Skill and luck in private equity performance

• 成果类型: Article
• 署名作者: Korteweg, Arthur; Sorensen, Morten
• 署名单位: University of Southern California; Copenhagen Business School
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2017.03.006
• 发表日期: 2017
• 页码: 535-562
• 关键词: persistence; PRIVATE EQUITY; venture capital; skill; learning

摘要

Private equity (PE) performance is persistent, with PE firms consistently producing high (or low) net-of-fees returns. We use a new variance decomposition model to isolate three components of persistence. We find high long-term persistence: the spread in expected net-of-fee future returns between top and bottom quartile PE firms is 7-8 percentage points annually. This spread is estimated controlling for spurious persistence, which arises mechanically from the overlap of contemporaneous funds. Performance is noisy, however, making it difficult for investors to identify the PE funds with top quartile expected future performance and leaving little investable persistence. (C) 2017 Elsevier B.V. All rights reserved.