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
收藏
页码：121 / 144
页数：24
相关论文
共 50 条
  • [41] Rational Cross-Sectional Differences in Market Efficiency: Evidence from Mutual Fund Returns
    Schultz, Paul
    JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 2010, 45 (04) : 847 - 881
  • [42] Why Invest in Private Equity? A Comparison of Private Equity and Stock Market Returns
    Marchel, Kevin
    Markarian, Garen
    JOURNAL OF ALTERNATIVE INVESTMENTS, 2019, 22 (01): : 20 - 36
  • [43] The impact of financial reporting quality on debt maturity: the case of private firms
    De Meyere, Michiel
    Vander Bauwhede, Heidi
    Van Cauwenberge, Philippe
    ACCOUNTING AND BUSINESS RESEARCH, 2018, 48 (07) : 759 - 781
  • [44] Hedge fund vs. non-hedge fund institutional demand and the book-to-market effect
    Caglayan, Mustafa Onur
    Celiker, Umut
    Sonaer, Gokhan
    JOURNAL OF BANKING & FINANCE, 2018, 92 : 51 - 66
  • [45] Hedge fund leverage with stochastic market conditions
    Zhao, Li
    Huang, Wenli
    Yang, Chen
    Li, Shenghong
    INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2018, 57 : 258 - 273
  • [46] What Drives Private Equity Returns? Fund Inflows, Skilled GPs, and/or Risk?
    Diller, Christian
    Kaserer, Christoph
    EUROPEAN FINANCIAL MANAGEMENT, 2009, 15 (03) : 643 - 675
  • [47] On hedge fund inceptions in a competitive market
    Ma, Tianyi
    Tee, Kai-Hong
    Li, Baibing
    EUROPEAN JOURNAL OF FINANCE, 2023, 29 (17): : 1975 - 2000
  • [48] Option-like properties in the distribution of hedge fund returns
    Denk, Katharina
    Djerroud, Ben
    Seco, Luis A.
    Shakourifar, Mohammad
    Zagst, Rudi
    FRONTIERS OF ENGINEERING MANAGEMENT, 2020, 7 (02) : 275 - 286
  • [49] The financial crisis and hedge fund returns
    Bollen, Nicolas P. B.
    REVIEW OF DERIVATIVES RESEARCH, 2011, 14 (02) : 117 - 135
  • [50] The Returns to Hedge Fund Activism in Germany
    Bessler, Wolfgang
    Drobetz, Wolfgang
    Holler, Julian
    EUROPEAN FINANCIAL MANAGEMENT, 2015, 21 (01) : 106 - 147
12345