TY - JOUR T1 - The Alpha, Beta, and Consistency of Private Equity<br/>Reported Returns JF - The Journal of Private Equity SP - 21 LP - 30 DO - 10.3905/jpe.2013.16.4.021 VL - 16 IS - 4 AU - Frank Jian Fan AU - Grant Fleming AU - Geoffrey J. Warren Y1 - 2013/08/31 UR - https://pm-research.com/content/16/4/21.abstract N2 - 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.TOPICS: Private equity, statistical methods, performance measurement, analysis of individual factors/risk premia ER -