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Article

Volatility and Returns Analysis of U.S. PE Index

Manu Sharma, Ashutosh Gupta and Jaspreet Sidhu
The Journal of Private Equity Summer 2011, 14 (3) 38-41; DOI: https://doi.org/10.3905/jpe.2011.14.3.038
Manu Sharma
is an assistant professor at the University Institute of Applied Management Science at Panjab University in Chandigarh, India.
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  • For correspondence: manumba2000@yahoo.com
Ashutosh Gupta
is an MBA student at the University Institute of Applied Management Sciences at Panjab University, in Chandigarh, India.
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  • For correspondence: gupta.ashutosh46@gmail.com
Jaspreet Sidhu
is a student at Kenan Flager Business School at University of North Carolina, Chapel Hill in Chapel Hill, NC.
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  • For correspondence: jas_sidhu@kenan-flagler.unc.edu
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Abstract

This research examines the trends in the U.S. PE Total Return Index and the market, as represented by the S&P 500 Index, over the last five years. The study shows that there was high degree of positive correlation between returns on the PE index and the S&P 500.The study suggests that the PE index was far more sensitive than the S&P 500. The study also shows that the PE index outperformed the S&P 500 when total risk is taken into consideration but fails to perform better if only systematic risk is taken into consideration. When it comes to the future trends in their movements, the authors predict that in the first two years S&P 500 will perform better than the PE index, but in the next three years after that, the PE index will outperform the S&P 500. All in all, the study suggests that the PE index is more sensitive, more volatile, and more rewarding than the S&P 500.

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The Journal of Private Equity: 14 (3)
The Journal of Private Equity
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Volatility and Returns Analysis of U.S. PE Index
Manu Sharma, Ashutosh Gupta, Jaspreet Sidhu
The Journal of Private Equity May 2011, 14 (3) 38-41; DOI: 10.3905/jpe.2011.14.3.038

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Volatility and Returns Analysis of U.S. PE Index
Manu Sharma, Ashutosh Gupta, Jaspreet Sidhu
The Journal of Private Equity May 2011, 14 (3) 38-41; DOI: 10.3905/jpe.2011.14.3.038
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