The privateMetrics asset pricing model enables the fair market value of unlisted private equity investments to be estimated in a robust and dynamic manner. It solves the twin problems in private markets of smoothed reported NAVs, that are not convincingly marked-to-market or capture risk, and of the absence of a sufficient number of observable transaction prices.

This paper proposes a factor model based solution that, when calibrated with transaction data and novel risk factors, can transform sparse, noisy, and biased transaction data into meaningful information that aids asset allocation, benchmarking, and monitoring of private investments.