Private Debt Fund Returns, Persistence, and Market Conditions

Financial Analysts Journal, 78(4), p. 121-144

54 Pages Posted: 8 Oct 2021 Last revised: 17 Feb 2023

See all articles by Pascal Böni

Pascal Böni

Tilburg University; Tilburg School of Economics and Management

Sophie Manigart

Vlerick Business School; Ghent University

Date Written: June 28, 2022

Abstract

This paper examines net-of-fees private debt fund performance, performance persistence across funds managed by the same general partner and a general partner’s ability to time the market. We document that private debt funds outperform bond and equity market benchmarks in the cross-section, with high performance dispersion across strategies and performance quartiles. Lagged performance significantly affects current fund performance. While ex ante and ex post credit market conditions strongly affect fund performance, general partners can only partially time them.

Keywords: Private markets, private debt, private debt fund, performance, persistence, general partner, GP, skill

JEL Classification: G10, G11, G12, G15, G23, G24

Suggested Citation

Böni, Pascal and Manigart, Sophie, Private Debt Fund Returns, Persistence, and Market Conditions (June 28, 2022). Financial Analysts Journal, 78(4), p. 121-144, Available at SSRN: https://ssrn.com/abstract=3932484 or http://dx.doi.org/10.2139/ssrn.3932484

Pascal Böni (Contact Author)

Tilburg University ( email )

Warandelaan 2
TIAS Building
Tilburg, Noord-Brabant 5037 AB
Netherlands
+41793582813 (Phone)
5000 (Fax)

HOME PAGE: http://www.tilburguniversity.edu

Tilburg School of Economics and Management ( email )

Tilburg, 5000 LE
Netherlands

Sophie Manigart

Vlerick Business School ( email )

Reep 1
Ghent, BE-9000
Belgium

Ghent University ( email )

Sint-Pietersplein 7
Gent, 9000
Belgium

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