Risk-Adjusted Returns of Private Equity Funds: A New Approach

• 成果类型: Article
• 署名作者: Korteweg, Arthur; Nagel, Stefan
• 署名单位: University of Southern California; University of Chicago; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR)
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhae067
• 发表日期: 2025
• 页码: 2557
• 关键词: LIMITED PARTNER PERFORMANCE; VENTURE CAPITAL NETWORKS; cross-section; INVESTMENT; skill; persistence; valuation; liquidity; DYNAMICS; FLOWS

摘要

This paper introduces a new metric, alpha, to benchmark the performance of individual private equity funds. Our metric is substantially less sensitive to noise in fund cash flows compared to the popular public market equivalent (PME) and its generalization (GPME), while having the same aggregate pricing implications as GPME. For a large data set of fund cash flows, alpha estimates have much lower standard deviation across funds than does (G)PME. For buyout funds, PME and alpha are close, but deviate in certain subsamples. Using alpha increases power in regressions involving fund performance and improves performance predictability of future funds.