Private Debt Fund Returns, Persistence, and Market Conditions

被引：4

作者：

Boni, Pascal ^{[1
,2
,3
]}

Manigart, Sophie ^{[4
,5
,6
]}

机构：

[1] Tilburg Univ, Tilburg Sch Econ & Management, Finance & Private Debt, Practice, Tilburg, Netherlands

[2] Tilburg Univ, TIAS Sch Business & Soc, Finance, Tilburg, Netherlands

[3] Tilburg Inst Private Debt TiPD, Tilburg, Netherlands

[4] Corp Finance, Ghent, Belgium

[5] Vlerick Business Sch, Ghent, Belgium

[6] Univ Ghent, Ghent, Belgium

来源：

FINANCIAL ANALYSTS JOURNAL | 2022年 / 78卷 / 04期

关键词：

credit market conditions; market timing; performance; performance persistence; private; debt; private markets; return; skill; CROSS-SECTION; CASH FLOW; CREDIT; PERFORMANCE; LIQUIDITY; RISK; SPREAD; VOLATILITY; TIME; DETERMINANTS;

D O I：

10.1080/0015198X.2022.2092384

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper examines net-of-fees private debt fund performance, performance persistence across funds managed by the same general partner and a general partner's ability to time the market. We document that private debt funds outperform bond and equity market benchmarks in the cross-section, with high performance dispersion across strategies and performance quartiles. Lagged performance significantly affects current fund performance. While ex ante and ex post credit market conditions strongly affect fund performance, general partners can only partially time them.

引用

页码：121 / 144

页数：24

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