Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JPE
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use

User menu

  • Sample our Content
  • Subscribe Now
  • Log in

Search

  • Advanced search
The Journal of Private Equity
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Subscribe Now
  • Log in
The Journal of Private Equity

The Journal of Private Equity

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JPE
    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter
Article

The Alpha, Beta, and Consistency of Private Equity
Reported Returns

Frank Jian Fan, Grant Fleming and Geoffrey J. Warren
The Journal of Private Equity Fall 2013, 16 (4) 21-30; DOI: https://doi.org/10.3905/jpe.2013.16.4.021
Frank Jian Fan
is an investment analyst at AMP Capital Investors in Sydney, Australia.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: frank.fan@ampcapital.com
Grant Fleming
is a partner at Continuity Capital Partners in Canberra, Australia.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: grant.fleming@continuitycp.com
Geoffrey J. Warren
is a senior lecturer at the Australian National University in Canberra, Australia.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: geoff.warren@anu.edu.au
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Click to login and read the full article.
Don’t have access? Sign up today to begin your trial to the PMR platform 

Abstract

The reported returns of U.S. private equity funds are benchmarked against passive exposures from public equity markets. Over the full sample period, private equity returns display three factors: market beta of less than one, small transaction size and growth, and a four-quarter lag behind public markets. Buyout funds delivered alpha of about 5.5% per annum; venture capital performed poorly. Closer examination reveals that these estimates are inconsistent over time, cautioning against extrapolation from historical averages.

  • © 2013 Pageant Media Ltd
View Full Text

Don’t have access? Register today to begin unrestricted access to our database of research.

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Private Equity: 16 (4)
The Journal of Private Equity
Vol. 16, Issue 4
Fall 2013
  • Table of Contents
  • Index by author
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Private Equity.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
The Alpha, Beta, and Consistency of Private EquityReported Returns
(Your Name) has sent you a message from The Journal of Private Equity
(Your Name) thought you would like to see the The Journal of Private Equity web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
The Alpha, Beta, and Consistency of Private Equity
Reported Returns
Frank Jian Fan, Grant Fleming, Geoffrey J. Warren
The Journal of Private Equity Aug 2013, 16 (4) 21-30; DOI: 10.3905/jpe.2013.16.4.021

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
The Alpha, Beta, and Consistency of Private Equity
Reported Returns
Frank Jian Fan, Grant Fleming, Geoffrey J. Warren
The Journal of Private Equity Aug 2013, 16 (4) 21-30; DOI: 10.3905/jpe.2013.16.4.021
del.icio.us logo Digg logo Reddit logo Twitter logo CiteULike logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • BACKGROUND AND MOTIVATION
    • METHOD
    • DATA
    • RESULTS
    • CONSISTENCY OF ALPHA AND BETA ESTIMATES
    • ROBUSTNESS USING PREQIN DATA
    • CONCLUSION
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • Has Private Equity Performed for Investors? An Annotated Bibliography
  • Detecting Factor Risk in Private Asset Returns
  • Valuing a Private Equity Carried Interest as a Call Option on Fund Performance
  • Measuring Liquidity Premiums for Illiquid Assets
  • Google Scholar

More in this TOC Section

  • Editor’s Letter
  • Editor’s Letter
  • For Whom the Bell (Curve) Tolls: A to F, Trade Your Grade Based on the Net Present Value of Friendships with Financial Incentives
Show more Article
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log In
  • Update your profile
  • Give us your feedback

© 2021 Pageant Media Ltd | All Rights Reserved | ISSN: 1096-5572 | E-ISSN: 2168-8508

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies