Private Equity for Pension Plans? Evaluating Private Equity Performance from an Investor's Perspective

Arthur Korteweg, Stavros Panageas and Anand Systla

No 33194, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We evaluate private equity (PE) performance using investor-specific stochastic discount factors, and examine whether investors could benefit from changing their allocation to PE. Plans invest in PE funds with higher average risk-adjusted performance. This is mainly due to access to successful PE 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.

JEL-codes: G11 G12 G23 G24 H75 (search for similar items in EconPapers)
Date: 2024-11
New Economics Papers: this item is included in nep-age
Note: AP CF PE PR
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