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Kenan Institute 2024 Grand Challenge: Business Resilience
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Market-Based Solutions to Vital Economic Issues
Research
Jul 7, 2020

Private Portfolio Attribution Analysis

Abstract

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.

Note: Research papers posted on SSRN, including any findings, may differ from the final version chosen for publication in academic journals.


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