Private Equity Indices Based on Secondary Market Transactions

Brian Boyer, Taylor D. Nadauld, Keith P. Vorkink and Michael Weisbach
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Brian Boyer: Brigham Young University - J. Willard and Alice S. Marriott School of Management
Taylor D. Nadauld: Brigham Young University
Keith P. Vorkink: Brigham Young University - J. Willard and Alice S. Marriott School of Management

Working Paper Series from Ohio State University, Charles A. Dice Center for Research in Financial Economics

Abstract: Measuring the performance of private equity investments (buyout and venture) has historically only been possible over long horizons because the IRR on a fund is only observable following the fund’s final distribution. We propose a new approach to evaluating performance using actual prices paid for limited partner shares of funds in secondary markets. We construct indices of buyout and venture capital performance using a proprietary database of secondary market prices between 2006 and 2017. These transaction-based indices exhibit significantly higher betas and volatilities, and lower alphas than NAV-based indices built from Preqin and obtained from Burgiss. There are a number of potential uses for these indices. In particular, they provide a way to track the returns of the buyout and venture capital sectors on a quarter-to-quarter basis and to value illiquid stakes in funds.

JEL-codes: G11 G23 G24 (search for similar items in EconPapers)
Date: 2018-10
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Citations: View citations in EconPapers (4)

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Working Paper: Private Equity Indices Based on Secondary Market Transactions (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:ecl:ohidic:2018-21

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