How Alternative are Private Markets?

How Alternative are Private Markets?


Finance Seminar by Ludovic Phalippou, University of Oxford (Saïd Business School)

April 2019,  Friday 26 (10:30 am) - BN1-1701

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We introduce a new statistical methodology to form portfolios of private market funds with similar risk-return profiles, which we interpret as private factors. We find that two private factors are priced. The first priced factor, dominated by European Buyout funds, is well spanned by commonly used public equity factors. The second priced factor is dominated by valueadd real estate and mezzanine funds, is unspanned by public equity factors. A non-priced factor, dominated by natural resources funds, provides significant diversification benefits and an inflation hedge despite being well spanned by public equity factors.

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