Читать книгу Alternative Investments 2.0 - Группа авторов - Страница 45

Source: StepStone Private Debt Internal Database

Looking at the first percentile of these distributions (i.e., the 99^th percentile Value at Risk), one notices that the values in the first-lien segment vary from 4.5% to 5.5%, whereas the second-lien value is 1.5%, showing the risk carried by junior capital instruments. Nevertheless, these figures also illustrate the defensive nature of private debt investments because the values stayed positive even for second-lien loans.

In the post-GFC period, riskier instruments benefited from the economic expansion whereas first-lien instruments demonstrated their robustness through the cycle and outperformed their pre-crisis returns. In both periods, the upside potential of the upper middle market was limited but the sector is important in the portfolio construction process as target returns have a higher probability of materializing. Among the three first-lien market segments, lower-middle-market loans offer the best relative value across the cycle. Indeed, they delivered higher returns in both the pre and post-crisis periods without exposing investors to excessive volatility.