Private Equity Fund Performance: A Time-Series Approach

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

Journal of Banking & Finance, 2025, vol. 177, issue C

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.

Keywords: Private Equity; Buyout Funds; Time-Series; Machine Learning; Cross-Validation; Factor Modeling; Long Horizons; Overlapping (search for similar items in EconPapers)
JEL-codes: C01 C22 G12 G17 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:177:y:2025:i:c:s0378426625000901

DOI: 10.1016/j.jbankfin.2025.107470

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