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Journal of Asset Management

, Volume 20, Issue 6, pp 421–432 | Cite as

Revisiting private equity performance computation for multi-asset investors

  • Edouard NouvellonEmail author
  • Hugues Pirotte
Original Article

Abstract

Private equity has increasingly been used in portfolio for all types of investors as family offices or ultra-high net worth individuals. Financial literature proposes different ways to compute private equity performances with results that can question the promised over-performance on public equities. The investment process in private equity funds with the system of committed capital and called capital can have a huge impact of the private equity performance in the whole portfolio and in multi-assets framework. This paper proposes an empirical study that integrates the J-curve effect on the private equity part of a portfolio and its scaling effect with the low-rate environment.

Keywords

Private equity performance Opportunity cost of investment General partner Limited partner Multi-asset investors J-curve Capital calls Deposit rate IRR Multiple on invested capital 

JEL Classification

G11 

Notes

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Copyright information

© Springer Nature Limited 2019

Authors and Affiliations

  1. 1.Centre Emile Bernheim, Solvay Brussels School of Economics and ManagementUniversité Libre de BruxellesBrusselsBelgium

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