KROLL-创造价值归因白皮书（英）_11页_1mb

Summary

Private equity (PE) value creation is significantly impacted by rising interest rates, as seen in recent years following a shift from historically low rates. The key impacts include reduced debt capacity, increased interest expenses, and higher costs of debt, all contributing to an increase in the weighted-average cost of capital (WACC), which reduces valuation multiples and decreases portfolio company values.

The Kroll CVA Framework, also known as the Duff & Phelps CVA Framework or Viscio-Pushner Model, attributes value creation to four fundamental sources: industry/sector, beta (capital markets), deleveraging, and alpha. While WACC changes and beta can cause negative value trends, deleveraging is particularly sensitive to interest rate increases. Quantitative analyses show potential losses in multiple on invested capital (MOIC), especially in scenarios where investments are made during low-rate periods and exits occur during high-rate periods. Strategic focus should now be on driving alpha through business improvements like revenue growth, margin enhancements, and risk adjustments, rather than relying solely on financial engineering.

For instance, a thought experiment estimates a 11% loss in value creation (MOIC) under moderate interest rises, highlighting deleveraging as a key vulnerability. As interest rates stabilize, outlooks may improve slightly, but the dependency on lower multiples could continue to limit returns. Overall, the rising rate environment necessitates a shift in PE strategies toward robust business performance.