RT Journal Article
SR Electronic
T1 Public and Private Equity Returns: Different or Same?
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 117
OP 127
DO 10.3905/jpm.2021.1.323
VO 48
IS 3
A1 Rudin, Alexander
A1 Farley, Daniel
YR 2022
UL http://jpm.pm-research.com/content/48/3/117.abstract
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.