Risk-Adjusted Returns of Private Equity Funds: A New Approach
提出新指标α来评估私募股权基金绩效，相比传统PME方法对现金流噪声更不敏感，且能提高回归检验的统计效力。
Abstract This paper introduces a new metric, α, to benchmark the performance of individual private equity funds. Our metric is substantially less sensitive to noise in fund cash flows compared to the popular public market equivalent (PME) and its generalization (GPME), while having the same aggregate pricing implications as GPME. For a large data set of fund cash flows, α estimates have much lower standard deviation across funds than does (G)PME. For buyout funds, PME and α are close, but deviate in certain subsamples. Using α increases power in regressions involving fund performance and improves performance predictability of future funds.