Private Portfolio Attribution Analysis

21 Pages Posted: 7 Jul 2020 Last revised: 20 Nov 2020

See all articles by Gregory W. Brown

Gregory W. Brown

University of North Carolina (UNC) at Chapel Hill - Finance Area

Frank Ethridge

University of North Carolina (UNC) at Chapel Hill - Finance Area

Tyler Johnson

StepStone Group

Thomas Keck

StepStone Group

Date Written: November 13, 2020

Abstract

There are many methods for conducting performance attribution with portfolios containing only liquid assets. Efforts to conduct similar types of attribution analyses for portfolios of private equity funds (and other illiquid investments) have been thwarted by a lack of periodic asset return data and a clear definition of what constitutes an appropriate market benchmark. We propose a method for decomposing private fund portfolio performance into effects from timing, strategy selection, geographic focus, sizing of fund allocation, and fund selection attributes. We test the method with a simulation study and derive approximate confidence intervals for assessing attribute selection skill using a large historical dataset of buyout and venture capital funds.

Keywords: Private Equity, Venture Capital, Attribution Analysis, Selection Skill

JEL Classification: G11

Suggested Citation

Brown, Gregory W. and Ethridge, Frank and Johnson, Tyler and Keck, Thomas, Private Portfolio Attribution Analysis (November 13, 2020). Available at SSRN: https://ssrn.com/abstract=3624399 or http://dx.doi.org/10.2139/ssrn.3624399

Gregory W. Brown (Contact Author)

University of North Carolina (UNC) at Chapel Hill - Finance Area ( email )

Kenan-Flagler Business School
Chapel Hill, NC 27599-3490
United States

Frank Ethridge

University of North Carolina (UNC) at Chapel Hill - Finance Area ( email )

Chapel Hill, NC
United States

Tyler Johnson

StepStone Group ( email )

4275 Executive Square, Suite 500
La Jolla, CA 92037
United States
92037 (Fax)

Thomas Keck

StepStone Group ( email )

4275 Executive Square, Suite 500
La Jolla, CA 92037
United States
8585589700 (Phone)

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

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