Private equity for pension plans? Evaluating private equity performance from an investor's perspective

• 成果类型: Article
• 署名作者: Korteweg, Arthur; Panageas, Stavros; Systla, Anand
• 署名单位: University of California System; University of California Los Angeles; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2026.104336
• 发表日期: 2026-10
• 页码: 104336
• 关键词: private equity; performance; risk-adjustment; skill; Pension funds; governance; LIMITED PARTNER PERFORMANCE; asset allocation; state

摘要

We evaluate private equity (PE) performance using investor-specific stochastic discount factors, and examine whether public pension plans could benefit from changing their allocation to PE. Plans invest in PE funds with higher than average risk-adjusted performance. This is mainly due to access to successful managers, not superior selection skill. Decomposing returns into risk-compensation and alpha, we find that some plans obtain higher PE returns by taking more risk without earning higher, and in some cases earning lower, risk-adjusted returns, broadly consistent with agency problems within plans.