Nowcasting Net Asset Values: The Case of Private Equity
Review of Financial Studies, Forthcoming
82 Pages Posted: 14 Jan 2020 Last revised: 22 Jul 2022
Date Written: April 16, 2022
We estimate unsmoothed private equity Net Asset Values (NAVs) at the weekly frequency for individual funds. Using simulations and large samples of buyout and venture funds, we show that our method yields superior estimates of NAVs relative to simple approaches based on extrapolation of reported NAVs. The market beta of an average buyout [venture] fund is around 1.0 [1.4], and the total risk is 33% [40%] per year. The risk-return profile of the funds varies significantly over time and across funds. Risk-taking and reporting quality appear to persist by manager.
Keywords: Private Equity, Venture Capital, Leveraged Buyouts, Institutional Investors, State Space Models, Nowcasting, Risk Management
JEL Classification: C3, C4, G11, G17, G23, G24, G30
Suggested Citation: Suggested Citation