The alpha, beta, and consistency of private equity reported returns

Frank Jian Fan, Grant Fleming, Geoffrey J. Warren

Research output: Contribution to journalArticlepeer-review

6 Citations (Scopus)


The reported returns of U.S. private equity funds are benchmarked against passive exposures from public equity markets. Over the full sample period, private equity returns display three factors: market beta of less than one, small transaction size and growth, and a four-quarter lag behind public markets. Buyout funds delivered alpha of about 5.5% per annum; venture capital performed poorly. Closer examination reveals that these estimates are inconsistent over time, cautioning against extrapolation from historical averages.

Original languageEnglish
Pages (from-to)21-30
Number of pages10
JournalJournal of Private Equity
Issue number4
Publication statusPublished - 2013
Externally publishedYes

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