Listed vs. Unlisted Private Equity (First Version)

Abstract

This paper addresses the question whether the net asset value (NAV) return of listed private equity is similar to the NAV return of unlisted private equity funds. I use NAV indices from LPX and NAV data from Preqin. I find a high correlation between the NAV of listed and unlisted private equity.

A cointegration analysis shows that the NAV of listed and unlisted private equity are cointegrated. I also find that the NAV returns of unlisted private equity funds can be explained by the NAV returns of listed private equity. Volatility of LPX NAV indices is substantially lower than volatility of market price based total return (TR) indices.

Keywords: Private equity, listed private equity, alternative investments, listed alternatives, book to market ratio

JEL Classification: G11, G23, G24