NBER

Brian Boyer

Marriott School of Management
Brigham Young University
Provo, UT 84602

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
Institutional Affiliation: Brigham Young University

NBER Working Papers and Publications

November 2018Private Equity Indices Based on Secondary Market Transactions
with Taylor D. Nadauld, Keith P. Vorkink, Michael S. Weisbach: w25207
Measuring the performance of private equity investments (buyout and venture) has historically only been possible over long horizons because the IRR on a fund is only observable following the fund’s final distribution. We propose a new approach to evaluating performance using actual prices paid for limited partner shares of funds in secondary markets. We construct indices of buyout and venture capital performance using a proprietary database of secondary market prices between 2006 and 2017. These transaction-based indices exhibit significantly higher betas and volatilities, and lower alphas than NAV-based indices built from Preqin and obtained from Burgiss. There are a number of potential uses for these indices. In particular, they provide a way to track the returns of the buyout and ventur...

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