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
Date Written: June 28, 2022
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: Suggested Citation