Riders in the Storm: How Volatility Events Affect Private Asset Class Performance

Abstract

In an earlier study we examined the performance of public asset classes before, during and after equity market volatility events. We now expand this study to include three types of private assets (US buyout, US mezzanine, and US real estate funds). Public equity and credit assets experienced poor performance during spike events relative to their private asset peers. However, public assets responded quickly after the event and performed better in the post-spike period than in the pre-spike period. In contrast, private assets rode out the volatility storm relatively well compared to related public assets. However, private assets “paid” for this relative performance gain during the volatility event with relatively weaker post-spike performance compared to their pre-spike performance. Overall, our expanded findings continue to support investors who intend to “stay the course” following a volatility event (i.e., do not de-risk)