Private Equity Benchmarks and Portfolio Optimization
35 Pages Posted: 5 Oct 2010
Date Written: October 4, 2010
Portfolio optimization with private equity is based on one of three different indices: listed private equity indices, transaction-based private equity indices, and appraisal value based private equity indices. We show that none of these indices are appropriate for portfolio optimization. We introduce a new benchmark index for buyouts and venture capital. Our benchmark is updated monthly, adjusted for autocorrelation (de-smoothing) and available contemporaneously. We show our benchmark enables superior quantitative portfolio optimization.
Keywords: Benchmark, Risk Modeling, Private Equity, Venture Capital
JEL Classification: G24
Suggested Citation: Suggested Citation