Research and Commentaries

Reflections on the Nature of Risk-adjusted Returns in PE

The traditional definition of risk, associated with volatility in the traditional assets, does not easily apply to private equity. Any calculation of volatility figures should be based on time-weighted returns on the highest possible data frequency and number of observations.

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Insight into the Pattern of Private Equity Fund Returns

Variance-to-mean ratios for the vintages 1995 through 2007 show under-dispersion of the distribution of annualized log returns of U.S. buyout funds compared to the public market benchmark.

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