Abstract
In <b><i>Private Portfolio Attribution Analysis</i></b>, published in the Fall 2021 issue of <b><i>The Journal of Alternative Investments</i></b>, <b>Gregory Brown</b> and <b>Frank Ethridge</b> at the <b>University of North Carolina at Chapel Hill</b> and <b>Tyler Johnson</b> and <b>Tom Keck</b> at <b>Stepstone Group</b> address the challenges of applying portfolio performance attribution techniques to private funds. One such challenge is that private equity funds have no periodically reported returns. The authors provide a method for attributing private portfolio performance to commitment timing and sizing, geography and strategy selection, and fund selection skills. They are measured relative to a market benchmark and can be interpreted as alphas. The authors also calculate and illustrate reasonable confidence intervals for these attributes with venture capital and buyout cash flow data. The factors explain how managers’ strategic and tactical allocation decisions impact performance and inform future decision making.
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