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Aggregate private multiples with paid-in weights

A pooled TVPI equals the paid-in-weighted average of compatible individual TVPIs.

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Sum the underlying amounts

For funds on a compatible basis, aggregate paid-in, distributions and residual value separately. The pooled multiple is the aggregate numerator divided by aggregate paid-in. An equal-weighted average instead gives every fund equal importance regardless of size.

Recover the correct weights

Let wi = Pi/ΣPi. Then Σwi×TVPIi = Σ(Di+Vi)/ΣPi. The identity follows from cancellation of each component paid-in denominator, rather than an assumption that all funds are the same size.

TVPIpool=∑iPi∑jPjTVPIi\mathrm{TVPI}_{pool}=\sum_i\frac{P_i}{\sum_jP_j}\mathrm{TVPI}_i

This combines compatible amounts; dates still matter for an IRR.

Inspect unequal contributions

Fund A has paid-in 50 and total value 75; fund B has paid-in 150 and total value 180. Their TVPIs are 1.5 and 1.2. Pooled TVPI is 255/200 = 1.275, using weights 25% and 75%. Equal averaging gives 1.35.

Keep incompatible funds out of an unexplained sum

Currency, cutoff dates, fee bases and investor populations need reconciliation before amounts can be pooled. A pooled ratio is not a pooled IRR, and an IRR is not formed by applying these multiple weights to component IRRs.

Further references