Revisiting private equity performance computation for multi-asset investors

Edouard Nouvellon () and Hugues Pirotte Speder
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Edouard Nouvellon: Université Libre de Bruxelles

Journal of Asset Management, 2019, vol. 20, issue 6, No 2, 432 pages

Abstract: Abstract Private equity has increasingly been used in portfolio for all types of investors as family offices or ultra-high net worth individuals. Financial literature proposes different ways to compute private equity performances with results that can question the promised over-performance on public equities. The investment process in private equity funds with the system of committed capital and called capital can have a huge impact of the private equity performance in the whole portfolio and in multi-assets framework. This paper proposes an empirical study that integrates the J-curve effect on the private equity part of a portfolio and its scaling effect with the low-rate environment.

Keywords: Private equity performance; Opportunity cost of investment; General partner; Limited partner; Multi-asset investors; J-curve; Capital calls; Deposit rate; IRR; Multiple on invested capital (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1057/s41260-019-00135-3

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