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Institutional Buyout Fund Investments
Draft – Comments and Feedback Welcome
Oliver Gottschalg
HEC Paris
January 2016
Abstract:
We present and elaborate on a new and unique data set on aggregate net returns of buyout
transactions sponsored by global institutional investors. The data allows us to calculate various
absolute and relative performance measures according to fund vintages, geographic regions, and other
classification criteria. We show that buyout funds outperformed public markets independent of the
selection of a representative benchmark index over the globe for almost all vintages. We also reveal
that grouping general partners into performance quartiles is subject to a notable risk of
misspecification caused by the arbitrary choice of the performance measure. We finally address the
capital risk of buyout funds, document substantial differences in the performance dispersion of buyout
funds, as well as an interesting negative relationship between aggregate returns and return dispersion,
across time and geographies.
Please address all correspondence to: Oliver GOTTSCHALG, HEC School of Management, Paris; 78351
JouyenJosas, France; gottschalg@hec.fr
Financial support from the HEC PE Observatory and the Fondation HEC are gratefully acknowledged.
We thank the ILPA and Cambridge Associates for making this project possible through generous access
to their databases. We are especially grateful to Alexander Groh who substantially contributed to this
draft.
Despite the large increase in investments in private equity funds and the accompanying academic
and practitioner scrutiny, the historical performance of buyouts (BO) remains uncertain, if not
controversial. The uncertainty has been driven by the uneven disclosure of buyout fund returns and
questions about the representativeness of data available for research. While several commercial
enterprises collect performance data, they do not obtain information for all funds; they often do not
disclose, or even collect, fund cash flows; and the source of the data is sometimes obscure, resulting in
concerns about biases in the samples. Furthermore, some data are only periodically made available to
academic researchers.
In this paper, we use a new dataset provided by the Institutional Limited Partners Association
(ILPA), via their partnership with Cambridge Associates. The ILPA dataset, which is a subset of the
broader Cambridge Associates benchmark universe, has not been used before in academic research.
Initially founded as an informal networking group, the ILPA has grown to include over 300 member
organizations including Public Pensions, Corporate Pensions, Endowments, Foundations, Family
Offices, and Insurance Companies from around the world representing over US $1 trillion of private
equity assets globally. A key attribute is that the data are derived entirely from investments made by
established institutional investors (the limited partners or LPs) which are members of ILPA1,2. As such,
it is not necessarily representative for all buyout fund investments, but per design suitable to inform
our understanding of the risk and return characteristics of the kind of buyout fund investments
typically made by large institutional investors, which is the objective of the present study. Going
forward, referring to our data, “institutional buyout funds”, is defined as the type of buyout funds ILPA
members invested in, while we acknowledge that there most certainly are buyout funds receiving
commitments from institutional investors that are not members of the ILPA.
Using the detailed information on net cash flows over time and residual net asset values of the
funds contained in this dataset, we reassess the returns of buyout funds in absolute terms and relative
to public markets and provide insights into the capital risk of different subsegments of institutional
buyout funds. Our results points to an overall strong performance of buyout funds: The public market
equivalent (PME) method of Kaplan and Schoar (2005), which compares how much a PE fund investor
actually earned net of fees to what the investor would have earned in an equivalent investment in the
1
ILPA members represent approximately 50% of all institutional commitments to private equity funds, and are
comprised of public pensions (34% of the total membership count), corporate pensions (13%), endowments/
foundations (14%), insurance companies (11%), family offices (11%), investment companies (7%) and other
organizations (10%).
2
To join the ILPA, an organization must meet the following criteria: 1) Must be actively investing and/or
managing or intending to invest in private equity; 2) Must predominantly invest/allocate private equity capital as
a limited partner rather than a general partner; 3) Must be investing/allocating its source of private equity capital
for its or its affiliated companies’ account with longevity; 4) Does not have a history/established process/or team
to raise private equity capital with a private placement memorandum or similar marketing materials
2
public market, shows that outperformance versus the MSCI World Index can be observed at the
aggregate and for most combinations of vintage years and geographies. Buyout fund outperformance
remains similar in magnitude using other benchmarks, such as the S&P 500, the (smallcap) Russell
2000, the Russell 2000 Value and the Russell 3000 index. These results are consistent with those in
Robinson and Sensoy (2011a) who use data from a single large LP who, they argue, invested much like
an index fund, particularly for buyout funds. We also review the results of using alternative return
measures for buyout funds and document that grouping buyout funds into performance quartiles is
subject to a notable risk of misclassification caused by the arbitrary choice of the performance
measure.
We also examine whether fund performance is linked to capital flows and find that both absolute
performance and performance relative to public markets are negatively related to aggregate capital
commitments. This is consistent with and extends the results in Kaplan and Stromberg (2009). This
result also is consistent with those in Robinson and Sensoy (2011a) except that they do not find a
negative relation between capital commitments and buyout fund PMEs. Interestingly, we also observe
that aggregate capital commitments are negatively related to fund duration, i.e. the time between the
capital weighted average date of cash outflows and the capital weighted average date of cash inflows.
We finally address the capital risk of buyout funds, document substantial differences in the
performance dispersion of buyout funds, as well as an interesting negative relationship between
aggregate returns and return dispersion, across time and geographies.
1. Data
The dataset used in this study (ILPA Dataset) contains net cash flow details and residual value (NAV)
information (denominated in the currency of each given fund) through March 31st, 2014, on buyout
transactions made by 881 institutional buyout funds worldwide, 771 of which have been raised prior
to 2009, which makes them sufficiently mature for a meaningful analysis of their performance. 474 of
these funds are geographically focused on North America. It is the result of a collaboration between
the ILPA and advisory firm Cambridge Associates. Both the ILPA and Cambridge Associates are
uniquely positioned within the private equity industry. With the ILPA’s global base of institutional
limited partners and Cambridge Associates’ vast dataset of private fund performance data (Cambridge
Universe2), the two formed a partnership in 2011 to create a benchmark that represents the private
2
The data is not provided by ILPA members per se, but drawn from data made available to Cambridge Associates
from various sources through its research, performance reporting and advisory activities in the PE industry.
3
equity portfolios of ILPA member organizations. To create this benchmark, the ILPA sources fund lists
from the majority of its membership base. The unique list of ILPA member fund names (the ILPA
Universe) is reconciled against the larger Cambridge Universe, with the overlapping funds representing
the constituents of the ILPA Private Markets Benchmark. Cambridge Associates then calculates
performance analytics based upon these constituent funds and provides ILPA members with a suite of
quarterly benchmark reports.
Table 1 presents a comparison of the subset of mature North American institutional buyout funds
in our database with comparable samples available in commercial databases and samples used by
other researchers. It breaksdown our sample according to the funds’ vintage3 years and compares it
with data extracted from Burgiss, from Venture Economics, from Preqin, and from Cambridge
Associates and with the datasets used in Kaplan and Schoar (2009) and Robinson and Sensoy (2011a).
======================
Insert Table 1 here
======================
Table 1 illustrates that while only a subset of all North American buyout funds received
commitments from ILPA members, the distribution of those funds across time seems to be following a
pattern similar to that of the overall universe of North American buyout funds as captured by the
different databases.
2. Buyout Performance
A. Performance measures
Buyout performance is usually measured in two “traditional” ways. The most widely used metrics
among funds and investors are the fund IRR and the investment multiple (the Total Value over PaidIn
Capital – TVPI). The former measures the LP's annualized rate of return based on fund contributions
and distributions, net of fees and net of profit shares (also known as carried interest) paid to the GP.
Until all the fund’s investments are realized, and the cash returned to the investors, the IRR calculation
includes the estimated value of any unrealized investments (the residual net asset value, or NAV) as of
the last reporting date as a final "cash flow." The IRR is defined as the rate of return which sets the
discounted values of all future cash inflows and outflows to zero. The investment multiple is the sum
3
For this classification, the vintage year definition of each of the respective data providers was used. For the
ILPA dataset, the CA definition (legal inception date) is used.
4
of all received distributions, net of fees and carried interest, plus the value of unrealized investments
over the sum of all contributions (by the investors).
In addition to the “traditional” performance measures IRR and investment multiple new
performance measures have emerged which address existing weaknesses.4 An important weakness is
the missing adjustment for any benchmark return when using the IRR or the investment multiple. The
general concept of the public market equivalent (PME) takes this critique into account. A PME
measures the performance of PE funds relative to a chosen stock market index. The benchmark index
serves as proxy for the valuations of potential alternative investments and therefore, measures the
opportunity cost of capital. The PME approach most widely used in academic circles, the Kaplan and
Schoar (2005) PME, (KSPME) is calculated as the ratio of the discounted values of all disbursements
over the discounted value of all investments in a particular PE transaction or over a complete PE fund.
The discount rate is the annualized return of a benchmark index where the observation dates match
the cash flow dates of the PE investment.
The KSPME does not consider the time dimension, as it is indifferent to how long capital was
deployed to generate a certain multiplication of capital relative to the stock market. Therefore, we use
two additional performance indicators developed by advisory firm PERACS5, which correct for the
weighted average of the payment time as suggested in Phalippou and Gottschalg (2009). The weighted
average of the payment time is called “duration” in the fixed income literature. It is computed by using
the present values of the payments as weights. Other than in fixed income (where the only cash
outflow usually occurs at the purchase day of a security), there may be several (followon) investments
in PE targets. In any way, on a fund level, it is necessary to calculate the average time of the capital
contributions as well. The difference between the capital weighted average date of the disbursements
and the capital weighted average date of the investments is the duration of a PE investment or fund. It
appropriately determines the time period for which the capital has been at risk. The TVPI and the KSPME of a PE fund can therefore be adjusted by using a fund’s duration and we define:
and
4
Phalippou (2009) provides a comprehensive discussion of the weaknesses of using IRR as a performance
measure.
5
The lead author of this paper cofounded PERACS in 2011 and currently serves as the firm’s head of research.
5
The most important characteristic of the proposed performance measures is the concept not to
consider the full time from vintage to liquidation of a fund but to control for the effective time the
committed capital is put at risk via the duration. The different panels of Table 2 present these return
measures of our sample funds broken down to vintage years and the geographic locations of the
managing GPs, clustered into North America, Developed Europe, Developed Asia Pacific, Emerging
Markets, and Developed Global. The performance by vintage year has been calculated using pooled
cash flows and residual values of the underlying funds of each vintage year. The KSPME in Table 2 is
calculated relative to the MSCI World Index as benchmark.
======================
Insert Table 2 here
======================
Table 2, Panel A shows the average performance figures for all of our sample funds headquartered
in North America clustered by fund’s vintage years (first column). At the bottom of the table, we
present averages over particular decades and an average over all funds which are either already
liquidated or at least are assumed to have completed their investment period (average pre 2009). The
second column provides the number of sample funds raised in this particular year. The third and fourth
show the traditional performance figures TVPI and IRR. The subsequent columns present the averages
of duration, the PERACS Rate of Return, the KSPME, the PERACS Alpha and the Market Return for
each vintage year. There is considerable variation in average performance across vintage years
indicating economic and capital market booms and busts. The averages over the decades provide
additional information on these cycles: The eighties, or the “early years” of buyout investing in North
America, for example, constitute a very successful period according to any of the proposed
performance measures6. The average TVPI in this period was 2.28, the IRR and the PERACS Rate of
Return around 15% per annum, the KSPME 1.48, and the PERACS Alpha 7%.
B. Do institutional buyout funds outperform public markets?
Although most practitioners have historically focused on absolute performance measures such as
IRRs and TVPIs, one of the key questions regarding buyout funds is how returns compare to those of
public equity. To perform such a comparison requires timed cash flows that many data providers
6
It is possible that there is a survivorship bias in this oldest part of the dataset.
6
either do not have or do not make available to researchers. Such cash flows are one of the key
strengths of our ILPA data, and the Cambridge universe from which it’s drawn. Comparisons with
public markets can be performed in the previously discussed ways. We focus on the KSPME method,
using the MSCI World index as reference benchmark, measuring aggregate relative performance of
buyout funds compared to the public markets, as well as the PERACS Alpha, which calculates the
annualized performance of a buyout fund relative to an equivalently timed investment in that same
public market. The KSPME discounts (or invests) all cash distributions and residual value to the fund at
the public market total return and divides the resulting value by the value of all cash contributions
discounted (or invested) at the public market total return. This approach can be applied to any public
market benchmarks of choice. We use the MSCI World Index as standard benchmark for our KSPME
calculations because it represents a suitable proxy for the opportunity cost of capital of institutional
investors in all geographic markets included in our sample. The KSPME can be viewed as a marketadjusted multiple of invested capital (net of fees). A KSPME of 1.30, for example, implies that at the
end of the fund's life, investors ended up with 30% more returns than they would have if they had
invested in the public market (MSCI ACWI) in a timematched fashion. The definition of the PERACS
Alpha follows this idea and breaks down the superior (or inferior) performance over the duration of a
fund. Hence, a PERACS Alpha of 9% indicates that a fund has outperformed the MSCI World
benchmark by 9% per year over its duration.
Sorensen and Jagannathan (2013) show that the concept of a public market equivalent has a strong
theoretical underpinning. Deriving such a marketadjusted multiple of invested capital is equivalent to
using the stochastic discount factor of the log utility investor to value risky cash flows. There also are
additional empirical justifications for this assumption, particularly for buyout funds. In their study of
publicly traded fundsoffunds that invest in unlisted private equity funds, Jegadeesh et al. (2009) find
that publicly traded fundsoffunds have a market beta of 1.0. Driessen, Lin, and Phalippou (2011)
report a beta of 1.3 for buyout funds. Groh and Gottschalg (2011) find average beta factors in the
range between 1 and 1.4. Axelson et al. (2013) report a beta of greater than 2 for individual buyout
fund investments gross of fees. However, their estimate overstates fund betas net of fees because the
total fees, particularly the carried interest, have a negative beta.
The KSPMEs and the PERACS Alphas presented in the various Panels of Table II highlight that
buyouts consistently (with a few exceptions in particular geographic segments7) outperformed the
public market until the 2008 vintage. However, the more recently raised funds are not yet completely
divested and much of their value is still dependent on their net asset values, which may not reliably
7
Note that small sample sizes outside North America and Europe limit the generalizability of the corresponding
findings.
7
predict the ultimate liquidation proceeds. Value appreciation over the life of the fund (the Jcurve
effect) an imminent feature of buyout investments. Therefore, valuations of unrealized parts of the
portfolios are likely downward biased.
The averages of the KSPMEs per decades at the bottom of Table II allow comparisons of the
different geographic regions. For institutional buyout investments, the most successful market and
period was Developed Europe during the 1990’s fund vintage years. In this period the average KSPME
was 1.84 which was equivalent to an annual outperformance of the MSCI World Index benchmark by
15% (= PERACS Alpha) over the average fund duration.
It is worth stressing again that the eventual performance for the more recent vintages will depend
on the future realization of investments over the funds' remaining lives. That performance will
improve if the historical JCurve pattern of buyout funds  in which fund multiples increase over a
fund's life  continues to hold.
C. Sensitivity of the Performance Measure to the Choice of Benchmark
So far, we have used the MSCI World Index as a global benchmark for our KSPME and PERACS
Alpha calculations. However, other benchmark indices might be preferred by investors and might
affect our results on outperformance. Therefore, we verify the robustness of our performance
measures with respect to alternative benchmark choices. Certainly, the S&P 500 Index is a widely used
proxy for U.S. public market returns. It has a natural asset pricing interpretation and allows direct
comparison to past research. However, the financial community also uses other benchmarks to control
for what they perceive as differences in risk. Therefore, the various Panels (again distinguished by
geographic regions) of Table III report vintageyear averages of PMEs and the corresponding PERACS
Alphas for a selection of alternative benchmark indices to gauge the sensitivity of our results. Again,
performance by vintage year has been calculated using pooled cash flows and residual values of the
underlying funds of each vintage year. As a reference point, the first column repeats the above
introduced results where the PME calculation is based on the MSCI World Index as benchmark. After
that, the PMEs are calculated using the S&P 500, the (small cap) Russell 2000, the Russell 2000 Value,
and the Russell 3000 Indices. The subsequent column repeats PERACS Alpha calculation as above,
again using the MSCI World Index as benchmark. After that we present PERACS Alphas following the
same methodology but based on the PMEs using alternative indices as benchmarks.
Using the various benchmark indices to assess the opportunity cost of capital of our buyout
transactions yields a notable fluctuation of the KSPMEs and PERACS Alphas. This is not surprising,
considering the differences in movements over time of the various public market benchmarks chosen.
8
For example, the 41 funds with a 2000 vintage and a North American investment focus (Panel A of
Table III) have an average KSPME of 1.48 relative to the MSCI World Index, while using alternative
benchmark indices creates a range of PMEs between 1.32 and 1.60. This is similar for the PERACS
Alphas. The PERACS Alpha against the MSCI World Index for these funds is 9.8%. However, the Alphas
based on the alternative indices range from 6.5% to 12.1%. It is noteworthy, however, that irrespective
of the chosen reference benchmark, the overall aggregate and annualized performance of institutional
buyout funds compared to public market benchmarks is positive. Looking at all geographies and
vintages (pre 2009) combines, the PERACS Alpha of this sample comes to 8.96% relative to the MSCI
Global Index. The same holds true for most vintages and geographies, with the exceptions of some of
the less traditional markets, the most recent vintages which are subject to the Jcurve effect, and some
vintages of institutional US buyout funds from the 1990s, when compared to the Russell 2000 Value
index.
======================
Insert Table III here
======================
Overall, Table III shows that average PMEs across our sample are robust to a range of public market
benchmarks. Smaller size and value benchmarks reduce the outperformance of buyout funds
somewhat, but do not eliminate it. This reinforces our conclusions about buyout performance from
the prior section. We rely on KSPMEs using the MSCI World Index for the remainder of our analysis.
D. Top Quartile Funds and Misclassifications
The performance of buyout funds of particular vintage years is often ordered from the best to the
worst performing by practitioners. Limited partners often rate buyout funds according to the quartile
they belong to with respect to their performance. Their likelihood to raise a new fund strongly
depends on fact to belong to the top quartile (or at least above median) of the competitors. Hence, a
correct classification of funds into the performance quartiles is important. Provided the availability of
multiple performance measures, it is interesting to explore to what extent the use of alternative
measures effects the quartile classification of a given fund.
The panels of Table IV present the simple averages, as well as the quartile cutoffs for all funds
raised in a given vintage year for various performance measures for North America and Europe.
======================
Insert Table IV here
9
======================
The columns after the vintage years and the number of funds report the averages of the
performance measures followed by the 25, 50 and the 75 percentiles of the distributions. Panel A
exhibits the quartiles for the PERACS Alphas, for the IRRs, and for the PERACS Rates of Return (PRR).
Panel B adds the investment multiples (Total Value over PaidIn capital – TVPI) and the KSPMEs (PM).
Panels C and Drepeat Panels A and B for Europe.
Based on these cutoffs, we classified all funds in the sample into performance quartiles relative to
other funds raised in the same vintage year and focused on the same geography.
The various Panels presented in Table Va reveals that funds which are classified top quartile
according to a particular performance measure are not necessarily top quartile funds if an alternative
measure is used. The first panel of Table Va compares the quartile classifications according to the
investment multiples and internal rates of return, thereby enabling us to assess the extent to which
quartile status differs between the traditional aggregate performance multiple measure (TVPI) and the
traditional annualized performance measure (IRR).
Interesting, only 76.92% of all funds that belong to the top 25% performing funds with respect to
their investment multiples also belong to the top 25% performing funds with respect to the funds’
IRRs. 20% of them are grouped into the second quartile and even 3.8% into the third quartile of
performance when focusing on their IRRs. This corresponds to a misclassification of 23.08% of the top
quartile funds according to their TVPI. The problem is similar for the funds of the second quartile. Only
55.50% of the GPs who are classified second quartile with respect to their investment multiples are
considered second quartile with respect to their IRRs at the same time. All other funds change their
classification when the alternative performance measure is considered. On average, there is a
misclassification of 28.09% over all quartiles when these two performance measures are used.
The problem of misclassification is similarly severe if other performance measures are compared,
as revealed by the subsequent panels of Table Va and summarized in Table Vb. Interestingly, this
analysis allows us to assess the difference in the quartile classification between the traditional IRR
measure, which measures annualized returns subject to potential biases, and the PERACS Alpha, which
has been designed to measure annualized performance relative to the MSCI World Index avoiding
some of these biases. Here, we find an overall level of misclassification of 22.31%. Comparing the IRR
to the PERACS Rate of Return, which avoids some for the key IRR biases to measure annualized
absolute performance leads to a level of misclassification of "only" 6.34%. This indicates that, while the
methodological bias of IRR alone introduces a nonnegligible level of performance distortion, the
majority of differences in classification between IRR and PERACS Alpha are attributable to the fact that
10
the former measures absolute returns, while the latter measures relative returns. This is further
confirmed by the level of disagreement in the quartile classification between IRR and the "market
return measure” (59.73%). The fact that more than half of the funds are in a different quartile when it
comes to the marketdriven component of their performance than when compared to the IRR
classification provides further evidence that the ability of buyout firms to “time the market” and their
ability to add fundamental value are not highly correlated. This should encourage investors to measure
those two components of performance separately.
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Insert Table V here
======================
E. Relation of Absolute and Relative Performance Measures
In this section, we regress PERACS Alpha on both the IRR and the Market Return to address the
question of how relative performance, measured as PERACS Alpha, is related to absolute performance,
measured as IRR, on the one side and market returns, measured as the difference between the
PERACS Rate of Return and the PERACS Alpha on the other side.
We start, in Table VIa, by reporting regressions of PERACS Alphas on the Market Returns and IRRs.
The first specification of Panel A includes the full sample of 881 funds, and the following ones focus on
the GPs investing in Developed Europe and in North America respectively. We run every regression
twice, first without and then with fund vintage year dummies. The high RSquares and the strong
significance of the parameter coefficients reveal that the benchmark performance measure PERACS
Alpha can be well predicted by a fund’s IRR, its vintage and the Market Return over the average
duration of the investments of the fund’s vintage. Over the complete sample, the Market Returns in
combination with IRRs explain 94.6% of the variation in the PERACS Alphas. Interestingly, Market
Returns is negatively related to PERACS Alpha, confirming the aforementioned finding that market
timing ability and value adding do not move in the same direction for buyout funds. If vintage year
fixed effects are added, the explanatory power increases to 95.5%. For the Developed Europe subsample, the RSquare is even 99%. Panel B repeats these regressions but groups the funds according to
their size, according to four size categories from A (smallest) to D (largest). The parameter coefficients
fluctuate but are highly significant throughout all specifications and the RSquares stay very high.
Overall, there is not a single regression where the Market Returns and IRRs explain less than 88.6% of
the variation in the PERACS Alphas.
11
In a second step, we replicate the analysis by Harris et al (2014), who document how the various
relative performance measures are related to the absolute performance measures  IRRs and
investment multiples  provided by most commercial data sources and by most GPs. Here, we shed
further light on the debate among practitioners as to whether IRRs or multiples provide accurate
indicators of marketadjusted performance, see Table VIb.
To this end, we substitute the dependent variable with the KSPME and replace the independent
variable Market Return with a fund’s TVPI. The results are similar as above for all of the geographically
segmented markets but for North America. The RSquares are at least 89.4% signaling a strong
predictive power of the regression models. Harris et al. (2014) find for their sample of North American
buyout funds a significantly positive correlation between IRR and PME. We confirm this link for North
America, while the coefficient of the IRR is not significant for Developed AsiaPacific, Developed
Europe and Developed Global, which may be attributable to small sample sizes in these regions. This
suggests that the IRR has no incremental explanatory power above TVPI to explain KSPMEs in these
markets. The consideration of the vintage year does not add much precision to these estimates as it is
indicated by the marginal increase of the RSquares in the regressions using vintage year fixed effects.
For Emerging Markets, an accurate prediction of the KSPME should be based on both the Investment
Multiple and a fund’s IRR and its vintage year. For North America, in line with the findings by Harris et
al. (2014), both parameters have predictive power. Nevertheless, the RSquares of the regressions on
the North American market segment are somewhat lower than in Harris et al. (2014). Therefore, one
cannot be certain that estimates of North American buyout fund’s KSPMEs based on a fund’s TVPI, its
IRR and vintage year are precise.
Panel D categorizes again the funds according to their fund size and reruns the regressions of the
KSPMEs on the investment multiples, IRRs and vintage years. The results are similar across size
categories regarding the link between TVPI and KSPME, while IRR’s do not seem to be significantly
correlated to KSPME in the multivariate setting for smallcap Funds. Interestingly the explanatory
power of investment multiples, IRRs and vintage years to predict KSPMS is considerable lower for the
C Size Category (upper mid cap fund) than for other size categories.
======================
Insert Table VI here
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12
3. Buyout Performance, Capital Flows and Risk
In this section, we reexamine two possible determinants of buyout fund performance. The
relationship between performance and aggregate buyout fund capital commitments (or fund flows),
which has been widely studied in prior research, as well as the relationship between measures of
performance dispersion and aggregate performance. Kaplan and Schoar (2005), Kaplan and Stromberg
(2009) and Robinson and Sensoy (2011a) all find some evidence that increased aggregate capital
commitments to buyout funds are related to subsequent performance. At the fund level, Kaplan and
Schoar (2005) find a concave relation between performance and fund size across vintage years for VC
funds, but not for buyout funds. Robinson and Sensoy (2011a) find that PMEs across vintage years for
both buyout and VC funds are modestly concave in the log of fund size. We undertake a similar
analysis using the ILPA data on institutional buyout funds worldwide.
F. Capital Flows
To measure capital flows into the buyout industry, we calculate the institutional capital
commitments to buyout funds by vintage year and geography using fund size information from our
own data set. The cumulative size of all funds raised in the given vintage year and geography provides
an (albeit imperfect) estimate of the amount of capital available to fund deals. Following previous
research (e.g. Kaplan and Schoar, 2005), we divide the annual capital commitments by the total value
of the U.S. stock market at the beginning of the vintage year. This “deflation” makes capital
commitments comparable over a long period of time without the distorting effect of an overall
expansion of economic activity,. In line with Harris et al. (2014), we then regress aggregate capital
flows, separately for North American funds and for the entire global sample, on pooled vintage year
performance  as measured by IRR, TVPI, KSPME, PERACS Alpha, PERACS Rate of Return, as well as on
Duration and Market Returns. Table VII shows the results of these calculations for North America
(Panel A) and for the complete sample (Panel B).
For the complete sample, buyout fund performance is significantly and negatively related to capital
commitments: The absolute performance measures  IRRs and TVPI  are negatively correlated with
the capital available for investments. We also find that the relative performance measures KSPME and
PERACS Alpha, as well as the PERACS Rate of Return are negatively related to committed capital. The
effects are less evident for the subsample of North American buyout funds, as here, importantly for
practitioners, we failed to observe any significant relationship between capital commitments to
buyout funds and annualized relative or absolute returns (either the PERACS Alpha or the PERACS Rate
of Return). Overall, these results suggest that an influx of capital into buyout funds is associated with
13
lower subsequent aggregate but not necessarily annualized performance. Our findings are consistent
with and extend the results in Kaplan and Stromberg (2009) and Harris et al. (2014). Our results are
also in line with Robinson and Sensoy's (2011a) findings using absolute performance measures (IRR
and multiples), although they do not find a negative relation between buyout PMEs and capital
commitments.
Across both subsamples, Table VII shows a negative relation between capital commitments and
investment duration. It seems as if buyout funds that started investing in periods when large amounts
of capital are available for investments make buyouts with shorter holding periods. This could be
driven by factors, such as an abundance of buyout fund capital opening exit opportunities through
secondary buyouts or general favorable economic environments that often coincide with times of peak
buyout fundraising. This higher speed driven by capital inflows could indicate that in times of stronger
competition, the transactions are being liquidated prematurely, possibly contributing to the observed
performance effects.
As one would expect, the allocations to the PE market have no link to the performance of the public
market. The regression of the market returns on commitments has virtually no explanatory power at a
RSquare of 2.3%. The coefficient parameter is also not significant. This is consistent with the view that
institutional investors do not seem to systematically allocate more or less capital to buyout funds
when stock markets are entering pronounced periods of increase or decline.
======================
Insert Table VII here
======================
G. Fund Risk
An important aspect to be included in performance analyses is the underlying investment risk. For
the PE asset class, a large set of risk measures has been proposed in the academic literature. However,
an outsider observing fund performance often does not have access to data which is required for the
calculation of rather sophisticated risk measures which intend to capture the various dimensions of
risk. Among those different dimensions, one primary concern for institutional investors in buyout
funds is the risk of capital losses over the life of their buyout fund investments. This “capital risk” is
conceptually different from the volatility of returns over time and has thus far received little attention
in the academic research on buyout performance.
14
Looking at the dispersion of fundlevel returns, both in absolute terms and relative to the MSCI
ACWI Index within different subsamples of our data, we calculate two measures of capital risk. First,
the simple loss ratio, a measure widely used by practitioners, simply as the percentage of funds with a
negative absolute or relative performance within each subsample. We also apply a somewhat more
comprehensive measure of performance dispersion, the PERACS Risk Coefficient. This coefficient is
related to the widely used Lorenz curve approach frequently applied in macroeconomics to express,
for example, income distribution across countries.
The basic premise is rather simple: the risk curve compares the cumulative profits generated by a
certain subset of the portfolio to the size of this subset. In other words, it measures to what extent the
worst, say, 20 percent of all investments are responsible for contributing less than 20 percent of all
profits. Based on this intuition, a performancedistribution curve is drawn to calculate a coefficient
that numerically captures the shape of this curve. This makes it possible to graphically and
quantitatively compare the risk profiles of different buyout fund portfolios in a novel and insightful
fashion.
The methodology for calculating the risk curve is as follows:
1. First, calculate the profit contribution (either in terms of simple US dollars or any other
currency, or in terms of net present value (NPV)) of each investment in a buyout portfolio:
Profit contribution = cash received by investors minus the capital paidin by investors
or
NPV of profit contribution = present value of the cash flows received by investors minus the present
value of the capital paidin by investors
2. Then rank all investments in the portfolio according to their contribution to overall portfolio
performance (for example, in terms of the total quantum of value generated in excess of a
required rate of return) from the least to the most valuecreating investment. Based on this
ranking, we can plot the equivalent of the Lorenz curve as a graphical representation of the
cumulative distribution function of the empirical distribution of profits. The corresponding risk
curve shows the proportion of total profits assumed by the bottom Y percent of the
investments. In economics, which is the original application of the Lorenz curve developed in
1905 by Max O. Lorenz, this approach is primarily used to represent income or wealth
distribution: the risk curve shows for the bottom X percent of households in an economy, what
percentage Y percent of the total income or wealth they have. Plot the percentage of
investments on the xaxis, and the percentage of profits on the yaxis.
15
Every point on the risk curve corresponds to a statement such as ‘the bottom 40 percent of all
investments in the portfolio represents 30 percent of the portfolio profits’. A perfectly equal profit
distribution would be one in which every investment generates the same profit (in absolute terms). In
this case, the bottom N percent of investments would cumulatively always have N percent of the
profits, which would generate a risk curve represented by a straight line (y = x). This is often called the
‘line of perfect equality’. By contrast, a perfectly unequal profit distribution would be one in which one
investment generates all the income and all other investments generate none. In that case, the risk
curve would be y = 0 for all x < 100 percent, and y = 100 percent when x = 100 percent. This is also
called the line of perfect inequality.
For a population of size n, with a sequence of values yi where i = 1 to n that are indexed in a nondecreasing order (yi = yi + 1), the risk curve is the continuous piecewise linear function connecting the
points (Fi, Li), i = 0 to n, where F0 = 0, L0 = 0, and for i = 1 to n:
Fi = i/n
Si = Siyj
j=1
Li = Si/Sn
A risk curve always starts at (0,0) and ends at (1,1). It is designed to be independent of the absolute
amount of profits generated by the portfolio, so that is possible to compare risk profiles of different
buyout fund portfolios independent of their returns.
If there are investments in the portfolio that generate a negative profit – that is, cash received is
less than cash invested – then the curve will initially be downward sloping. This occurs until the curve
reaches the vertex with the first profityielding investment (that is, >= zero), and then it increases at an
upward slope.
The shape of the risk curve can be quantified by a risk coefficient, which is a refinement of the socalled Gini coefficient developed by the Italian statistician and sociologist Corrado Gini and published
in his 1912 paper Variability and Mutability. The Gini coefficient is used by economists to express the
area between the line of perfect equality and any given Lorenz curve as a percentage of the area
between the line of perfect equality and the line of perfect inequality. The higher the coefficient, the
more unequal the distribution.
The risk coefficient is calculated similar to the method of calculating the Gini coefficient for
economies with individuals of negative net wealth developed in The Gini Coefficient and Negative
Income by ChauNan Chen, TienWang Tsaur and TongShieng Rhai (Oxford Economic Papers, New
16
Series, Vol. 34, No. 3 (Nov. 1982), pp. 473478). This method is suitable for the particular
characteristics of the buyout fund asset class.
We apply this risk coefficient methodology to portfolios of buyout funds under two different
perspectives. First, we consider the absolute value creation of each fund (proceedscontributions) to
calculate the absolute risk coefficient, then we replicate the same analysis for each fund based on the
value creation of each fund relative to the MSCI World index following the KSPME logic, i.e. the
difference between the sum of the present value of all contributions and the sum of the present value
of all contributions, always using the actual MSCI World returns since the date of the fund’s first cash
flow as discount rate. This give us an absolute risk coefficient as well as an Alphabased risk coefficient
for each fund.
With this information, we can also calculate the relative and the absolute value a particular fund
creates/destroys and the percentage of (a) loss making deals and (b) deal that underperform the MSCI
World reference benchmark. We present these risk indicators in Table VIII.
======================
Insert Table VIII here
======================
Table VIII shows the average risk coefficients for subsamples of funds raised in different vintage
years separately for North America and Developed Europe, yielding 39 vintage yeargeography
observations. The absolute risk coefficient (absolute) measures the percentage of the area of
inequality with respect to the contribution of the absolute performance of individual funds in a subsample to the aggregate absolute performance of that subsample. The relative risk coefficient
measures the percentage of the area of inequality with respect to the contribution of the relative
performance of individual funds in a subsample to the aggregate performance of that subsample.
Higher values for the coefficients signal higher inequality of the distribution and hence, a higher risk of
obtaining extreme performance outcomes when investing in a subset of the funds raised in a given
vintage year and region. We realize that the mid90s and the most recent vintages considered in Table
IX Panel A for North America have the highest relative risk coefficients while the highest overall
coefficients are assigned to the 1997, 2008 and 2011 vintages. For Developed Europe, Panel B, the
2006, 2007 and 2008 vintages have highest relative coefficients, while 2005 and 2006 have the highest
absolute risks.
Subsequently, we analyse if the risk coefficients are related in any systematic way to the
performance measure that we have discussed above. We regress the vintage year averages of various
risk indicators on the above discussed averaged performance measures. Table IX presents the results.
17
======================
Insert Table IX here
======================
In Panel A, we regress the absolute Risk Coefficient across the 39 vintage yeargeography
observations on one of the four different performance measures (IRR, TVPI, KSPME and PERACS
Alpha), Duration and Market Return. We observe a somewhat surprising significant negative (!)
relationship between measures of absolute performance (IRR and TVPI) and measures of absolute
performance dispersion (=capital risk). This is consistent with the view that institutional investors in
buyout funds do not face the established tradeoff between yearregion combinations with either high
risk and high return or the opposite in both dimensions, but instead that the history of institutional
buyout investing has seen yearregion combinations that were favourable in terms of low risk and high
returns and those that were equally unappealing in both aspects.
When looking at the measures of relative performance as drivers of the absolute risk coefficient,
we observe an even more significant negative relationship, coupled with an equally significant and
negative impact of the market returns. This is another point of evidence that is it meaningful to
disentangle the marketdriven and the intrinsic components of buyout fund returns.
4. Summary and Conclusions
This paper leverages a unique dataset with comprehensive information on the performance of
buyout funds worldwide that received capital commitments from members of the ILPA, the global
association of institutional investors in private equity. Based on this data, sourced from Cambridge
Associates’ performance database, we provide a detailed analysis of the absolute and relative
performance of institutional buyout investments around the globe. A comparison with other data
sources confirms that while the dataset represents only a subset of the total universe of buyout funds,
the distribution of buyout funds with institutional commitments closely mimics the distribution of
buyout funds in general. This is not a surprise at the same time, because the institutional investors are
traditionally the most important group of investors in buyout funds.
When analyzing the performance of institutional buyout funds relative to stock market
investments, we document substantial outperformance. This finding is robust to the application of
various annualized or aggregate measures of relative performance, holds for alternative benchmark
indices and can be observed across different geographies for the vast majority of fund vintage years.
18
Taking an initial look at the performance distribution by vintage year based on an analysis of the
interquartileranges for different subsamples of our data set and classifying all funds into
performance quartiles according to different performance measures, we observe that quartile
classifications vary substantially across these different performance measures. In particular, we
observe marked differences between absolute and relative performance measures, as well as between
annualized and aggregate performance measures. Interestingly, the data on quartile classifications
shows that buyout funds tend to be in different categories when it comes to the underlying abilities to
time the market on the one hand and to add value above public market trends on the other. This
finding should in particular caution investors to carefully consider which performance measure to use
when assessing a fund’s performance and classifying it into a quartile category.
We confirm the negative correlation between a buyout fund’s marketdriven performance
component and its fundamental value added (alpha) through one of our multivariate regression
analyses, in which we document the relationship between different performance measures according
to various model specifications.
In the next step, we explore the relationship between aggregate capital commitments to the asset
class in a given year and the subsequent performance of institutional buyout funds raised at that
vintage. We find that across vintages, performance for buyout funds decreases with the amount of
aggregate capital committed to the asset class, particularly for absolute performance, but also for
performance relative to public markets. This suggests that a contrarian investment strategy would
have been successful in the past. Why these patterns have persisted is puzzling and an interesting
topic for future research.
In the last part of the paper, we shifted our attention from the return analysis to an assessment of
risk, looking specifically at the capital risk institutional investors face when committing to buyout
funds. Applying a novel methodology that comprehensively captures and quantifies return dispersion
across subsamples of buyout funds in a single risk coefficient we document the variation of capital risk
over time and across geographies. Linking this measure of capital risk to performance measures in a
multivariate regression setting, we observe a negative relationship between risk and return in buyout
funds. This is a very interesting finding which requires additional attention in ongoing research.
Presumably  other than in venture capital where selecting the homerun is the key feature  the
balanced portfolio structure that mitigates excessive risk taking is an essential success determinant of
buyout investing.
19
5. References
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Columbia University, June.
Brown, Greg, Oleg Gredil and Steven N. Kaplan, 2013, Do Private Equity Funds Game Returns? Working
Paper, University of North Carolina, April.
Cornelius, Peter, 2011, International Investments in Private Equity: Asset Allocation, Markets, and
Industry Structure, London, UK: Academic Press.
Groh, Alexander and Oliver Gottschalg, 2011, The Effect of Leverage on the Cost of Capital of US
Buyouts, Journal of Banking and Finance 35, 2099–2110.
Harris, Robert, Tim Jenkinson, and Rudiger Stucke, 2010, A White Paper on Private Equity Data and
Research, UAI Foundation Working Paper, University of Virginia.
Harris, Robert, Tim Jenkinson, Steven N. Kaplan, 2014, Private Equity Performance: What Do We
Know?, Journal of Finance 69, 18511882.
Harris, Robert, Tim Jenkinson, Steven N. Kaplan and Rudiger Stucke, 2013, Has Persistence Persisted in
Private Equity? Working Paper, University of Chicago.
Higson, Chris and Rudiger Stucke, 2012, The Performance of Private Equity, Working Paper, Coller
Institute of Private Equity, London Business School.
Jegadeesh, N., R. Kraussl, and J. Pollet, 2009, Risk and Expected Returns of Private Equity Investments:
Evidence Based on Market Prices. Journal of Finance.
Jenkinson, Tim, Miguel Sousa, and Rudiger Stucke, 2013, How Fair are the Valuations of Private Equity
Funds? Working Paper, Oxford University, January.
Jones, Charles and Matthew RhodesKropf, 2004, The Price of Diversifiable Risk in Venture Capital and
Private Equity. Working Paper, Columbia University
Kaplan, Steven N., and Antoinette Schoar, 2005. Private Equity Returns: Persistence and Capital flows.
Journal of Finance 60, 17911823.
Kaplan, Steven N. and Per Strömberg, 2009, Leveraged Buyouts and Private Equity. Journal of
Economic Perspectives, Winter, 121146.
Kauffman Foundation, 2012, We Have Met the Enemy  And He is US: Lessons from Twenty Years of
the Kauffman Foundation's Investment in Venture Capital Funds and The Triumph of Hope over
Experience.
Kocis, James M., James C. Bachman, Austin M. Long and Craig J. Nickels, 2009, Inside Private Equity,
Hoboken, N.J., USA: John Wiley & Sons, Inc.
Korteweg, Arthur and Morten Sorensen, 2010. Risk and Return Characteristics of Venture CapitalBacked Entrepreneurial Companies. Review of Financial Studies.
Lerner, Josh, Antoinette Schoar and Wan Wongsunwai, 2007, Smart Institutions, Foolish Choices? The
Limited Partner Performance Puzzle, Journal of Finance 62:73164.
20
Ljungqvist, Alexander and Matthew Richardson, 2003, The Cash Flow, Return, and Risk Characteristics
of Private Equity. Working Paper No. 9495, NBER.
Ljungqvist, A., M. Richardson, and D. Wolfenzon, 2007, The Investment Behavior of Buyout Funds:
Theory and Evidence.
Lopez de Silanes, Florencio, Ludovic Phalippou and Oliver Gottschalg, 2009, Giants at the Gate: On the
CrossSection of Private Equity Investment Returns. Working paper.
Metrick, Andrew, and Ayako Yasuda, 2010. The Economics of Private Equity Funds. Review of Financial
Studies 23: 23032341.
Phalippou, Ludovic, 2009, The Hazards of Using IRR to Measure Performance: The Case of Private
Equity. Working paper.
Phalippou, Ludovic, 2012, The Performance of Buyout Funds Revisited, Working Paper, University of
Oxford, November.
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Financial Studies Vol. 22, No. 4, 17471776.
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Investment. Free Press.
21
Table I
Count of North America Buyout Funds by Dataset
Panel A: Buyout Funds
Vintage year
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
ILPA
3
7
2
8
1
3
6
12
11
18
17
24
27
33
41
11
24
16
41
44
44
49
32
Cambridge
Associates
Venture
Economics
Preqin
Burgiss
8
9
14
15
5
11
12
22
17
28
33
44
51
49
65
18
29
32
58
73
64
67
52
7
7
10
25
17
24
9
5
15
21
26
23
23
40
53
38
46
27
15
13
17
20
26
22
14
6
3
9
7
14
10
14
8
17
18
24
22
24
35
50
43
67
25
28
29
35
63
60
65
53
2
1
5
7
7
8
2
4
5
11
13
17
9
30
38
28
39
26
21
13
46
57
67
74
68
Kaplan Schoar
6
12
16
22
21
22
14
6
17
11
6
7
Robinson Sensoy
1
8
14
16
7
2
4
9
24
24
41
40
59
59
68
26
5
8
3
2
8
6
12
Total
474
598
543
729
776
160
446
Total 2000 – 08
Total 1900 – 99
Total 1984 – 89
302
152
20
411
157
30
200
253
90
425
255
49
458
272
46
61
99
269
39
22
Table II
Performance by Vintage Year
Panel A: North America
Vintage year
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
Average
Average pre2009
Average 2010s
Average 2000s
Average 1990s
Average 1980s
Funds
3
7
2
8
1
3
6
12
11
18
17
24
27
33
41
11
24
16
41
44
44
49
32
13
9
25
12
5
TVPI
4,33x
1,88x
N/A
2,94x
NA
3,12x
3,27x
2,49x
1,49x
1,61x
1,60x
1,43x
1,29x
1,94x
1,87x
2,09x
1,94x
1,91x
1,69x
1,47x
1,44x
1,44x
1,43x
1,23x
1,26x
1,11x
0,85x
1,24x
1,62
1,11
1,57
1,68
2,28
Internal Rate of
Return
21,2%
10,8%
NA
27,3%
NA
27,0%
33,9%
26,8%
7,3%
12,4%
10,4%
6,9%
4,9%
16,2%
17,1%
23,4%
17,8%
15,5%
11,3%
8,3%
8,6%
13,2%
15,7%
13,1%
17,9%
11,7%
33,3%
89,6%
Duration
0,12
0,11
0,12
0,12
0,15
1457,64
369,76
1365,44
1742,84
2082,39
8,29
5,86
NA
4,59
NA
4,76
4,67
4,66
6,04
4,63
5,07
5,38
5,15
4,25
4,22
4,29
4,64
4,93
4,93
4,68
4,09
2,78
2,39
1,70
1,43
0,98
0,44
0,33
PERACS Rate
of Return
19,4%
11,4%
NA
26,5%
NA
27,0%
28,9%
21,7%
6,9%
10,9%
9,8%
7,0%
5,2%
17,0%
16,0%
18,8%
15,4%
14,1%
11,3%
8,7%
9,4%
14,2%
16,3%
13,1%
17,9%
11,4%
29,4%
89,8%
KSPME
0,12
0,11
0,12
0,11
0,15
1,39
0,94
1,35
1,46
1,48
2,41x
1,22x
NA
2,03x
NA
1,78x
2,15x
1,79x
1,25x
1,34x
1,45x
1,36x
1,19x
1,65x
1,48x
1,66x
1,60x
1,68x
1,55x
1,32x
1,31x
1,18x
1,15x
1,00x
1,03x
0,94x
0,80x
1,15x
PERACS
Alpha
11,2%
3,5%
NA
16,6%
NA
12,9%
17,8%
13,3%
3,8%
6,6%
7,5%
5,8%
3,4%
12,5%
9,8%
12,5%
10,7%
11,0%
9,3%
6,2%
6,8%
6,0%
5,9%
0,2%
2,0%
6,1%
40,4%
50,0%
Market Return
0,08
0,05
0,08
0,08
0,07
0,04
0,16
0,04
0,03
0,08
8,0%
7,0%
NA
9,0%
NA
14,0%
11,0%
8,0%
3,0%
4,0%
2,0%
1,0%
1,0%
4,0%
6,0%
6,0%
4,0%
3,0%
2,0%
2,0%
2,0%
8,0%
10,0%
13,0%
15,0%
17,0%
11,0%
39,0%
23
Table II
Performance by Vintage Year (Continued)
Panel B: Developed Europe
Vintage year
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
Average
Average pre2009
Average 2010s
Average 2000s
Average 1990s
Average 1980s
Funds
TVPI
Duration
NA
1,75x
NA
2,22x
NA
NA
NA
3,23x
2,45x
1,90x
2,04x
2,05x
1,93x
2,49x
2,08x
2,08x
1,71x
1,64x
1,20x
1,32x
1,27x
1,33x
1,08x
1,11x
1,09x
1,08x
NA
Internal Rate of
Return
NA
16,5%
NA
19,1%
NA
NA
NA
44,2%
38,9%
23,4%
16,8%
14,6%
16,6%
28,8%
30,2%
24,2%
22,1%
12,5%
4,3%
6,8%
8,1%
11,0%
5,4%
9,1%
7,5%
15,8%
NA
1
3
0
6
1
0
2
4
5
8
14
8
13
10
9
9
10
11
19
16
19
10
3
4
7
5
1
KSPME
NA
3,45
NA
4,60
NA
NA
NA
4,04
3,73
3,72
4,49
5,13
4,13
3,79
3,21
4,14
3,17
4,40
4,34
3,95
2,96
2,73
1,64
1,26
1,23
0,58
NA
PERACS Rate
of Return
NA
17,7%
NA
19,0%
NA
NA
NA
33,7%
27,1%
18,9%
17,3%
15,1%
17,3%
27,3%
25,7%
19,4%
18,6%
12,0%
4,5%
7,3%
8,4%
11,0%
5,3%
9,0%
7,3%
15,6%
NA
1,58
1,09
1,50
2,07
1,81
0,16
0,08
0,14
0,20
0,16
3,03
1,14
3,20
4,28
3,58
0,16
0,08
0,13
0,18
0,18
1,38
0,91
1,29
1,84
1,35
NA
1,31x
NA
1,41x
NA
NA
NA
2,57x
1,97x
1,59x
1,97x
1,97x
1,67x
1,95x
1,59x
1,68x
1,49x
1,44x
1,13x
1,16x
1,04x
1,03x
0,89x
0,91x
0,90x
0,99x
NA
PERACS Alpha
NA
8,2%
NA
7,7%
NA
NA
NA
26,3%
19,9%
13,2%
16,4%
14,1%
13,2%
19,3%
15,6%
13,4%
13,4%
8,6%
2,8%
3,8%
1,2%
1,0%
6,8%
7,5%
8,0%
1,6%
NA
0,11
0,07
0,08
0,15
0,08
Market Return
NA
9,0%
NA
11,0%
NA
NA
NA
7,0%
7,0%
5,0%
0,0%
1,0%
4,0%
7,0%
10,0%
5,0%
5,0%
3,0%
1,0%
3,0%
7,0%
10,0%
12,0%
16,0%
15,0%
17,0%
NA
0,05
0,15
0,05
0,03
0,09
24
Table II
Performance by Vintage Year (Continued)
Panel C: Developed AsiaPacific
Vintage year
1997
1998
1999
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
Average
Average pre2009
Average 2010s
Average 2000s
Average 1990s
Funds
0
0
1
0
0
0
3
4
4
4
1
2
1
3
0
TVPI
Duration
NA
NA
NA
NA
NA
NA
1,53x
1,79x
1,06x
1,27x
NA
NA
NA
0,89x
NA
Internal Rate of
Return
NA
NA
NA
NA
NA
NA
11,2%
13,2%
1,8%
8,5%
NA
NA
NA
10,2%
NA
1,39
1,00
1,36
NA
0,10
0,00
0,09
NA
3,23
1,13
3,16
NA
NA
NA
NA
NA
NA
NA
4,05
4,52
3,56
2,73
NA
NA
NA
1,13
NA
PERACS Rate
of Return
NA
NA
NA
NA
NA
NA
11,1%
13,8%
1,9%
9,2%
NA
NA
NA
9,7%
NA
KSPME
0,10
0,00
0,10
NA
1,21
0,84
1,18
NA
NA
NA
NA
NA
NA
NA
1,47x
1,66x
0,94x
1,09x
NA
NA
NA
0,75x
NA
PERACS Alpha
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
0,06
0,14
0,05
NA
Market Return
NA
NA
NA
NA
NA
NA
1,0%
1,0%
3,0%
6,0%
NA
NA
NA
13,0%
NA
0,04
0,14
0,04
NA
25
Table II
Performance by Vintage Year (Continued)
Panel D: Emerging Markets
Vintage year
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
Average
Average pre2009
Average 2000s
Average 1990s
Funds
1
0
3
0
3
5
7
2
5
1
1
2
6
12
8
15
6
2
4
5
3
1
TVPI
Internal Rate
of Return
NA
NA
1,01x
NA
0,98x
1,00x
2,96x
NA
2,61x
NA
NA
NA
1,43x
1,63x
1,30x
1,37x
0,94x
NA
1,08x
1,09x
1,03x
NA
NA
NA
0,3%
NA
0,2%
0,1%
19,6%
NA
21,5%
NA
NA
NA
7,0%
10,3%
7,6%
10,5%
2,5%
NA
6,0%
11,3%
4,9%
NA
1,44
1,44
1,44
0,08
0,10
0,05
Duration
NA
NA
5,24
NA
5,78
6,17
6,30
NA
5,35
NA
NA
NA
5,33
4,93
3,32
2,99
2,38
NA
1,44
0,92
0,66
NA
4,11
3,36
6,60
PERACS Rate
of Return
NA
NA
0,3%
NA
0,2%
0,1%
18,8%
NA
19,7%
NA
NA
NA
7,0%
10,5%
8,3%
11,1%
2,4%
NA
5,9%
10,7%
4,7%
NA
0,09
0,11
0,05
KSPME
PERACS
Alpha
NA
NA
0,75x
NA
0,85x
0,88x
2,61x
NA
2,25x
NA
NA
NA
1,32x
1,56x
1,11x
1,12x
0,75x
NA
0,88x
0,94x
0,92x
NA
NA
NA
5,4%
NA
2,7%
2,0%
16,4%
NA
16,4%
NA
NA
NA
5,3%
9,5%
3,3%
3,8%
11,2%
NA
8,1%
6,4%
12,4%
NA
1,24
1,24
1,20
0,05
0,06
0,02
Market Return
NA
NA
5,0%
NA
2,0%
2,0%
2,0%
NA
3,0%
NA
NA
NA
1,0%
1,0%
5,0%
7,0%
8,0%
NA
13,0%
17,0%
17,0%
NA
0,03
0,04
0,02
26
Table II
Performance by Vintage Year (Continued)
Panel E: Developed Global
Vintage year
1987
1993
1995
1997
1999
2000
2001
2002
2004
2005
2006
2007
2008
2009
2011
2012
Average
Average 2010s
Average 2000s
Average 1990s
Average 1980s
Funds
1
0
1
2
1
3
1
0
4
4
3
1
4
1
1
4
TVPI
Duration
NA
NA
NA
NA
NA
2,66x
NA
NA
2,40x
1,47x
0,98x
NA
1,68x
NA
NA
1,13x
Internal Rate
of Return
NA
NA
NA
NA
NA
36,0%
NA
NA
37,8%
7,7%
0,4%
NA
20,1%
NA
NA
18,5%
1,08
1,31
2,12
NA
0,13
0,07
0,16
NA
0,70
3,44
4,84
NA
NA
NA
NA
NA
NA
3,63
NA
NA
3,68
5,02
4,07
NA
2,73
NA
NA
0,76
PERACS Rate
of Return
NA
NA
NA
NA
NA
31,0%
NA
NA
26,8%
8,1%
0,4%
NA
21,1%
NA
NA
18,1%
KSPME
0,12
0,08
0,16
NA
0,96
1,12
1,79
NA
NA
NA
NA
NA
NA
1,97x
NA
NA
2,30x
1,32x
0,85x
NA
1,32x
NA
NA
0,99x
PERACS
Alpha
NA
NA
NA
NA
NA
20,5%
NA
NA
25,3%
5,6%
4,0%
NA
10,7%
NA
NA
0,7%
Market Return
0,05
0,03
0,12
NA
0,18
0,04
0,04
NA
NA
NA
NA
NA
NA
10,0%
NA
NA
1,0%
2,0%
3,0%
NA
10,0%
NA
NA
18,0%
27
Table III
Absolute and Relative Performance Against Various Bench Marks by Region
Panel A: North America
Vintage year
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
Funds
3
7
2
8
1
3
6
12
11
18
17
24
27
33
41
11
24
16
41
44
44
49
32
13
9
25
12
5
MSCI
WORLD
KSPME
2,41x
1,22x
1,23x
2,03x
NA
1,78x
2,15x
1,79x
1,25x
1,34x
1,45x
1,36x
1,19x
1,65x
1,48x
1,66x
1,60x
1,68x
1,55x
1,32x
1,31x
1,18x
1,15x
1,00x
1,03x
0,94x
0,80x
1,15x
S&P 500
KSPME
R2000
KSPME
1,73x
0,95x
NA
1,69x
NA
1,37x
1,70x
1,45x
1,15x
1,19x
1,42x
1,44x
1,27x
1,81x
1,60x
1,72x
1,64x
1,67x
1,46x
1,18x
1,15x
1,05x
1,03x
0,92x
0,96x
0,90x
0,78x
1,13x
1,83x
0,96x
NA
1,75x
NA
1,76x
2,03x
1,70x
1,08x
1,24x
1,23x
1,06x
0,94x
1,43x
1,35x
1,55x
1,48x
1,52x
1,34x
1,07x
1,05x
0,97x
0,97x
0,87x
0,91x
0,85x
0,75x
1,11x
R2000V
KSPME
R3000
KSPME
1,69x
0,90x
NA
1,62x
NA
1,36x
1,51x
1,20x
0,71x
0,86x
0,89x
0,81x
0,76x
1,25x
1,32x
1,62x
1,56x
1,65x
1,47x
1,17x
1,14x
1,03x
1,02x
0,89x
0,93x
0,86x
0,76x
1,12x
1,75x
0,95x
NA
1,70x
NA
1,42x
1,74x
1,47x
1,14x
1,19x
1,38x
1,37x
1,22x
1,74x
1,56x
1,68x
1,60x
1,63x
1,43x
1,15x
1,13x
1,03x
1,02x
0,91x
0,95x
0,89x
0,77x
1,13x
MSCI WORLD
PERACS Alpha
11,2%
3,5%
NA
16,6%
NA
12,9%
17,8%
13,3%
3,8%
6,6%
7,5%
5,8%
3,4%
12,5%
9,8%
12,5%
10,7%
11,0%
9,3%
6,2%
6,8%
6,0%
5,9%
0,2%
2,0%
6,1%
40,4%
50,0%
S&P 500
PERACS
Alpha
7,9%
1,0%
NA
12,9%
NA
7,3%
12,6%
8,1%
2,2%
3,6%
6,8%
6,7%
4,7%
14,8%
12,1%
14,2%
11,9%
11,5%
8,3%
3,6%
3,6%
1,7%
1,4%
4,7%
2,6%
10,3%
42,7%
43,7%
R2000
PERACS
Alpha
8,5%
0,7%
NA
12,9%
NA
12,3%
16,9%
12,9%
1,4%
5,2%
4,5%
1,1%
1,1%
8,5%
7,5%
11,6%
9,3%
9,5%
6,5%
1,4%
1,3%
0,9%
1,3%
7,7%
6,6%
15,2%
45,8%
36,7%
R2000V
PERACS
Alpha
7,9%
2,3%
NA
12,7%
NA
7,1%
11,2%
4,7%
6,2%
3,7%
2,5%
3,9%
5,0%
4,9%
6,5%
12,1%
10,4%
11,1%
8,4%
3,5%
3,3%
0,9%
0,7%
6,3%
5,1%
13,4%
44,7%
40,9%
R3000
PERACS
Alpha
8,0%
1,0%
NA
12,9%
NA
8,0%
13,2%
8,6%
2,1%
3,7%
6,4%
5,9%
3,8%
13,9%
11,3%
13,6%
11,3%
11,0%
7,8%
3,1%
3,0%
1,1%
0,8%
5,3%
3,4%
11,1%
43,2%
42,2%
28
Table III
Absolute and Relative Performance Against Various Bench Marks by Region (Continued)
Panel B: Developed Europe
Vintage year
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
Funds
1
3
0
6
1
0
2
4
5
8
14
8
13
10
9
9
10
11
19
16
19
10
3
4
7
5
1
MSCI
WORLD
KSPME
NA
1,31x
NA
1,41x
NA
NA
NA
2,57x
1,97x
1,59x
1,97x
1,97x
1,67x
1,95x
1,59x
1,68x
1,49x
1,44x
1,13x
1,16x
1,04x
1,03x
0,89x
0,91x
0,90x
0,99x
NA
S&P 500
KSPME
R2000
KSPME
NA
1,13x
NA
1,14x
NA
NA
NA
2,11x
1,79x
1,51x
2,06x
2,13x
1,81x
2,17x
1,74x
1,73x
1,51x
1,39x
1,01x
1,02x
0,91x
0,91x
0,82x
0,85x
0,86x
0,97x
NA
NA
1,11x
NA
1,28x
NA
NA
NA
2,42x
1,97x
1,50x
1,54x
1,53x
1,43x
1,82x
1,54x
1,56x
1,44x
1,28x
0,93x
0,93x
0,85x
0,85x
0,78x
0,79x
0,80x
0,93x
NA
R2000V
KSPME
R3000
KSPME
NA
1,13x
NA
1,10x
NA
NA
NA
1,71x
1,46x
1,17x
1,19x
1,18x
1,26x
1,75x
1,55x
1,64x
1,51x
1,38x
1,01x
1,01x
0,90x
0,89x
0,81x
0,81x
0,82x
0,94x
NA
NA
1,12x
NA
1,16x
NA
NA
NA
2,14x
1,80x
1,50x
1,97x
2,03x
1,75x
2,10x
1,70x
1,69x
1,48x
1,36x
0,99x
1,00x
0,90x
0,90x
0,81x
0,84x
0,85x
0,96x
NA
MSCI WORLD
PERACS Alpha
NA
8,2%
NA
7,7%
NA
NA
NA
26,3%
19,9%
13,2%
16,4%
14,1%
13,2%
19,3%
15,6%
13,4%
13,4%
8,6%
2,8%
3,8%
1,2%
1,0%
6,8%
7,5%
8,0%
1,6%
NA
S&P 500
PERACS
Alpha
NA
3,6%
NA
3,1%
NA
NA
NA
20,2%
16,3%
10,9%
17,1%
15,4%
15,4%
22,9%
19,2%
15,1%
14,9%
8,2%
0,3%
0,4%
3,0%
3,4%
10,8%
11,9%
11,7%
5,4%
NA
R2000
PERACS
Alpha
NA
2,9%
NA
5,4%
NA
NA
NA
25,5%
21,7%
12,9%
10,2%
8,5%
8,9%
17,0%
14,7%
12,4%
13,7%
6,2%
1,8%
1,8%
5,2%
5,8%
13,4%
16,3%
15,9%
12,1%
NA
R2000V
PERACS
Alpha
NA
3,6%
NA
2,3%
NA
NA
NA
16,9%
13,4%
5,0%
3,8%
3,1%
5,1%
14,8%
14,2%
13,1%
15,0%
8,0%
0,2%
0,2%
3,5%
4,2%
11,9%
14,8%
14,3%
9,1%
NA
R3000
PERACS
Alpha
NA
3,4%
NA
3,4%
NA
NA
NA
20,9%
16,8%
11,0%
16,1%
14,4%
14,4%
22,0%
18,3%
14,5%
14,5%
7,7%
0,2%
0,1%
3,5%
3,9%
11,3%
12,7%
12,5%
6,6%
NA
29
Table III
Absolute and Relative Performance Against Various Bench Marks by Region (Continued)
Panel C: Developed AsiaPacific
Vintage year
1997
1998
1999
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
Funds
0
0
1
0
0
0
3
4
4
4
1
2
1
3
0
MSCI
WORLD
KSPME
NA
NA
NA
NA
NA
NA
1,47x
1,66x
0,94x
1,09x
NA
NA
NA
0,75x
NA
S&P 500
KSPME
R2000
KSPME
NA
NA
NA
NA
NA
NA
1,35x
1,52x
0,84x
0,98x
NA
NA
NA
0,70x
NA
NA
NA
NA
NA
NA
NA
1,27x
1,39x
0,76x
0,91x
NA
NA
NA
0,67x
NA
R2000V
KSPME
R3000
KSPME
NA
NA
NA
NA
NA
NA
1,37x
1,52x
0,81x
0,95x
NA
NA
NA
0,69x
NA
NA
NA
NA
NA
NA
NA
1,32x
1,49x
0,82x
0,96x
NA
NA
NA
0,70x
NA
MSCI WORLD
PERACS Alpha
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
S&P 500
PERACS
Alpha
NA
NA
NA
NA
NA
NA
7,9%
9,9%
4,8%
0,9%
NA
NA
NA
26,3%
NA
R2000
PERACS
Alpha
NA
NA
NA
NA
NA
NA
6,5%
8,0%
7,3%
3,3%
NA
NA
NA
29,0%
NA
R2000V
PERACS
Alpha
NA
NA
NA
NA
NA
NA
8,4%
10,2%
5,6%
1,7%
NA
NA
NA
27,3%
NA
R3000
PERACS
Alpha
NA
NA
NA
NA
NA
NA
7,5%
9,4%
5,3%
1,4%
NA
NA
NA
26,8%
NA
30
Table III
Absolute and Relative Performance Against Various Bench Marks by Region (Continued)
Panel D: Emerging Markets
Vintage year
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
Funds
1
0
3
0
3
5
7
2
5
1
1
2
6
12
8
15
6
2
4
5
3
1
MSCI
WORLD
KSPME
NA
NA
0,75x
NA
0,85x
0,88x
2,61x
NA
2,25x
NA
NA
NA
1,32x
1,56x
1,11x
1,12x
0,75x
NA
0,88x
0,94x
0,92x
NA
S&P 500
KSPME
R2000
KSPME
NA
NA
0,60x
NA
0,90x
0,95x
2,80x
NA
2,51x
NA
NA
NA
1,23x
1,42x
0,99x
0,99x
0,67x
NA
0,83x
0,90x
0,89x
NA
NA
NA
0,67x
NA
0,72x
0,72x
2,08x
NA
2,03x
NA
NA
NA
1,11x
1,30x
0,90x
0,91x
0,63x
NA
0,78x
0,85x
0,84x
NA
R2000V
KSPME
R3000
KSPME
NA
NA
0,44x
NA
0,52x
0,52x
1,79x
NA
1,93x
NA
NA
NA
1,23x
1,43x
0,95x
0,96x
0,66x
NA
0,80x
0,87x
0,86x
NA
NA
NA
0,60x
NA
0,87x
0,91x
2,67x
NA
2,42x
NA
NA
NA
1,20x
1,39x
0,97x
0,97x
0,66x
NA
0,82x
0,90x
0,88x
NA
MSCI WORLD
PERACS Alpha
NA
NA
5,4%
NA
2,7%
2,0%
16,4%
NA
16,4%
NA
NA
NA
5,3%
9,5%
3,3%
3,8%
11,2%
NA
8,1%
6,4%
12,4%
NA
S&P 500
PERACS
Alpha
NA
NA
9,1%
NA
1,7%
0,8%
17,9%
NA
18,5%
NA
NA
NA
4,1%
7,6%
0,4%
0,4%
14,9%
NA
12,1%
10,0%
16,0%
NA
R2000
PERACS
Alpha
NA
NA
7,7%
NA
5,6%
5,2%
12,3%
NA
14,0%
NA
NA
NA
2,2%
5,7%
3,2%
2,9%
16,9%
NA
15,4%
15,2%
22,1%
NA
R2000V
PERACS
Alpha
NA
NA
16,5%
NA
10,9%
10,4%
9,0%
NA
12,4%
NA
NA
NA
4,2%
7,8%
1,4%
1,2%
15,5%
NA
14,2%
13,7%
19,9%
NA
R3000
PERACS
Alpha
NA
NA
9,0%
NA
2,3%
1,5%
17,0%
NA
17,7%
NA
NA
NA
3,6%
7,1%
1,0%
0,9%
15,3%
NA
12,7%
11,0%
17,1%
NA
31
Table III
Absolute and Relative Performance Against Various Bench Marks by Region (Continued)
Panel E: Developed Global
Vintage year
1987
1993
1995
1997
1999
2000
2001
2002
2004
2005
2006
2007
2008
2009
2011
2012
Funds
1
0
1
2
1
3
1
0
4
4
3
1
4
1
1
4
MSCI
WORLD
KSPME
NA
NA
NA
NA
NA
1,97x
NA
NA
2,30x
1,32x
0,85x
NA
1,32x
NA
NA
0,99x
S&P 500
KSPME
R2000
KSPME
NA
NA
NA
NA
NA
2,19x
NA
NA
2,16x
1,17x
0,74x
NA
1,18x
NA
NA
0,95x
NA
NA
NA
NA
NA
1,91x
NA
NA
2,02x
1,06x
0,67x
NA
1,11x
NA
NA
0,91x
R2000V
KSPME
R3000
KSPME
NA
NA
NA
NA
NA
1,89x
NA
NA
2,15x
1,17x
0,73x
NA
1,16x
NA
NA
0,93x
NA
NA
NA
NA
NA
2,13x
NA
NA
2,12x
1,14x
0,73x
NA
1,16x
NA
NA
0,95x
MSCI WORLD
PERACS Alpha
NA
NA
NA
NA
NA
20,5%
NA
NA
25,3%
5,6%
4,0%
NA
10,7%
NA
NA
0,7%
S&P 500
PERACS
Alpha
NA
NA
NA
NA
NA
24,4%
NA
NA
24,8%
3,3%
7,1%
NA
6,0%
NA
NA
5,9%
R2000
PERACS
Alpha
NA
NA
NA
NA
NA
19,8%
NA
NA
23,5%
1,2%
9,3%
NA
3,7%
NA
NA
11,9%
R2000V
PERACS
Alpha
NA
NA
NA
NA
NA
18,8%
NA
NA
24,9%
3,3%
7,6%
NA
5,6%
NA
NA
9,0%
R3000
PERACS
Alpha
NA
NA
NA
NA
NA
23,5%
NA
NA
24,5%
2,8%
7,6%
NA
5,5%
NA
NA
6,9%
32
Table IV
Quartiles by Measure US
Panel A: North America Quartile Tables – Alpha, IRR, PRR
Vintage year
Funds
PERACS
Alpha
Avg Value
PERACS
Alpha
25%
quartile
PERACS
Alpha
50%
quartile
PERACS
Alpha
75%
quartile
IRR
Avg Value
IRR
25%
quartile
IRR
50%
quartile
IRR
PRR
75% Avg Value
quartile
PRR
25%
quartile
PRR
50%
quartile
PRR
75%
quartile
1993
12
12,9%
8,5%
15,0%
16,1%
27,0%
19,4%
26,9%
33,6%
21,2%
18,0%
22,2%
24,7%
1994
11
2,6%
3,0%
2,6%
6,1%
8,4%
0,3%
4,7%
12,2%
7,0%
0,2%
4,5%
11,2%
1995
18
2,3%
9,2%
2,7%
13,5%
10,2%
4,9%
7,7%
19,7%
7,2%
5,6%
7,4%
17,3%
1996
17
6,0%
0,5%
4,3%
10,2%
10,6%
1,8%
8,6%
11,5%
9,4%
1,9%
8,5%
11,5%
1997
24
4,0%
1,4%
6,4%
9,7%
4,8%
0,1%
7,3%
12,3%
4,7%
0,2%
7,4%
10,9%
1998
27
4,6%
0,4%
4,9%
10,1%
6,7%
0,2%
6,2%
10,1%
6,0%
0,4%
6,4%
11,1%
1999
33
10,5%
3,8%
8,8%
18,3%
13,2%
5,8%
12,3%
21,9%
12,9%
6,2%
12,9%
22,2%
2000
41
7,3%
4,3%
8,5%
13,2%
14,6%
10,6%
14,2%
22,5%
13,1%
10,4%
12,9%
19,9%
2001
11
6,9%
1,2%
7,6%
16,0%
17,5%
8,2%
18,8%
29,1%
13,9%
7,7%
17,3%
21,5%
2002
24
8,4%
3,6%
9,5%
14,3%
16,1%
8,5%
15,7%
23,5%
13,7%
8,2%
14,5%
19,6%
2003
16
10,6%
6,3%
10,1%
14,6%
16,2%
9,3%
13,7%
17,2%
14,0%
9,3%
12,8%
16,6%
2004
41
8,8%
4,1%
8,7%
12,0%
11,3%
7,7%
10,7%
13,4%
11,2%
7,8%
11,1%
13,4%
2005
44
5,3%
1,4%
5,7%
9,4%
7,8%
3,8%
8,0%
11,8%
8,3%
4,0%
8,3%
12,3%
2006
44
7,0%
3,6%
7,9%
11,3%
10,2%
6,9%
12,4%
14,0%
11,2%
7,4%
13,3%
15,2%
2007
49
6,1%
0,2%
3,4%
11,3%
13,7%
7,6%
11,2%
17,9%
14,6%
8,0%
11,6%
19,2%
2008
32
5,8%
1,9%
5,0%
12,5%
16,4%
9,2%
15,4%
23,0%
16,3%
8,2%
14,9%
23,3%
33
Table IV
Quartiles by Measure US (Continued)
Panel B: North America Quartile Table – TVPI, PM
Vintage year
Funds
TVPI
Avg Value
1993
12
2,49x
1994
11
1995
TVPI
25% quartile
TVPI
50% quartile
TVPI
75% quartile
PM
Avg Value
PM
25% quartile
PM
50% quartile
PM
75% quartile
2,10x
2,20x
3,34x
1,78x
1,51x
1,71x
2,33x
1,47x
1,01x
1,31x
1,82x
1,22x
0,81x
1,13x
1,42x
18
1,54x
0,82x
1,40x
2,17x
1,24x
0,70x
1,15x
1,77x
1996
17
1,54x
1,16x
1,33x
1,82x
1,32x
0,94x
1,24x
1,57x
1997
24
1,34x
1,03x
1,46x
1,71x
1,29x
0,91x
1,39x
1,60x
1998
27
1,39x
0,99x
1,41x
1,61x
1,29x
1,03x
1,24x
1,47x
1999
33
1,75x
1,30x
1,56x
2,22x
1,54x
1,15x
1,45x
1,81x
2000
41
1,84x
1,51x
1,89x
2,14x
1,45x
1,17x
1,50x
1,78x
2001
11
1,65x
1,38x
1,89x
1,95x
1,30x
1,05x
1,35x
1,69x
2002
24
1,87x
1,43x
1,85x
2,37x
1,54x
1,24x
1,41x
1,99x
2003
16
1,84x
1,48x
1,78x
2,08x
1,60x
1,31x
1,61x
1,79x
2004
41
1,69x
1,39x
1,54x
1,87x
1,54x
1,21x
1,46x
1,64x
2005
44
1,47x
1,19x
1,47x
1,61x
1,31x
1,06x
1,31x
1,44x
2006
44
1,48x
1,34x
1,52x
1,68x
1,30x
1,15x
1,32x
1,45x
2007
49
1,43x
1,23x
1,37x
1,58x
1,17x
0,99x
1,11x
1,29x
2008
32
1,21x
1,19x
1,39x
1,66x
1,29x
0,96x
1,15x
1,32x
34
Table IV
Quartiles by Measure EU
Panel C: Europe Quartile Tables – Alpha, IRR, PRR
Vintage year
Funds
PERACS
Alpha
Avg Value
PERACS
Alpha
25%
quartile
PERACS
Alpha
50%
quartile
PERACS
Alpha
75%
quartile
IRR
Avg
Value
IRR
25%
quartile
IRR
50%
quartile
IRR
PRR
75% Avg Value
quartile
PRR
25%
quartile
PRR
50%
quartile
PRR
75%
quartile
1996
8
6,9%
0,0%
6,4%
11,0%
16,5%
5,3%
9,9%
18,5%
11,1%
4,9%
9,5%
15,9%
1997
14
15,3%
7,3%
17,0%
22,3%
18,3%
8,7%
18,5%
24,1%
16,4%
8,8%
18,4%
22,9%
1998
8
13,4%
8,5%
10,6%
21,5%
14,8%
8,5%
12,0%
24,2%
15,4%
8,8%
12,3%
26,1%
1999
13
12,4%
7,6%
13,4%
17,9%
16,0%
6,8%
13,2%
23,1%
16,4%
7,4%
13,8%
22,7%
2000
10
18,8%
15,6%
21,1%
24,4%
28,9%
23,1%
30,0%
37,0%
27,0%
23,2%
29,5%
33,4%
2001
9
12,7%
12,3%
16,1%
17,5%
25,9%
22,8%
30,0%
33,0%
22,2%
20,5%
26,0%
26,8%
2002
9
12,0%
7,5%
12,7%
17,5%
22,3%
15,4%
21,3%
34,5%
19,0%
13,6%
18,3%
27,5%
2003
10
10,9%
6,2%
13,1%
19,9%
22,5%
11,6%
19,0%
34,1%
18,9%
10,7%
16,4%
24,6%
2004
11
8,3%
4,2%
7,6%
12,6%
11,7%
7,8%
9,9%
18,7%
11,0%
7,6%
10,4%
17,5%
2005
19
1,4%
2,6%
1,9%
6,9%
3,8%
1,5%
5,4%
8,0%
3,8%
1,6%
5,7%
8,5%
2006
16
0,2%
4,2%
0,1%
5,5%
3,5%
1,0%
5,2%
8,1%
3,8%
1,0%
5,4%
8,8%
2007
19
0,2%
3,4%
0,7%
4,2%
6,9%
4,2%
7,7%
11,0%
7,2%
4,5%
7,9%
11,4%
2008
10
0,3%
4,5%
0,4%
4,7%
9,2%
5,6%
9,8%
16,2%
9,0%
5,6%
9,4%
15,8%
35
Table IV
Quartiles by Measure EU (Continued)
Panel D: Europe Quartile Table – TVPI, PM
Vintage year
Funds
TVPI
Avg Value
TVPI
25% quartile
TVPI
50% quartile
1996
8
1,52x
1,26x
1,59x
1997
14
1,88x
1,58x
1998
8
2,23x
1999
13
2000
TVPI
75% quartile
PM
Avg Value
PM
25% quartile
PM
50% quartile
PM
75% quartile
1,68x
1,31x
1,01x
1,34x
1,53x
1,97x
2,16x
1,82x
1,48x
1,80x
2,16x
1,57x
1,96x
2,96x
2,07x
1,57x
1,77x
2,44x
1,97x
1,37x
1,93x
2,18x
1,72x
1,44x
1,68x
1,89x
10
2,49x
2,03x
2,57x
2,94x
1,93x
1,65x
2,04x
2,31x
2001
9
2,05x
1,94x
2,15x
2,31x
1,56x
1,51x
1,67x
1,92x
2002
9
1,98x
1,77x
1,97x
2,23x
1,58x
1,40x
1,51x
1,83x
2003
10
1,76x
1,57x
1,66x
1,98x
1,49x
1,30x
1,53x
1,73x
2004
11
1,65x
1,33x
1,51x
1,96x
1,49x
1,20x
1,43x
1,65x
2005
19
1,21x
0,92x
1,24x
1,42x
1,12x
0,88x
1,11x
1,29x
2006
16
1,18x
0,96x
1,20x
1,43x
1,03x
0,83x
0,99x
1,26x
2007
19
1,24x
1,13x
1,30x
1,34x
1,02x
0,91x
.1,02x
1,14x
2008
10
1,40x
1,15x
1,25x
1,45x
1,03x
0,89x
0,99x
1,13x
36
Table Va
Misclassification Analysis
Primary Buyout
Funds
TVPI
Q1
Q2
Q3
Q4
IRR
Q1
Q2
Q3
Q4
20,00%
3,08%
76,92%
24,40% 55,50% 16,27% 3,83%
2,13% 18,62% 68,09% 11,17%
2,22%
2,67%
8,00% 87,11%
Primary Buyout
Funds
Q1
Q2
Q3
Q4
PERACS Rate of Return
Q1
Q2
Q3
Q4
78,46% 18,46% 3,08%
23,92% 55,02% 17,70% 3,35%
1,60% 21,81% 66,49% 10,11%
1,33%
2,22%
8,00% 88,44%
Average
Primary Buyout
Funds
TVPI
Average
23,08%
44,50%
31,91%
12,89%
28,09%
Average
TVPI
Misclassified
Q1
Q2
Q3
Q4
Misclassified
21,54%
44,98%
33,51%
11,56%
27,90%
Market Return
Primary Buyout
Funds
TVPI
Q1
Q2
Q3
Q4
Misclassified
Q1
46,15%
27,75%
22,34%
17,78%
Q2
20,38%
29,67%
23,40%
22,22%
Q3
16,15%
22,01%
28,19%
20,89%
Q4
17,31%
20,57%
26,06%
39,11%
Average
Primary Buyout
Funds
TVPI
Average
Q1
Q2
Q3
Q4
53,85%
70,33%
71,81%
60,89%
64,22%
PERACS Alpha
Q1
Q2
Q3
79,23% 17,31% 3,46%
21,05% 54,07% 21,05%
3,72% 24,47% 59,04%
1,33%
2,22% 10,67%
Q4
3,83%
12,77%
85,78%
Misclassified
20,77%
45,93%
40,96%
14,22%
30,47%
PM
Misclassified
Q1
Q2
Q3
Q4
86,92% 12,31% 0,77%
14,35% 62,20% 21,05% 2,39%
1,60% 21,81% 65,96% 10,64%
0,44%
2,67%
8,00% 88,89%
13,08%
37,80%
34,04%
11,11%
24,01%
37
Table Va
Misclassification Analysis (Continued)
Market Return
Primary Buyout
Funds
Misclassified
Q1
Q2
Q3
Q4
IRR
Q1
Q2
Q3
Q4
53,08% 16,92% 11,92% 18,08%
25,36% 34,93% 25,36% 14,35%
17,55% 23,40% 30,85% 28,19%
16,00% 21,33% 20,44% 42,22%
46,92%
65,07%
69,15%
57,78%
59,73%
Average
PM
Primary Buyout
Funds
IRR
Q1
Q2
Q1 79,23% 16,15%
Q2 19,62% 54,55%
Q3 6,91% 25,53%
2,22%
Q4
Q4
0,38%
1,91%
15,43%
84,89%
Average
Misclassified
Q1
Q2
Q3
Q4
IRR
Q1
Q2
Q3
Q4
1,15%
89,62% 9,23%
11,00% 68,42% 19,62% 0,96%
2,13% 21,81% 63,83% 12,23%
0,44% 10,67% 88,89%
Average
20,77%
45,45%
47,87%
15,11%
32,30%
Q1
Q2
Q3
Q4
IRR
10,38%
31,58%
36,17%
11,11%
22,31%
PERACS Rate of Return
Primary Buyout
Funds
Misclassified
Q3
4,23%
23,92%
52,13%
12,89%
PERACS Alpha
Primary Buyout
Funds
Q1
Q2
Q3
95,77% 4,23%
5,26% 89,95% 3,83%
5,32% 92,02%
3,11%
Average
Q4
0,96%
2,66%
96,89%
Misclassified
4,23%
10,05%
7,98%
3,11%
6,34%
Table Vb: average levels of quartile misclassification across performance measures
PERACS Market
Alpha
Return
IRR
22,31%
TVPI
30,47%
59,73%
64,22%
PERACS
Rate of
Return
6,34%
27,90%
PM
IRR
32,30%
24,01%
0
28,09%
TVPI
0
38
Table VIa
Relationship between Performance Drivers (DV Alpha, IVs: Market Return and IRR)
Panel A: By Geography
Fund Focus:
Market Return
ALL
0,873***
[0,031]
ALL
0,594***
[0,051]
Developed Europe
0,76***
[0,052]
Developed Europe North America
0,686***
0,931***
[0,082]
[0,047]
North America
0,637***
[0,078]
IRR
0,958***
[0,008]
0,913***
[0,011]
0,937***
[0,013]
0,929***
[0,018]
0,969***
[0,015]
0,904
[0,018]
Vintage Year Dummies
N
Rsquared
N
881
0,946
Y
881
0,955
N
197
0,984
Y
197
0,99
N
537
0,886
Y
537
0,91
***,**,* denote significance at 1%, 5% and 10% levels, respectively.
Panel B: By Size Category
Category Type:
Market Return
A
0,898***
[0,074]
A
0,083
[0,147]
B
0,902***
[0,047]
B
0,891***
[0,087]
C
0,974***
[0,055]
C
0,795***
[0,092]
D
0,818***
[0,071]
D
0,896***
[0,118]
IRR
0,989***
[0,02]
0,825***
[0,034]
0,909***
[0,014]
0,912***
[0,018]
0,925***
[0,016]
0,906***
[0,02]
0,947***
[0,018]
0,941***
[0,023]
Vintage Year Dummies
N
Rsquared
N
248
0,955
Y
248
0,967
N
222
0,952
Y
222
0,963
N
256
0,927
Y
256
0,941
N
152
0,947
Y
152
0,962
***,**,* denote significance at 1%, 5% and 10% levels, respectively; for size categories, see Appendix.
39
Table VI  b
Relationship between Performance Drivers (DV PME, IVs: TVPI and IRR)
Panel A: By Geography
Fund Focus:
Developed
AsiaPacific
1,031***
[0,09]
Developed
AsiaPacific
0,924***
[0,106]
Developed
Europe
Developed
Europe
Developed
Global
Developed
Global
Emerging
Markets
Emerging
Markets
North
America
North
America
0,772***
[0,02]
0,793***
[0,021]
0,699***
[0,067]
0,776***
[0,083]
0,737***
[0,013]
0,712***
[0,014]
0,32***
[0,025]
0,288***
[0,028]
IRR
0,306
[0,243]
0,07
[0,232]
0,02
[0,037]
0,016
[0,031]
0,304
[0,181]
0,079
[0,138]
0,325***
[0,11]
0,395***
[0,115]
1,089***
[0,108]
1,198***
[0,115]
Vintage Year
Dummies
N
Rsquared
N
Y
N
Y
N
Y
N
Y
N
Y
22
0,958
22
0,99
197
0,894
197
0,946
30
0,936
30
0,994
91
0,98
91
0,989
537
0,529
537
0,574
TVPI
***,**,* denote significance at 1%, 5% and 10% levels, respectively.
Panel B: By Size Category
Category Type:
TVPI
ALL
0,574***
[0,015]
ALL
0,571***
[0,016]
A
0,703***
[0,019]
A
0,859***
[0,021]
B
0,656***
[0,23]
B
0,743***
[0,021]
C
0,298***
[0,037]
C
0,268***
[0,04]
D
D
0,738*** 0,73***
[0,019]
[0,016]
IRR
0,316***
[0,052]
0,34***
[0,051]
0,05
[0,031]
0,008
[0,022]
0,312***
[0,096]
0,154**
[0,077]
1,238***
[0,176]
1,284***
[0,187]
0,165
[0,117]
0,404***
[0,119]
Vintage Year Dummies
N
Rsquared
N
881
0,697
Y
881
0,729
N
248
0,868
Y
248
0,941
N
222
0,883
Y
222
0,951
N
256
0,479
Y
256
0,548
N
152
0,938
Y
152
0,974
***,**,* denote significance at 1%, 5% and 10% levels, respectively.
40
Table VII
Commitments Driving Performance
Panel A: North America
Dependent Variable:
TVPI
IRR
Alpha
0,62
[0,447]
PERACS
Multiple
3,874*
[1,88]
Normalized Commitment
8,047*
[4,022]
Constant
N
Rsquared
Duration
Market Return
0,315
[0,278]
PERACS Rate
of Return
0,391
[0,394]
5127,37**
[2123,012]
0,075
[0,198]
2,41
[0,265]
0,186
[0,029]
1,712
[0,124]
0,101
[0,018]
0,165
[0,026]
1981,589
[139,857]
0,064
[0,013]
22
0,16
22
0,084
22
0,168
22
0,058
22
0,045
22
0,217
22
0,007
Duration
Market Return
3823,39***
[1385,914]
0,135
[0,138]
***,**,* denote significance at 1%, 5% and 10% levels, respectively.
Commitments Driving Performance ALL
Panel B: All Funds
Dependent Variable:
TVPI
IRR
Alpha
0,985***
[0,342]
PERACS
Multiple
4,216***
[1,33]
0,602***
[0,218]
PERACS Rate
of Return
0,737***
[0,27]
Normalized Commitment
7,81***
[2,3]
Constant
2,401
[0,155]
0,229
[0,023]
1,769
[0,09]
0,131
[0,015]
0,201
[0,018]
1797,988
[93,659]
0,07
[0,009]
N
Rsquared
42
0,219
42
0,168
42
0,1977
42
0,157
42
0,153
42
0,157
42
0,023
***,**,* denote significance at 1%, 5% and 10% levels, respectively.
41
Table VIII
Risk Measures by Geography
Panel A: North America
Vintage year
1987
1988
1989
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
Funds
9
11
14
8
18
12
22
23
40
40
39
58
14
27
24
51
58
52
60
41
19
11
33
Risk Coefficient
(PERACS
Alpha)
0,54
0,71
0,60
0,43
0,55
0,88
0,85
0,83
0,86
0,62
0,59
0,58
0,61
0,62
0,54
0,51
0,61
0,55
0,76
0,80
0,81
Relative Value
created to
destroyed
5,13
11,11
10,68
3,84
2,85
3,66
2,78
10,49
13,21
9,15
8,00
7,64
17,99
43,11
9,73
19,12
5,77
8,78
6,54
Percent of
underperfor
ming funds
0,0%
27,3%
14,3%
0,0%
11,1%
33,3%
40,9%
30,4%
37,5%
15,0%
12,8%
10,3%
14,3%
18,5%
16,7%
19,0%
9,6%
25,0%
26,3%
Risk Coefficient
(Absolute)
0,39
0,22
0,44
0,35
0,42
0,58
0,70
0,70
0,79
0,55
0,50
0,43
0,45
0,48
0,41
0,41
0,48
0,36
0,42
0,85
0,44
0,58
0,78
Absolute Value
created or destroyed
25,76
26,90
40,55
6,83
7,60
3,75
13,73
21,13
16,54
21,30
14,82
106,92
134,32
22,51
50,94
21,44
2,41
85,47
18,78
5,83
Percent of loss
making funds
0,0%
0,0%
7,1%
0,0%
11,1%
25,0%
31,8%
26,1%
30,0%
17,5%
10,3%
8,6%
14,3%
14,8%
12,5%
2,0%
12,1%
3,8%
5,0%
7,3%
5,3%
18,2%
15,2%
42
Table VIII
Risk Measures by Geography (Continued)
Panel B: Developed Europe
Vintage year
Funds
Risk Coefficient
(PERACS
Alpha)
Relative Value
created or
destroyed
Percent of
underperfor
ming funds
Risk Coefficient
(Absolute)
Absolute Value
created or destroyed
Percent of loss
making funds
1990
9
0,57
7,49
22,2%
0,34

0,0%
1994
9
0,36
2 063,57
11,1%
0,28

0,0%
1996
11
0,60
10,06
18,2%
0,52
18,92
18,2%
1997
21
0,39
29,57
9,5%
0,36
39,57
4,8%
1998
12
0,61
12,92
25,0%
0,55
25,98
25,0%
1999
20
0,45
34,05
15,0%
0,43
50,02
10,0%
2000
19
0,41
551,01
5,3%
0,31

0,0%
2001
12
0,38
16,18
8,3%
0,27
62,23
8,3%
2002
13
0,64
5,48
15,4%
0,47
10,68
7,7%
2003
13
0,54
21,70
23,1%
0,43
94,92
7,7%
2004
13
0,71
29,54
7,7%
0,65
41,71
7,7%
2005
25
0,87
2,89
32,0%
0,75
4,32
28,0%
2006
25
0,95
1,98
40,0%
0,73
5,01
28,0%
2007
25
0,94
3,44
36,0%
0,45
18,59
8,0%
2008
11
0,99
1,40
45,5%
0,64
13,75
18,2%
43
Table IX
Drivers of Risk, US
Panel A: North America
Dependent Variable:
Risk Coefficient (Alpha)
Value created or destroyed (A)
Percent of loss making deals (A)
PERACS Alpha
2,193*
[1,105]
64,893
[63,475]
1,405*
[0,732]
Duration
6,11E05
[0]
0,006
[0,005]
9,20E05
[0]
Market Return
2,358*
[1,283]
149,873*
[73,67]
1,075
[0,849]
N
Rsquared
21
0,449
21
0,199
21
0,399
***,**,* denote significance at 1%, 5% and 10% levels, respectively.
Panel B: North America
Dependent Variable:
Risk Coefficient (Alpha)
PERACS Multiple
0,309*
[0,165]
Duration
5,76E05
[0]
Market Return
2,128
[1,378]
Value created or destroyed (A)
Percent of loss making deals (A)
PERACS
Rate of
Return
Duration
2,193*
[1,105]
Alpha
6,11E05
[0]
Duration 6,11E05
[0]
Market
Return
0,165
[2,068]
Market
Return
N
21
21
Rsquared
0,438
0,499
***,**,* denote significance at 1%, 5% and 10% levels, respectively.
2,193*
[1,105]
2,358*
[1,283]
21
0,499
44
Table IX
Drivers of Risk, US (Continued)
Panel C: North America
Dependent Variable:
Risk Coefficient (TVPI)
Value created or destroyed (TVPI)
Percent of loss making deals (TVPI)
TVPI
0,164
[0,123]
9,647
[16,766]
0,079
[0,055]
Duration
0
[0]
0,021
[0,025]
8,36E05
[0]
Market Return
0,447
[2,273]
417,147
[310,563]
0,435
[1,026]
N
Rsquared
21
0,315
21
0,145
21
0,395
***,**,* denote significance at 1%, 5% and 10% levels, respectively.
45
Table IX
Drivers of Risk
Panel D: All Funds
Dependent
Variable:
Risk Coefficient
(PERACS Alpha)
Risk Coefficient
(PERACS Alpha)
TVPI
0,29***
[0,07]
PERACS
Multiple
0,409***
[0,086]
PERACS
Alpha
Duration
0
[0]
Duration
4,26E06
[0]
Duration
Market
Return
0,574
[1,256]
Market
Return
1,878**
[0,893]
Market
Return
N
Rsquared
39
0,453
39
0,505
Percent of loss
making deals
(TVPI)
2,661***
[0,481]
Risk Coefficient
(PERACS Alpha)
Risk Coefficient
(PERACS Alpha)
PERACS
Alpha
2,661***
[0,481]
IRR
1,548***
[0,384]
0**
[0]
Duration
0**
[0]
Duration
0*
[0]
2,116**
[0,824]
Market
Return
0,545
[1,032]
Market
Return
0,655
[1,083]
39
0,565
39
0,565
39
0,445
Percent of loss
making deals (A)
0,161***
[0,045]
Percent of loss
making deals (A)
0,226***
[0,056]
***,**,* denote significance at 1%, 5% and 10% levels, respectively.
Panel E: All Funds
Dependent
Variable:
PERACS
Alpha
Value created or
destroyed (A)
1440,141
[911,446]
Duration
0,055
[0,135]
Duration
0,158
[0,147]
Duration
0,258
[0,184]
Duration
1,36E07
[0]
Duration
7,96E05
[0]
Market
Return
3087,85*
[1560,822]
Market
Return
3365,99**
[1571,412]
Market
Return
5068,28**
[2113,041]
Market
Return
0,562
[0,802]
Market
Return
0,806
[0,579]
N
Rsquared
39
0,13
PERACS
Multiple
Value created or
destroyed (A)
274,965*
[151,126]
39
0,148
TVPI
Value created or
destroyed (A)
199,202
[118,316]
39
0,138
TVPI
39
0,428
PERACS
Multiple
39
0,468
***,**,* denote significance at 1%, 5% and 10% levels, respectively.
46
Table IX
Drivers of Risk (Continued)
Panel F: All Funds
Dependent
Variable:
PERACS
Alpha
Percent of loss
making deals (A)
1,482***
[0,316]
Duration
0***
[0]
Duration
0***
[0]
Duration
0
[0]
Duration
6,88E05
[0]
Duration
1,62E05
[0]
Market
Return
0,936*
[0,542]
Market
Return
0,097
[0,686]
Market
Return
1,683
[0,999]
Market
Return
0,842
[1,146]
Market
Return
2,3***
[0,842]
N
Rsquared
39
0,517
IRR
Percent of loss
making deals (A)
0,878***
[0,243]
IRR
39
0,429
Risk Coefficient
(TVPI)
0,841**
[0,354]
TVPI
39
0,339
Risk Coefficient
(TVPI)
0,171**
[0,064]
PERACS
Multiple
39
0,362
Risk Coefficient
(TVPI)
0,239***
[0,081]
39
0,385
***,**,* denote significance at 1%, 5% and 10% levels, respectively.
Panel G: All Funds
Dependent
Variable:
Alpha
Risk Coefficient
(TVPI)
1,536***
[0,474]
Duration
0
[0]
Market
Return
2,447***
[0,812]
N
Rsquared
39
0,408
PERACS
Rate of
Return
Duration
Market
Return
Risk Coefficient
(TVPI)
1,536***
[0,474]
0
[0]
0,911
[1,017]
39
0,408
PERACS
Rate of
Return
Duration
Market
Return
Value created or
destroyed (TVPI)
42,094
[71,728]
TVPI
Value created or
destroyed (TVPI)
2,683
[9,386]
IRR
Value created or
destroyed (TVPI)
31,754
[50,7]
0,008
[0,011]
Duration
0,011
[0,015]
Duration
0,008
[0,011]
288,241*
[153,926]
Market
Return
265,193
[167,626]
Market
Return
280,328*
[142,979]
39
0,103
39
0,096
39
0,104
***,**,* denote significance at 1%, 5% and 10% levels, respectively.
47
Table IX
Drivers of Risk All (Continued)
Panel H: All Funds
Dependent Variable:
IRR
Percent of loss making deals (TVPI)
0,253
[0,198]
Duration
4,26E05
[0]
Duration
3,85E05
[0]
Duration
5,40E07
[0]
Market Return
1,146**
[0,559]
Market
Return
0,566
[0,625]
Market
Return
1,232**
[0,463]
N
Rsquared
TVPI
39
0,254
Percent of loss making deals (TVPI)
0,078**
[0,035]
39
0,315
PERACS
Multiple
Percent of loss making deals (TVPI)
0,108**
[0,044]
39
0,33
***,**,* denote significance at 1%, 5% and 10% levels, respectively.
48
Appendix:
Size Categorization
Buyout Funds
Bottom
Quartile
Median
Top
Quartile
Mean
1980s
85
215
425
390
1990s
200
485
998
782
2000s
284
700
1530
1420
Size Cutoff ($ Millions)
49
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