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The Journal of Private Equity

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Private Equity Program Breadth and Strategic Asset Allocation

Alexander Rudin, Jason Mao, Nan R. Zhang and Anne-Marie Fink
The Journal of Private Equity Spring 2019, 22 (2) 19-26; DOI: https://doi.org/10.3905/jpe.2019.22.2.019
Alexander Rudin
is a managing director at State Street Global Advisors in Boston, MA
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Jason Mao
is a vice president at State Street Global Exchange in Boston, MA
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Nan R. Zhang
is a vice president at State Street Global Exchange in Cambridge MA
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Anne-Marie Fink
is a managing director at State Street Global Advisors in Stamford, CT
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Abstract

It is quite often the case that investors form views on private equity program return and cash flow profiles by analyzing broad-based swaths of the private equity industry, while side-stepping idiosyncratic risks associated with narrower, realistic baskets of private equity pools. This article remedies this by performing an empirical analysis of private equity historical performance while accounting for program diversification. Comparing a private equity program to peer group averages is somewhat unfair, as such methodology favors larger programs, arguably without merit. The authors explain a way to correct for this bias. Finally, the authors present a probabilistic strategic asset allocation framework for private equity programs that help make informed trade-offs between breadth, strategy mix, and associated costs.

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The Journal of Private Equity: 22 (2)
The Journal of Private Equity
Vol. 22, Issue 2
Spring 2019
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Private Equity Program Breadth and Strategic Asset Allocation
Alexander Rudin, Jason Mao, Nan R. Zhang, Anne-Marie Fink
The Journal of Private Equity Feb 2019, 22 (2) 19-26; DOI: 10.3905/jpe.2019.22.2.019

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Private Equity Program Breadth and Strategic Asset Allocation
Alexander Rudin, Jason Mao, Nan R. Zhang, Anne-Marie Fink
The Journal of Private Equity Feb 2019, 22 (2) 19-26; DOI: 10.3905/jpe.2019.22.2.019
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  • Article
    • Abstract
    • HISTORICAL PRIVATE EQUITY RETURNS THROUGH THE TVPI LENS
    • TVPI-TARGETING AND STRATEGIC ASSET ALLOCATION
    • TAKEAWAYS AND CONCLUDING REMARKS
    • APPENDIX
    • ENDNOTES
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