This article reviews empirical methods to assess risk and return in private equity. I discuss data and econometric issues for fund-level, deal-level, and publicly traded partnerships data. Risk-adjusted return estimates vary substantially by method, time period, and data source. The weight of evidence suggests that, relative to a similarly risky investment in the stock market, the average venture capital (VC) fund earned positive risk-adjusted returns before the turn of the millennium, but net-of-fee returns have been zero or even negative since. Average leveraged buyout (BO) investments have generally earned positive risk-adjusted returns both before and after fees, compared with a levered stock portfolio. Based on an expanded set of risk factors from the literature, VC resembles a small-growth investment, while BO loads mostly on value. I also discuss the empirical evidence on liquidity and idiosyncratic volatility risks.

中文翻译：

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私募股权收益的风险调整

本文回顾了评估私募股权风险和回报的实证方法。我讨论了基金层面、交易层面和公开交易的合作伙伴数据的数据和计量经济学问题。风险调整后的回报估计因方法、时间段和数据源而有很大差异。证据的重要性表明，相对于股票市场的类似风险投资，风险投资 (VC) 基金在世纪之交之前获得了经风险调整后的正回报，但扣除费用后的回报为零或甚至是负面的。与杠杆股票投资组合相比，平均杠杆收购 (BO) 投资通常在收费前后均获得正的风险调整回报。根据文献中扩展的一组风险因素，风险投资类似于一项小幅增长的投资，而 BO 主要加载价值。