TY - JOUR T1 - S&amp;P Listed Private Equity Index: <em>Performance Analysis and Maximizing the Coefficient of Determination</em> JF - The Journal of Private Equity SP - 96 LP - 101 DO - 10.3905/jpe.2012.15.3.096 VL - 15 IS - 3 AU - Manu Sharma AU - Rajnish Aggarwal Y1 - 2012/05/31 UR - https://pm-research.com/content/15/3/96.abstract N2 - This research study examines the relationship of the S&amp;P Listed Private Equity Index (LPE) with the S&amp;P 500, S&amp;P 600, S&amp;P 400, and S&amp;P Global 1200 Indices by calculating the coefficient of determination during the last five years. The S&amp;P LPE is composed of 30 leading listed private equity companies that meet size, liquidity, exposure, and activity requirements. The coefficient of determination indicates the percentage of the variation in the S&amp;P LPE that can be explained and accounted for by the S&amp;P 500, S&amp;P 600, S&amp;P 400, and S&amp;P Global 1200 in the regression analysis. The study also investigates the performance of the S&amp;P LPE relative to the other indices. The performance was measured by calculating the yearly as well as five-year Sharpe ratios of the S&amp;P LPE and comparing them with the Sharpe ratios of the market indices. The study shows that the S&amp;P LPE had lower fiveyear average returns than did the S&amp;P 500,S&amp;P 600,S&amp;P 400, and S&amp;P Global 1200. The five-year Sharpe ratios also indicate that the S&amp;P LPE was not able to outperform these four market indices during last five years.TOPICS: Private equity, statistical methods, performance measurement, style investing ER -