Can investors time their exposure to private equity? |
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| Authors: | Gregory Brown Robert Harris Wendy Hu Tim Jenkinson Steven N Kaplan David T Robinson |
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| Institution: | 1. Kenan-Flagler Business School, UNC Chapel Hill, United States;2. Darden Business School, University of Virginia, United States;3. Burgiss, United States;4. Saïd Business School, University of Oxford, United Kingdom;5. Booth School of Business, University Chicago and NBER, United States;6. Fuqua School of Business, Duke University and NBER, United States;1. Harvard Business School, United States;2. Princeton University, United States;1. Erasmus Scchool of Economics - Burgemeester Oudlaan 50, Erasmus University Rotterdam, Rotterdam PA 3062, the Netherlands;2. Tilburg University - Warandelaan 2, Tilburg AB 5037, the Netherlands;1. Oslo Metropolitan University, Oslo Business School, Pilestredet 46, Oslo 0130, Norway;2. The Arctic University of Norway, Hansine Hansens veg 18, Tromsø N-9019, Norway;3. Department of Banking and Finance, Monash University, 900 Dandenong Rd., Caulfield East VIC 3145, Australia;1. Department of Finance, Southern University of Science and Technology, 1088 Xueyuan Blvd., Shenzhen, Guangdong 518055, China;2. Department of Finance and Economics, Rutgers Business School, Rutgers University, 100 Rockafeller Road, Piscataway, NJ 08854, United States;3. Department of Finance, DePaul University, 1 E. Jackson Blvd., Suite 5500, Chicago, IL 60604, United States;1. Lundquist College of Business, University of Oregon, Eugene, OR 97403, United States;2. Department of Business & Information Technology, Missouri S&T, Rolla, MO 65409, United States;1. Geneva Finance Research Institute, University of Geneva and SFI, Uni Mail, Bd du Pont-d’Arve 42, Geneva 4 1211, Switzerland;2. Bocconi University, Via Roberto Sarfatti, 25, 20136 Milan, Italy;3. CEPR and ECGI, Italy;4. Booth School of Business, University of Chicago, Chicago, IL, United States;5. NBER, United States |
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| Abstract: | Private equity performance, both for buyouts and venture capital, has been highly cyclical: periods of high fundraising have been followed by periods of low performance. Despite this seemingly predictable variation, we find modest gains, at best, to pursuing realistic, investable strategies that time capital commitments to private equity. This occurs, in part, because investors can only time their commitments to funds; they cannot time when commitments are called or when investments are exited. There is a high degree of time-series correlation in net cash flows even across commitment strategies that allocate capital in a very different manner over time. |
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