """
    from datetime import datetime

    def npv(rate):
        base_date = dates[0]
        total = 0
        for date, cf in zip(dates, cash_flows):
            years = (date - base_date).days / 365.25
            total += cf / (1 + rate) ** years
        return total

    try:
        irr = brentq(npv, -0.99, 10.0)
        return irr
    except ValueError:
        return None  # No IRR solution found

Show: All input cash flows (date, amount, type), the resulting IRR, and any assumptions about residual value.

TVPI (Total Value to Paid-In)

TVPI = (Distributions + Residual NAV) / Paid-In Capital

Cross-check: TVPI = DPI + RVPI (must hold exactly).

DPI (Distributions to Paid-In)

DPI = Total Distributions / Paid-In Capital

Also known as "cash-on-cash" or "realization ratio." Measures actual cash returned.

RVPI (Residual Value to Paid-In)

RVPI = Residual NAV / Paid-In Capital

Measures unrealized value remaining. Subject to valuation uncertainty.

PME (Public Market Equivalent)

Compares fund performance to a public market index.

Kaplan-Schoar PME

PME = (Sum of distributions compounded at index return + NAV) /
      (Sum of contributions compounded at index return)

• PME > 1.0 → Fund outperformed the index
• PME = 1.0 → Fund matched the index
• PME < 1.0 → Fund underperformed the index

State the benchmark index used (e.g., S&P 500, Russell 2000, MSCI World).

J-Curve Analysis

Plot cumulative net cash flow over time to visualize the J-curve:

| Quarter | Contributions | Distributions | Cumulative Net CF | NAV | TVPI | |---------|--------------|---------------|-------------------|-----|------| | Q1 20XX | (X,XXX) | — | (X,XXX) | X,XXX | X.Xx |

Presentation Requirements

For every metric computed:

1. State the metric name using ILPA standard terminology
2. State the value with appropriate precision (IRR: 1 decimal; multiples: 2 decimals)
3. State as-of date
4. State gross or net
5. State currency
6. Show the computation — inputs, formula, result
7. State confidence level — VERIFIED if from audited data, ESTIMATED if computed from unaudited inputs

Benchmarking Context

When presenting fund metrics, provide context:

| Metric | Fund | Benchmark Median | Benchmark Upper Quartile | Quartile Rank | |--------|------|-----------------|--------------------------|---------------| | Net IRR | X.X% | X.X% | X.X% | [1st/2nd/3rd/4th] | | TVPI | X.Xx | X.Xx | X.Xx | [1st/2nd/3rd/4th] | | DPI | X.Xx | X.Xx | X.Xx | [1st/2nd/3rd/4th] |

State the benchmark source and vintage year.

Common Pitfalls

• Don't annualize IRR for funds < 2 years old — the result is misleading
• Interim IRR ≠ final IRR — always note if the fund is still active
• NAV is an estimate — RVPI and TVPI are only as reliable as the NAV
• Management fees reduce net returns — typical 1.5-2.0% on committed/invested capital
• Carried interest — typically 20% above an 8% hurdle; affects net IRR significantly