Q1 2023 PitchBook Private Capital Indexes

Private Capital
Indexes
Q1 2023
Contents
Overview 3
PitchBook Data, Inc.

Risk measurement 6
John Gabbert Founder, CEO
Private equity 9
Nizar Tarhuni Vice President, Institutional Research and Editorial
Venture capital 11 Daniel Cook, CFA Head of Quantitative Research
Real estate 13
Real assets 15
Institutional Research Group

Private debt 17
Analysis
Funds of funds 19
Zane Carmean, CFA, CAIA
Lead Analyst, Quantitative and Funds Research
Secondaries 21 zane.carmean@pitchbook.com
Appendix 23 pbinstitutionalresearch@pitchbook.com
Select PitchBook Private Capital Indexes quarterly returns Published on August 7, 2023
Index Q2 2022 Q3 2022 Q4 2022 Q1 2023*
Private equity -2.7% -1.6% 2.3% 1.3%
Buyout -2.1% -1.6% 2.5% 1.4%
Growth/expansion -7.0% -1.2% 1.1% 0.4%
Venture capital -9.2% -2.5% -5.5% 0.2%
Sub-$250M -6.8% -3.7% -11.2% 4.3%
$250M+ -9.5% -2.3% -5.0% -0.7%
Real estate 1.4% -0.9% 0.4% 0.7%
Opportunistic 1.4% -2.2% 1.4% 1.9%
Value-add 0.9% 0.9% -0.6% -2.8%
Real assets 2.8% 2.7% 2.9% 2.1%
Infrastructure 1.0% 2.2% 2.7% 2.8%
Natural resources 6.4% 3.7% 3.2% 0.2%
Private debt -0.3% -0.1% 2.4% 0.5%
Direct lending 0.5% 1.5% 1.2% 3.7%
Distressed -1.2% 0.0% 2.1% -1.2%
Mezzanine 0.0% -7.9% 9.0% 0.5%
Funds of funds -2.3% -3.1% 2.1% 3.8%
PE FoFs -2.3% -3.7% 3.7% 6.0%
VC FoFs -3.7% -4.3% -0.2% -3.0% For further data and metrics available with PitchBook's private
Secondaries 0.6% -2.3% 1.9% 1.8% capital fund performance and benchmarking, please refer to our
Private capital -1.8% -1.0% 1.8% 1.3% PitchBook Benchmarks report.
Source: PitchBook • Geography: Global
*As of March 31, 2023
Note: Q1 2023 data in this report is preliminary.
2 PITCHBOOK PRIVATE CAPITAL INDEXES

Overview
What are the PitchBook Private Capital Indexes?
The PitchBook Private Capital Indexes are quarterly return Additionally, the indexes unlock useful analysis on private
benchmarks for the private market industry. These indexes market volatility and drawdowns during difficult
are built with PitchBook's fund cash flow and NAV data and environments. One known limitation of private market
serve as a supplement to our quarterly PitchBook performance and risk measurement is the tendency for
Benchmarks report. fund returns to appear overly "smooth," with asset pricing
slow to change from one period to the next. This
This report is organized into sections for each of the seven smoothing results in lower perceived volatility than what is
strategies, with subcategories within private equity, likely realistic, which can impact diversification decisions
venture capital, real estate, real assets, private debt, and and risk/reward estimations based on reported returns. To
funds of funds. We also track returns by fund quartile address this limitation, this report includes adjusted return
ranking, bucketed according to a fund's class and vintage figures to provide alternatives for private market risk
year benchmark. For the overall Private Capital Index, we measurement.
include versions by global region. These various
combinations provide an overall view of private market PitchBook clients have access to all the aggregate data in
performance by money-weighting the cash flows and NAV the accompanying XLS, as well as the underlying
changes of active funds in a respective fund category. constituent funds in the PitchBook Platform. Please reach
out with any questions or feedback.
Our Benchmarks report has been providing quarterly
returns since 2018, with our data series extending back to
the late 90s. By calculating the change in NAV from one
quarter to the next, adjusting for cash flows coming into It is important to note that the indexes provided are meant to be estimates of
and out of funds via capital calls and distributions, users asset class performance, hypothetically creating a return if one had access to all
can get a sense of each asset class's performance in a active funds on a capital-weighted basis.1 They are not practically investable
pseudo-time-weighted manner. Linking together the and are subject to change as we continually update our datasets.
quarterly return figures allows us to construct an index,
providing a useful alternative comparison with other
holdings such as public markets.
PitchBook Private Capital Indexes 5-year return
300
250 228.0
224.4
221.6
209.9
Indexed to 100
200
193.2
150 162.1
149.0
134.7
100
50
2018 2019 2020 2021 2022 2023*
Private equity Venture capital Real estate Real assets Private debt Funds of funds Secondaries Private capital

1: Specifically, we include active funds for which PitchBook has adequate returns history. As of Q4 2022, the total NAV of included funds was $3.5 trillion.

Overview
Private Capital Index by fund quartile 5-year return
350
300
292.8
250
Indexed to 100
218.9
200 193.2
164.5
150
100 108.6
50
2018 2019 2020 2021 2022 2023*
Top quartile Upper-mid quartile Lower-mid quartile Bottom quartile Overall
Note: Constituent funds are bucketed into quartile rankings based on their fund categorization and vintage year. Quartiles are determined by TVPI as of the most recent available data.
Private Capital Index quarterly return by source Private Capital Indexes annualized returns*
15%
Index 1-year 5-year 10-year 15-year
Private equity -0.8% 17.2% 16.3% 12.5%

10%
Percentage of beginning NAV
Venture capital -16.2% 17.9% 16.1% 11.7%
5%
Real estate 1.6% 10.1% 11.6% 4.7%
Real assets 10.9% 8.3% 7.4% 7.2%

0%
Private debt 2.5% 6.1% 7.6% 7.7%

-5%
Funds of funds 0.4% 17.5% 14.8% 10.4%
-10% Secondaries 1.9% 16.0% 13.9% 11.5%

2018 2019 2020 2021 2022 2023*
Private capital 0.3% 14.1% 13.6% 10.3%
Net cash flow NAV change Quarterly return

Note: Net cash flows include distributions received by LPs and contributions sent to GPs for investment. NAV change
captures the unrealized markups (or markdowns) after those cash flows have been factored in.

Overview
Private Capital Index regional breakout 5-year return
225
198.4
200
193.2
193.2
175
Indexed to 100
150 153.8
125 126.1
100
75
50
2018 2019 2020 2021 2022 2023*
Private capital North America Europe Asia Rest of world
Note: The regional breakouts are based on known fund locations.
Private Capital Index weighting by category Private Capital Index weighting by region
100% 100%
Secondaries 4.7% Rest of world 0.9%
90% 90%
Funds of funds 3.4% Asia 5.1%
80% 80%
70% 70% Europe 18.5%

Private debt 11.8%
60% 60%
Real assets 11.8% North America 75.5%
50% 50%
40% 40%
Real estate 9.2%
30% 30%
Venture capital 5.1%
20% 20%
10% Private equity 54.0% 10%
0% 0%
2012
2013
2014
2015
2016
2017
2018
2019
2022*
2012
2013
2014
2015
2016
2017
2018
2019
2022*
2020
2021
2020
2021

*As of December 31, 2022
Note: Fund weightings in each period are determined by the NAV captured from active funds. As of Q4 2022, the total NAV of active funds was $3.5 trillion.

Risk measurement
Adjusting for return smoothing
Interpreting interim returns for private markets can be We also display the reported and adjusted volatility
challenging due to the inherent smoothing that takes place estimates for each private fund asset class and correlations
as a result of infrequent and disparate valuation between the desmoothed quarterly returns and the
adjustments to a fund's assets. This smoothing produces a quarterly returns of select public market indexes. If the ACF
potential bias in estimating volatility and correlations, adjustments are not made, the private market asset
which are necessary inputs for many allocators' risk classes will appear more attractive on a risk-adjusted basis
modeling in portfolio construction and monitoring. If left because of the understated volatility measures. The
unadjusted, our indexes are subject to this bias. correlations between the Private Capital Indexes and public
markets may also be lower, potentially overstating the
To address the issue, we have used a common approach to diversification benefits. We provide historical context on
desmooth private market returns. This section provides how the relationship with public equities has changed, as
adjusted return series using a first-order autoregression well as the overall correlation coefficients since 2000.
model. In simple terms, we have found evidence that
private market returns are correlated from one quarter to The following page also includes peak-to-trough
the next, by about 50%, although this varies across asset drawdowns in the unadjusted reported returns during
classes and time. select time frames. We leave these unadjusted to
recognize the magnitude of the reported NAV change
By using a single-lag autocorrelation function (ACF), the experienced by LPs through the market downturn. While
adjusted return series yields higher volatility estimates not necessarily indicative of volatility, the drawdowns
than would be calculated using the traditional reported provide historical context to answer the question, "How
figures. The adjusted series should be taken into much do reported NAVs fall during a correction?" This
consideration when evaluating the risk/return provides a starting point for considering the impact of
characteristics of each asset class. It should be noted that various environments on a private market portfolio.
these are still just estimates of what is happening to the
"true" returns of the asset class, but they nonetheless
provide a useful barometer for comparison.
For further reading on fund return smoothing, please review our Analyst Note:
Return Smoothing in Private Markets.
Reported versus adjusted Private Capital Index quarterly returns
20%
15%
10%
5%
0%
-5%
-10%
-15%
-20%
-25%
2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023*
Reported Adjusted

Note: Adjusted indexes use the desmoothed quarterly returns.

Risk measurement
Annualized volatility estimates since 2000* Reported peak-to-trough drawdowns in select periods
10.3% Dot-com
Private equity
17.2% Index bubble GFC COVID-19 Current*
Venture capital 13.0%
32.2% Private equity -27.1% -27.5% -8.5% -0.8%
Real estate 10.8%

21.0% Venture capital -65.2% -17.3% -2.0% -19.6%
Real assets 11.8% Real estate -2.1% -56.2% -3.5% N/A

19.5%
Private debt 7.9% Real assets -7.2% -10.4% -12.1% N/A
10.8%
Funds of funds 10.5% Private debt -3.3% -27.0% -6.8% N/A
18.4%
Secondaries 9.3% Funds of funds -55.4% -24.3% -0.6% N/A
13.5%
Private capital 8.9% Secondaries -15.8% -16.5% -3.9% N/A
16.3%
S&P 500 16.8% Private capital -26.7% -26.4% -7.1% N/A
Global Markets 18.0% S&P 500 -43.8% -45.8% -19.6% -12.0%
19.6% Global Markets -43.1% -48.7% -22.1% -12.2%

Global Real Estate
23.8% Global Real Estate -9.0% -63.3% -25.8% -24.5%
Global Energy
10.8% Global Energy -21.6% -45.4% -44.4% -3.1%
Global High Yield
Global High Yield -8.2% -26.9% -13.8% -9.1%
Reported Adjusted
Sources: Morningstar, PitchBook • Geography: Global
Note: Public indexes are based on quarter-end total returns. Public indexes aside from the S&P 500 are provided by Morningstar Indexes. *As of March 31, 2023
Adjusted Private Capital Indexes 5-year return
300
250
215.7
206.0
Indexed to 100
200
202.8
177.7
162.0
150 153.7
142.6
131.7
100
50
2018 2019 2020 2021 2022 2023*
Private equity Venture capital Real estate Real assets Private debt Funds of funds Secondaries Private capital
Note: Adjusted indexes use the desmoothed quarterly returns.

Risk measurement
Rolling 5-year correlation with S&P 500 quarterly returns
1.0
0.8
0.6
0.4
0.2
0.0
-0.2
-0.4
2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023*
Private equity Venture capital Real estate Real assets Private debt Funds of funds Secondaries

Note: Correlations are run using the ACF-adjusted quarterly return series for the PitchBook Private Capital Indexes.
Return correlation matrix using adjusted returns*

PitchBook Private Capital Indexes Public market indexes
Private Private Venture Funds of Global Global Real Global Global High
Real estate Real assets Private debt Secondaries S&P 500
capital equity capital funds Markets Estate Energy Yield
Private capital 1.00 0.98 0.61 0.65 0.48 0.74 0.59 0.26 0.73 0.76 0.66 0.56 0.63
Private equity 1.00 0.54 0.59 0.42 0.67 0.55 0.27 0.72 0.75 0.66 0.53 0.61
Venture capital 1.00 0.27 0.28 0.41 0.54 -0.01 0.48 0.44 0.32 0.27 0.39
Real estate 1.00 0.28 0.50 0.26 0.24 0.36 0.36 0.34 0.27 0.23
Real assets 1.00 0.36 0.40 0.11 0.42 0.44 0.39 0.52 0.41
Private debt 1.00 0.42 0.19 0.64 0.70 0.68 0.60 0.69
Funds of funds 1.00 0.36 0.41 0.44 0.34 0.29 0.37
Secondaries 1.00 0.26 0.27 0.27 0.30 0.10
S&P 500 1.00 0.96 0.79 0.69 0.76
Global Markets 1.00 0.85 0.75 0.82
Global Real Estate 1.00 0.62 0.78
Global Energy 1.00 0.63
Global High Yield 1.00

Note: This matrix shows the correlation of quarterly returns since the beginning of 2000. Public indexes aside from the S&P 500 are provided by Morningstar Indexes.

Private equity
Private Equity Indexes 5-year return
300
256.8
250
221.6
218.6
200
Indexed to 100
193.2
150
100
50
2018 2019 2020 2021 2022 2023*
Private equity Buyout Growth/expansion Private capital
Private Equity Index quarterly return by source Private Equity Indexes annualized returns*
20%
15% Private equity -0.8% 17.2% 16.3% 12.5%

10% Buyout 0.1% 16.9% 16.1% 12.3%
Growth/expansion -6.8% 20.8% 18.4% 14.5%

5%
Private capital 0.3% 14.1% 13.6% 10.3%

0%
-5%
-10%
2018 2019 2020 2021 2022 2023*

Note: Net cash flows include distributions received by LPs and contributions sent to GPs for investment. NAV change captures
the unrealized markups (or markdowns) after those cash flows have been factored in.

Private equity
Private Equity Index by fund quartile 5-year return
400
350
339.0
300
Indexed to 100
250 238.4
221.6
200
174.2
150
120.3
100
50
2018 2019 2020 2021 2022 2023*

Private Equity Index weighting by category Private Equity Index weighting by region
100% 100%
Rest of world 1.0%
90% Other 0.3% 90%
80% 80% Asia 6.8%

Growth/expansion 12.7%
70% 70% Europe 18.1%
60% Buyout 87.0% 60%
North America 74.1%
50% 50%
40% 40%
30% 30%
20% 20%
10% 10%
0% 0%
2012
2013
2014
2015
2016
2017
2018
2019
2022*
2020
2021
2012
2013
2014
2015
2016
2017
2018
2019
2022*
2020
2021

Note: Fund weightings in each period are determined by the NAV captured from active funds. As of Q4 2022, the total NAV of active funds was $1.9 trillion.

Venture capital
Venture Capital Indexes 5-year return
350
300
250 257.5
228.0
Indexed to 100
222.7
200
193.2
150
100
50
2018 2019 2020 2021 2022 2023*
Venture capital Sub-$250M $250M+ Private capital
Venture Capital Index quarterly return by source Venture Capital Indexes annualized returns*
25%
20%
Venture capital -16.2% 17.9% 16.1% 11.7%
15%
Sub-$250M -16.9% 20.8% 16.9% 12.3%

10%
$250M+ -16.6% 17.4% 16.0% 11.6%
5%
0% Private capital 0.3% 14.1% 13.6% 10.3%
-5%
-10%
-15%
2018 2019 2020 2021 2022 2023*


Venture capital
Venture Capital Index by fund quartile 5-year return
450
400
350
334.1
300
Indexed to 100
250 234.3
228.0
200
174.4
150
123.6
100
50
2018 2019 2020 2021 2022 2023*

Venture Capital Index weighting by category Venture Capital Index weighting by region
100% 100%
$250M+ 92.0% Rest of world 0.0%
90% 90%
80% 80% Asia 7.3%

Sub-$250M 8.0%
70% 70%
Europe 4.4%
60% 60%
50% 50% North America 88.3%
40% 40%
30% 30%
20% 20%
10% 10%
0% 0%
2012
2013
2014
2015
2016
2017
2018
2019
2022*
2020
2021
2012
2013
2014
2015
2016
2017
2018
2019
2022*
2020
2021

Note: Fund weightings in each period are determined by the NAV captured from active funds. As of Q4 2022, the total NAV of active funds was $178.4 billion.

Real estate
Real Estate Indexes 5-year return
225
200
193.2
175 166.6
163.5
162.1
Indexed to 100
150
125
100
75
50
2018 2019 2020 2021 2022 2023*
Real estate Opportunistic Value-add Private capital
Real Estate Index quarterly return by source Real Estate Indexes annualized returns*
10%
8% Real estate 1.6% 10.1% 11.6% 4.7%
6% Opportunistic 2.5% 10.7% 12.2% 4.9%
4%
Value-add -1.6% 10.3% 11.3% 3.1%
2%
Private capital 0.3% 14.1% 13.6% 10.3%
0%
-2%
-4%
2018 2019 2020 2021 2022 2023*


Real estate
Real Estate Index by fund quartile 5-year return
250
225 222.5
200
178.5
175
Indexed to 100
162.1
150
132.5
125
100 96.3
75
50
2018 2019 2020 2021 2022 2023*

Real Estate Index weighting by category Real Estate Index weighting by region
100% 100%
Other 16.7% Rest of world 0.9%
90% 90%
80% Value-add 29.1% 80% Asia 6.4%

70% 70%
Opportunistic 54.2% Europe 13.4%
60% 60%
40% 40%
30% 30%
20% 20%
10% 10%
0% 0%
2012
2013
2014
2015
2016
2017
2018
2019
2022*
2020
2021
2012
2013
2014
2015
2016
2017
2018
2019
2022*
2020
2021


Real assets
Real Assets Indexes 5-year return
225
200
193.2
175
164.7
Indexed to 100
150
149.0
130.7
125
100
75
50
2018 2019 2020 2021 2022 2023*
Real assets Infrastructure Natural resources Private capital
Real Assets Index quarterly return by source Real Assets Indexes annualized returns*
10%
Real assets 10.9% 8.3% 7.4% 7.2%

5%
Infrastructure 9.0% 10.5% 10.7% 8.5%

0%
Natural resources 14.0% 5.5% 3.8% 5.4%
-5% Private capital 0.3% 14.1% 13.6% 10.3%
-10%
-15%
2018 2019 2020 2021 2022 2023*


Real assets
Real Assets Index by fund quartile 5-year return
225
219.0
200
175
166.7
Indexed to 100
150 149.0
125 125.9
100
75
69.5
50
2018 2019 2020 2021 2022 2023*

Real Assets Index weighting by category Real Assets Index weighting by region
100% 100%
Natural resources 31.2% Rest of world 0.9%
90% 90%
80% Infrastructure 68.8% 80% Asia 0.1%

70% 70%
Europe 24.8%
60% 60%
40% 40%
30% 30%
20% 20%
10% 10%
0% 0%
2012
2013
2014
2015
2016
2017
2018
2019
2022*
2020
2021
2012
2013
2014
2015
2016
2017
2018
2019
2022*
2020
2021


Private debt
Private Debt Indexes 5-year return
225
200
193.2
175
Indexed to 100
150
143.4
134.7
125 130.6
118.2
100
75
50
2018 2019 2020 2021 2022 2023*
Private debt Direct lending Distressed Mezzanine Private capital
Private Debt Index quarterly return by source Private Debt Indexes annualized returns*
10%
8%
Private debt 2.5% 6.1% 7.6% 7.7%
6%
4% Direct lending 7.2% 5.5% 5.5% N/A
2% Distressed -0.4% 7.5% 7.7% 7.3%

0%
Mezzanine 0.9% 3.4% 8.2% 10.0%
-2%
-4% Private capital 0.3% 14.1% 13.6% 10.3%
-6%
-8%
2018 2019 2020 2021 2022 2023*


Private debt
Private Debt Index by fund quartile 5-year return
200
181.5
175
150
Indexed to 100
136.6
134.7
125 124.7
100
82.7
75
50
2018 2019 2020 2021 2022 2023*

Private Debt Index weighting by category Private Debt Index weighting by region
100% 100%
90% 90%
80% Mezzanine 13.1% 80% Asia 0.4%

70% Distressed 33.0% 70%
Europe 21.3%
60% Direct lending 30.8% 60%
40% 40%
30% 30%
20% 20%
10% 10%
0% 0%
2012
2013
2014
2015
2016
2017
2018
2019
2022*
2020
2021
2012
2013
2014
2015
2016
2017
2018
2019
2022*
2020
2021


Funds of funds
Funds of Funds Indexes 5-year return
350
300
287.2
250
Indexed to 100
224.4
210.9
200
193.2
150
100
50
2018 2019 2020 2021 2022 2023*
Funds of funds PE FoFs VC FoFs Private capital
Funds of Funds Index quarterly return by source Funds of Funds Indexes annualized returns*
20%
15% Funds of funds 0.4% 17.5% 14.8% 10.4%

10% PE FoFs 3.4% 16.1% 14.3% 9.6%
VC FoFs -10.8% 23.5% 18.5% N/A

5%
Private capital 0.3% 14.1% 13.6% 10.3%

0%
-5%
-10%
2018 2019 2020 2021 2022 2023*


Funds of funds
Funds of Funds Index by fund quartile 5-year return
350
300 301.5
250
229.0
Indexed to 100
224.4
200 203.0
150
138.6
100
50
2018 2019 2020 2021 2022 2023*

Funds of Funds Index weighting by category Funds of Funds Index weighting by region
100% 100%
90% 90%
80% VC FoFs 28.1% 80% Asia 9.8%

70% 70%
PE FoFs 55.7% Europe 8.8%
60% 60%
40% 40%
30% 30%
20% 20%
10% 10%
0% 0%
2012
2013
2014
2015
2016
2017
2018
2019
2022*
2020
2021
2012
2013
2014
2015
2016
2017
2018
2019
2022*
2020
2021


Secondaries
Secondaries Index 5-year return
225
209.9
200
193.2
175
Indexed to 100
150
125
100
75
50
2018 2019 2020 2021 2022 2023*
Secondaries Private capital
Secondaries Index quarterly return by source Secondaries Index annualized returns*
20%
15% Secondaries 1.9% 16.0% 13.9% 11.5%

10% Private capital 0.3% 14.1% 13.6% 10.3%
5%
0%
-5%
-10%
2018 2019 2020 2021 2022 2023*


Secondaries
Secondaries Index by fund quartile 5-year return
300
250 250.9
235.0
209.9
Indexed to 100
200
199.4
158.4
150
100
50
2018 2019 2020 2021 2022 2023*

Secondaries Index weighting by region
100%
Rest of world 0.0%
90%
80% Asia 0.8%

70%
Europe 32.6%
60%
50% North America 66.6%
40%
30%
20%
10%
0%
2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022*


Appendix
Glossary
Autocorrelation function (ACF) Total value to paid-in (TVPI) multiple

The measurement of correlation between a lagged version of A measurement of both the realized and unrealized value of a
a variable as compared with its original version between two fund as a proportion of the total paid-in (contributed) capital.
successive time intervals. The ACF quantifies the extent to
which the values of a time series are linearly related to their Vintage year
own past values. The vintage year is based on the year that a fund makes its
first capital call. If the year of the initial call is unknown, the
Contributions year of the final close is used as the vintage year. However, if
The capital provided by the LP to the GP once the GP has a firm publicly declares via press release or marketing
identified an asset or assets it intends to acquire. materials a fund to be of a particular vintage that is different
Contributions differ from committed capital in that than either of the first conditions, the firm’s classification
committed capital is the full amount that an LP has legally takes precedence.
agreed to contribute to the fund over the course of the fund
life. LPs only provide contributions when a GP calls down
capital, which it typically does several times over the life of Fund classifications2
the fund.
Private equity Private debt
Desmoothed returns Buyout Direct lending
Because the true value of private portfolio companies is often Growth/expansion Distressed debt
unknown, private market returns are often estimated using Other Mezzanine
fair value accounting, resulting in conservative valuation Restructuring/turnaround Other
estimates. These conservative valuation estimates result in Diversified PE Bridge financing
artificially smoothed reported returns that underestimate the Credit special situations
volatility that private funds experience. This also results in a Venture capital Infrastructure debt
tendency for returns to be autocorrelated. To desmooth the Sub-$250M Real estate debt
return series, an adjustment is made to the reported returns $250M+ Venture debt
using a one-period ACF to more accurately reflect volatility.
Real estate Funds of funds
Distributions Value-add Private equity
The capital returned to a limited partner (LP) from the Opportunistic Venture capital
general partner (GP) after the fund exits an investment or as Other Other
the fund's assets produce income. Core Real estate
Core-plus Real assets
Net asset value (NAV) Distressed Private debt
NAV is the remaining value of a fund at a given point in time. General
It is the value of the assets in a fund that have not yet been Real assets
realized. NAV will typically rise early in a fund's life as capital Infrastructure Secondaries
is called down by the GP and invested. As the fund exits Core Private equity
investments and distributes capital to its LPs, or if the fund's Core-plus Venture capital
investments are marked down, the NAV will decrease. Value-add Real estate
Opportunistic Real assets
Quarterly return Greenfield Private debt
Calculated as the percentage change in aggregate NAV for a Natural resources General
group of funds, considering contributions and distributions Oil & gas
during the quarter. This makes the calculation tantamount to Timber
a quarterly compounded growth rate. Agriculture
Metals/mining
2: Italicized fund types are not broken out in this report.

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Q1 2023 PitchBook Private Capital Indexes

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Q1 2023 PitchBook Private Capital Indexes

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Private Capital

PitchBook Data, Inc.

Venture capital 11 Daniel Cook, CFA Head of Quantitative Research

Institutional Research Group

Note: Q1 2023 data in this report is preliminary.

2 PITCHBOOK PRIVATE CAPITAL INDEXES

PitchBook Private Capital Indexes 5-year return

Source: PitchBook • Geography: Global

3 PITCHBOOK PRIVATE CAPITAL INDEXES

Top quartile Upper-mid quartile Lower-mid quartile Bottom quartile Overall

Source: PitchBook • Geography: Global

*As of March 31, 2023

Private equity -0.8% 17.2% 16.3% 12.5%

Venture capital -16.2% 17.9% 16.1% 11.7%

Real assets 10.9% 8.3% 7.4% 7.2%

Private debt 2.5% 6.1% 7.6% 7.7%

-10% Secondaries 1.9% 16.0% 13.9% 11.5%

Source: PitchBook • Geography: Global

4 PITCHBOOK PRIVATE CAPITAL INDEXES

Private capital North America Europe Asia Rest of world

Source: PitchBook • Geography: Global

*As of March 31, 2023

Note: The regional breakouts are based on known fund locations.

70% 70% Europe 18.5%

10% Private equity 54.0% 10%

Source: PitchBook • Geography: Global

5 PITCHBOOK PRIVATE CAPITAL INDEXES

Reported versus adjusted Private Capital Index quarterly returns

Source: PitchBook • Geography: Global

Note: Adjusted indexes use the desmoothed quarterly returns.

6 PITCHBOOK PRIVATE CAPITAL INDEXES

Real estate 10.8%

Real assets 11.8% Real estate -2.1% -56.2% -3.5% N/A

Global Markets 18.0% S&P 500 -43.8% -45.8% -19.6% -12.0%

19.6% Global Markets -43.1% -48.7% -22.1% -12.2%

Adjusted Private Capital Indexes 5-year return

Sources: Morningstar, PitchBook • Geography: Global

*As of March 31, 2023

Note: Adjusted indexes use the desmoothed quarterly returns.

7 PITCHBOOK PRIVATE CAPITAL INDEXES

Sources: Morningstar, PitchBook • Geography: Global

*As of March 31, 2023

Return correlation matrix using adjusted returns*

Sources: Morningstar, PitchBook • Geography: Global

8 PITCHBOOK PRIVATE CAPITAL INDEXES

15% Private equity -0.8% 17.2% 16.3% 12.5%

10% Buyout 0.1% 16.9% 16.1% 12.3%

Growth/expansion -6.8% 20.8% 18.4% 14.5%

Private capital 0.3% 14.1% 13.6% 10.3%

Net cash flow NAV change Quarterly return

Source: PitchBook • Geography: Global

9 PITCHBOOK PRIVATE CAPITAL INDEXES

Source: PitchBook • Geography: Global

80% 80% Asia 6.8%

Source: PitchBook • Geography: Global

10 PITCHBOOK PRIVATE CAPITAL INDEXES

Sub-$250M -16.9% 20.8% 16.9% 12.3%

0% Private capital 0.3% 14.1% 13.6% 10.3%

Net cash flow NAV change Quarterly return

Source: PitchBook • Geography: Global

11 PITCHBOOK PRIVATE CAPITAL INDEXES

Source: PitchBook • Geography: Global

80% 80% Asia 7.3%