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The Components of Private Equity Performance: Implications for Portfolio Choice

By William Kinlaw, Mark Kritzman, Jason Mao, State Street Associates

Apr 6, 2019

By Will Kinlaw, Mark Kritzman, and Jason Mao

Published in the Journal of Alternative Investments, Fall 2015

We use a proprietary database of private equity returns to measure the excess return of private equity over public equity and to partition this return into two components: an asset class alpha and compensation for illiquidity.

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1.Peter L. Bernstein Award for Best Article in an Institutional Investor Journal in 2013; Doriot Award for Best Private Equity Research Paper in 2022; Bernstein-Fabozzi/Jacobs-Levy Award for Outstanding Article in the Journal of Portfolio Management in 2006, 2009, 2011, 2013 (2), 2014, 2015, 2016, 2021; Roger F. Murray First Prize for Research Presented at the Q Group Conference in 2012 and 2021; Graham & Dodd Scroll Award for article in the Financial Analysts Journal in 2002 and 2010.