RT Journal Article SR Electronic T1 The Alpha, Beta, and Consistency of Private Equity
Reported Returns JF The Journal of Private Equity FD Institutional Investor Journals SP 21 OP 30 DO 10.3905/jpe.2013.16.4.021 VO 16 IS 4 A1 Frank Jian Fan A1 Grant Fleming A1 Geoffrey J. Warren YR 2013 UL https://pm-research.com/content/16/4/21.abstract AB 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