Private Equity Fund Performance: A Time-Series Approach

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance Pub Date : 2025-04-28 DOI:10.1016/j.jbankfin.2025.107470

Apollon Fragkiskos , Olga Krasotkina , Harold D. Spilker III , Russ Wermers

引用次数: 0

Abstract

We introduce an estimator that measures factor exposures and alphas of individual private equity funds, with minimal assumptions about the fund return data-generating process (DGP). Simulations using varying assumptions about the DGP indicate that our estimator exhibits lower mean-squared-error (bias plus variance) than competing time-series estimators. Applying our model to a newly available commercial dataset, PitchBook, we uncover new findings of economic importance: buyout managers have higher average skill levels than claimed by past studies; portfolios are marked with forward-looking and lagged multiples of factors; and skill and systematic exposures vary significantly over time.

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私募股权基金业绩：时间序列方法

我们引入了一个估算器来衡量单个私募股权基金的因素暴露和阿尔法，对基金回报数据生成过程（DGP）的假设最小。使用关于DGP的不同假设的模拟表明，我们的估计器比竞争时间序列估计器具有更低的均方误差（偏差加方差）。将我们的模型应用于最新可用的商业数据集PitchBook，我们发现了具有经济重要性的新发现：收购经理的平均技能水平高于过去的研究；投资组合带有前瞻性和滞后因素的倍数；随着时间的推移，技能和系统的暴露程度会有很大的不同。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Banking & Finance Multiple-

CiteScore

6.40

自引率

5.40%

发文量

262

期刊介绍： The Journal of Banking and Finance (JBF) publishes theoretical and empirical research papers spanning all the major research fields in finance and banking. The aim of the Journal of Banking and Finance is to provide an outlet for the increasing flow of scholarly research concerning financial institutions and the money and capital markets within which they function. The Journal''s emphasis is on theoretical developments and their implementation, empirical, applied, and policy-oriented research in banking and other domestic and international financial institutions and markets. The Journal''s purpose is to improve communications between, and within, the academic and other research communities and policymakers and operational decision makers at financial institutions - private and public, national and international, and their regulators. The Journal is one of the largest Finance journals, with approximately 1500 new submissions per year, mainly in the following areas: Asset Management; Asset Pricing; Banking (Efficiency, Regulation, Risk Management, Solvency); Behavioural Finance; Capital Structure; Corporate Finance; Corporate Governance; Derivative Pricing and Hedging; Distribution Forecasting with Financial Applications; Entrepreneurial Finance; Empirical Finance; Financial Economics; Financial Markets (Alternative, Bonds, Currency, Commodity, Derivatives, Equity, Energy, Real Estate); FinTech; Fund Management; General Equilibrium Models; High-Frequency Trading; Intermediation; International Finance; Hedge Funds; Investments; Liquidity; Market Efficiency; Market Microstructure; Mergers and Acquisitions; Networks; Performance Analysis; Political Risk; Portfolio Optimization; Regulation of Financial Markets and Institutions; Risk Management and Analysis; Systemic Risk; Term Structure Models; Venture Capital.