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Market-Based Solutions to Vital Economic Issues


Kenan Institute 2022 Annual Theme: Stakeholder Capitalism
Market-Based Solutions to Vital Economic Issues
Jul 7, 2020

Private Portfolio Attribution Analysis


There are many methods for conducting performance attribution with portfolios containing only liquid assets. Efforts to conduct similar types of analyses for portfolios of private equity funds (and other illiquid investments) have been thwarted by a lack of periodic asset return data and a clear understanding of what constitutes appropriate market benchmarks. We propose a method for decomposing private fund portfolio performance into effects from timing, strategy selection, geographic focus, sizing of fund allocation, and fund selection attributes. We test the method with a simulation study and derive approximate confidence intervals for assessing attribute selection skill using a large sample of historical private fund data.

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