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The “Missing Link” in Benchmarking Private Equity ...

The Journal of performance MeasurementWinter 2017/2018-8-The Missing Link in Benchmarking Private Equity performance and a New Twist on Alpha Over the past twenty plus years, various quantitative methodologies have been developed to facilitate comparisonsbetween Private Equity fund internal rates of return (PEF IRR), and public market benchmark time-weighted ratesof return (TWR). Long and Nickels (1996) got the Private Equity Benchmarking ball rolling when they introducedthe Index Comparison Method, later renamed Public Market Equivalents (LN-PME). This method invests the pri-vate Equity fund s investor cash flows in the public market benchmark to calculate a public market equivalent IRR(PME IRR). The over or underperformance (IRR spread) is the PEF IRR minus the PME IRR. Unfortunately, po-tential disparities in Private and public market performance present challenges for the LN-PME method. Sincethen, there have been proposed methods to correct for the Private and public market performance differences;however, they use heuristic approaches and have additional mathematical difficulties.

The Journal of Performance Measurement -8- Winter 2017/2018 The “Missing Link” in Benchmarking Private Equity Performance and a New Twist on “Alpha”

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