Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • PA Reports
  • Submit an article
  • More
    • About JAI
    • Editorial Board
    • Published Ahead of Print (PAP)
    • CAIA Member Login
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • LinkedIn
  • Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Alternative Investments
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Alternative Investments

The Journal of Alternative Investments

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • PA Reports
  • Submit an article
  • More
    • About JAI
    • Editorial Board
    • Published Ahead of Print (PAP)
    • CAIA Member Login
  • LinkedIn
  • Twitter

Private Portfolio Attribution Analysis

Gregory Brown, Frank Ethridge, Tyler Johnson and Tom Keck
The Journal of Alternative Investments Fall 2021, 24 (2) 31-48; DOI: https://doi.org/10.3905/jai.2021.1.137
Gregory Brown
is Sarah Graham Kenan Distinguished Professor of Finance and Research Director of the Institute for Private Capital in the Kenan-Flagler Business School at UNC Chapel Hill in Chapel Hill, NC
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Frank Ethridge
is a senior research associate with the Institute for Private Capital and an adjunct professor in the Kenan-Flagler Business School at UNC Chapel Hill in Chapel Hill, NC
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Tyler Johnson
is a managing director at StepStone Group in La Jolla, CA
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Tom Keck
is a partner at the StepStone Group in La Jolla, CA
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Click to login and read the full article.

Don’t have access? Click here to request a demo 

Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600

Abstract

There are many methods for conducting performance attribution with portfolios containing only liquid assets. A lack of periodic asset return data and a clear definition of what constitutes an appropriate market benchmark thwarts efforts to perform similar types of attribution analyses for portfolios of private equity funds (and other illiquid investments). In this article, the authors 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. They 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.

Key Findings

  • ▪ The method provided for evaluating the value created from decisions about the timing, size, geography, and asset class of private fund commitments in this article also provides a residual component. Analysts and investors can interpret this component as value-added by fund selection.

  • ▪ The method provides intuitive estimates in terms of contributions to return multiples (MOICs) and IRRs.

  • ▪ The authors conduct a simulation study using a large sample of private equity buyout and venture capital funds to estimate approximate confidence intervals for each allocation characteristic. Practitioners can use these intervals to statistically separate skill from luck.

  • © 2021 Pageant Media Ltd
View Full Text

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Alternative Investments: 24 (2)
The Journal of Alternative Investments
Vol. 24, Issue 2
Fall 2021
  • Table of Contents
  • Index by author
  • Complete Issue (PDF)
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Alternative Investments.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Private Portfolio Attribution Analysis
(Your Name) has sent you a message from The Journal of Alternative Investments
(Your Name) thought you would like to see the The Journal of Alternative Investments web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Private Portfolio Attribution Analysis
Gregory Brown, Frank Ethridge, Tyler Johnson, Tom Keck
The Journal of Alternative Investments Sep 2021, 24 (2) 31-48; DOI: 10.3905/jai.2021.1.137

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Private Portfolio Attribution Analysis
Gregory Brown, Frank Ethridge, Tyler Johnson, Tom Keck
The Journal of Alternative Investments Sep 2021, 24 (2) 31-48; DOI: 10.3905/jai.2021.1.137
del.icio.us logo Digg logo Reddit logo Twitter logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • RETURN ATTRIBUTION
    • THE SETUP
    • TIMING ALPHA
    • STRATEGY AND GEOGRAPHY SELECTION
    • COMMITMENT SIZING
    • SELECTION AND RESIDUAL FACTORS
    • SIMULATION EXPERIMENT
    • BASE CASE: RANDOM SAMPLING
    • BASE CASE: CONVERGENCE TEST
    • SAMPLING SPECIFIC CLASSES OF FUNDS IN EACH PORTFOLIO
    • BOOTSTRAPPED CONFIDENCE LEVELS
    • ALL FUNDS
    • BUYOUT FUNDS ONLY
    • VENTURE CAPITAL FUNDS ONLY
    • CONCLUSIONS
    • ACKNOWLEDGMENTS
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF

Similar Articles

Cited By...

  • No citing articles found.
  • Google Scholar
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 13 1600
 
NEW YORK
41 Madison Avenue, 20th Floor, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • LinkedIn
  • Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log In
  • Update your profile
  • Give us your feedback

© 2022 Pageant Media Ltd | All Rights Reserved | ISSN: 1520-3255 | E-ISSN: 2168-8435

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies