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

Frank Jian Fan, Grant Fleming, Geoffrey J. Warren

Research output: Contribution to journalArticlepeer-review

10 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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