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1、WhatDrivesPrivateEquityFundPerformance?LudovicPhalippouandMaurizioZolloNovember2005AbstractUsinganovelandcomprehensivedatabaseonbothUSandEUprivateequityfundsandtheirunderlyinginvestments,westudythedriversofprivateequityfundperformance.First,westudywhethertheirhedgin
2、gpropertiesareattractiveenoughtojustifytheirlowperformance.Wedocumentthatfundperformanceco-variespositivelywithbothbusinesscyclesandstock-marketcycles,anunattractiveproperty.Wealsofindthatprivateequityfunds–likehedgefunds-areexposedtotailrisk.Second,wedonotfindevide
3、ncethatidiosyncraticriskispricedanddocumentthatlowperformanceisconcentratedinsmallandinexperiencedfunds.JEL:G23,G24Keywords:Privateequityfunds,HedgingpropertiesPleaseaddressallcorrespondenceto:LudovicPhalippou,UniversityofAmsterdam,FacultyofEconomicsandEconometrics,
4、Financegroup,11Roerterstraat,1018Amsterdam,TheNetherlands.Tel:+31205254153,Email:l.phalippou“at”uva.nlMaurizioZolloisaffiliatedtoINSEAD.FinancialsupportfromtheR&DDepartmentatINSEAD,theWharton-INSEADAlliancearegratefullyacknowledged.TheauthorswouldliketothankJesseRey
5、esandThomsonVentureEconomicsformakingthisprojectpossiblethroughgenerousaccesstotheirdatabases.WealsothankBernardDumas,AlexanderGroh,RobertKosowski,EricNowak,AndrewMetrick,DimaLeshchinskii,OliverGottschalg,AnnaScherbinaandLinTse-Chunfortheirconstructivecomments.Abstr
6、actUsinganovelandcomprehensivedatabaseonbothUSandEUprivateequityfundsandtheirunderlyinginvestments,westudythedriversofprivateequityfundperformance.First,westudywhethertheirhedgingpropertiesareattractiveenoughtojustifytheirlowperformance.Wedocumentthatfundperformance
7、co-variespositivelywithbothbusinesscyclesandstock-marketcycles,anunattractiveproperty.Wealsofindthatprivateequityfunds–likehedgefunds-areexposedtotailrisk.Second,wedonotfindevidencethatidiosyncraticriskispricedanddocumentthatlowperformanceisconcentratedinsmallandine
8、xperiencedfunds.1Theactivitiesofprivateequityfundshaverecentlyreceivedconsiderableattentiondue,primarily,totwofactors.First,theamountofcap
