Private Equity Indices Based on Secondary Market Transactions

Brian Boyer, Taylor D. Nadauld, Keith P. Vorkink and Michael Weisbach

No 25207, NBER Working Papers from National Bureau of Economic Research, Inc

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: 2018-11
Note: AP CF
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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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