Private Equity Fund Performance: A Time-Series Approach

Apollon Fragkiskos; Olga Krasotkina; Harold D. Spilker; Russ Wermers

doi:10.1016/j.jbankfin.2025.107470

Journal of Banking & Finance Vol. 177 2025

Private Equity Fund Performance: A Time-Series Approach

Apollon Fragkiskos¹; Olga Krasotkina²; Harold D. Spilker³; Russ Wermers⁴

¹ Centro de Estudios Monetarios y Financieros · ² KES International · ³ University of Hawaiʻi at Mānoa · ⁴ University of Maryland, College Park

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.

DOI: 10.1016/j.jbankfin.2025.107470
Volume: 177
Pages: 107470
Language: en
Sources: openalex crossref bibtex:phds-export.bib

Private Equity Fund Performance: A Time-Series Approach

Abstract

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