Private Equity Indices Based on Secondary Market Transactions / Brian Boyer, Taylor D. Nadauld, Keith P. Vorkink, Michael S. Weisbach.

Format:

Book

Author/Creator:

Boyer, Brian.

Contributor:

National Bureau of Economic Research.

Nadauld, Taylor D.

Vorkink, Keith P.

Weisbach, Michael S.

Series:

Working Paper Series (National Bureau of Economic Research) no. w25207.

NBER working paper series no. w25207

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2018.

Summary:

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.

Notes:

Print version record

November 2018.