How Alternative are Private Markets?

50 Pages Posted: 1 Oct 2019

See all articles by William N. Goetzmann

William N. Goetzmann

Yale School of Management - International Center for Finance; National Bureau of Economic Research (NBER)

Elise Gourier

ESSEC Business School

Ludovic Phalippou

University of Oxford - Said Business School

Date Written: June 1, 2018

Abstract

We estimate a parsimonious set of factor portfolios out of a comprehensive panel of private market funds. We test whether these private market factors are spanned by commonly used public equity factors, and whether they are priced in the cross-section of private market funds. Four main private market factors explain returns in the cross-section; one of them, dominated by large leveraged buyout funds, generated a signi cant positive premium. Together with the second factor dominated by venture capital funds, it improved an investor Sharpe ratio over the past thirty years. The benefits of investing in factors related to real assets and private debt funds have been smaller but increasing over time.

Keywords: Private Equity, Factor Investing, Portfolio Optimization

JEL Classification: G2, G11

Suggested Citation

Goetzmann, William N. and Gourier, Elise and Phalippou, Ludovic, How Alternative are Private Markets? (June 1, 2018). Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC. Available at SSRN: https://ssrn.com/abstract=3227020 or http://dx.doi.org/10.2139/ssrn.3227020

William N. Goetzmann (Contact Author)

Yale School of Management - International Center for Finance ( email )

165 Whitney Ave.
P.O. Box 208200
New Haven, CT 06520-8200
United States
203-432-5950 (Phone)
203-436-9252 (Fax)

HOME PAGE: http://viking.som.yale.edu

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Elise Gourier

ESSEC Business School ( email )

3 avenue Bernard Hirsch
Cergy-Pontoise, 95021
France

HOME PAGE: http://www.elisegourier.com

Ludovic Phalippou

University of Oxford - Said Business School ( email )

Park End Street
Oxford, OX1 1HP
Great Britain

Register to save articles to
your library

Register

Paper statistics

Downloads
63
Abstract Views
276
rank
364,268
PlumX Metrics