Excess Returns of Listed Private Equity

Sammanfattning: We investigate the performance of listed private equity (LPE) on a sample of 17 LPE entities that are listed equivalents of traditional buyout funds over the period 2007 to 2014. We find an average risk-adjusted underperformance or negative "alpha" of 2.4% per year relative to small cap indices, and document a wide dispersion in returns. The results hold also for post-crisis performance. In controlling for systematic risk, we lever the benchmark indices to replicate the operating and leverage risk of LPE entities. Our estimation of gross-of-fees performance suggests that the average LPE entity adds value in investments. Our findings correspond to those of recent literature on performance of non-listed funds.