PT  - JOURNAL ARTICLE
AU  - Alexander Rudin
AU  - Daniel Farley
TI  - Public and Private Equity Returns: Different or Same?
AID  - 10.3905/jpm.2021.1.323
DP  - 2021 Dec 24
TA  - The Journal of Portfolio Management
PG  - jpm.2021.1.323
4099  - https://pm-research.com/content/early/2021/12/24/jpm.2021.1.323.short
4100  - https://pm-research.com/content/early/2021/12/24/jpm.2021.1.323.full
AB  - In this article, the authors propose a novel, Shiller-inspired, regression-style model that links observed private and public equity returns. The model illuminates why, over the short term, private returns are superior to public ones, whereas over the long term, public and private returns are largely interchangeable after proper adjustments are made, resolving a long-standing conundrum. Results are interpreted qualitatively and further supported by the analysis of volatility and correlation term structures for both private and public equity assets. Finally, the authors make suggestions on how to incorporate findings into comparative analysis of private equity funds and, more generally, into multi-asset portfolio constructions.