XTAL PE Benchmarks Performance Report - September 2021
An analysis of index returns across vintages applying the fully-diluted time-weighted DARC1 methodology (Duration Adjusted Return on Capital) to a proprietary dataset of North American and European buyout funds for the vintages 2013 through 2016 has shown positive performance throughout different measurement periods, with longer term returns exceeding performance readings of private equity-weighted balanced benchmarks.
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Reflections on the Nature of Risk-adjusted Returns in PE
The traditional definition of risk, associated with volatility in the traditional assets, does not easily apply to private equity. Any calculation of volatility figures should be based on time-weighted returns on the highest possible data frequency and number of observations.
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Insight into the Pattern of Private Equity Fund Returns
Variance-to-mean ratios for the vintages 1995 through 2007 show under-dispersion of the distribution of annualized log returns of U.S. buyout funds compared to the public market benchmark.
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