ОЦЕНКА ОПТИМАЛЬНОГО ОБЪЕМА ЛИКВИДНОСТИ В ЗПИФ ПРЯМЫХ ИНВЕСТИЦИЙ В РОССИИ ПРИ ОРГАНИЗАЦИИ ПЕРИОДИЧЕСКОГО ВЫКУПА ПАЕВ

Abstract:
This study evaluates the impact of forming a liquidity reserve on the characteristics of closed end private equity (PE) funds in Russia. The relevance of the research is explained by the growing access of retail investors to private equity instruments and the need to identify mechanisms for enhancing the liquidity of such funds without significantly deteriorating their investment characteristics. The paper examines the main advantages and risks of the private equity asset class and analyses international approaches for addressing the liquidity issue, including the development of the EU ELTIF 2.0 regulation, interval funds in the USA and the case studies of major international asset management companies, namely Blackstone and EQT, in creating semi liquid investment products. In the empirical part, various scenarios for forming a liquidity reserve using money market instruments are modelled on the example of the private equity fund managed by JSC «VIM Investments». For each scenario, the impact of changes in the fund’s asset structure on the expected return, risk level, and Sharpe ratio is assessed. The obtained results make it possible to estimate the economic cost of ensuring periodic redemption of investment units and to determine the trade off between increasing the fund’s liquidity and maintaining exposure to private equity.