I need to calculate the weighted median, average, sd of PE funds' returns. I weighted the sample according to the amount of committed capital of a fund, but I should consider negative products to analyse underperforming funds. However, I'm not sure if I can use neg/zero values to derivate these statistic measures.

Wμ = Σ(w,x)/Σw (w,x) = Neg & Pos values.

How can i calculate those measures?

My standpoint is the Kaplan and Schoar's approach (Private Equity Performance: Returns, Persistence, and Capital Flows)

Any help on this matter is really appreciated!

  • $\begingroup$ PE funds have a life time of 10+ years with a substantial amount of capital invested in later stages. IRR on invested capital, not on LP commitments, would be a better metric. I would also use net of fees returns, for better comparison. $\endgroup$ Mar 23, 2021 at 19:12
  • 1
    $\begingroup$ Indeed, however the data set only provides LP commitments. The fund's returns are in terms of Net IRR. Thanks for the advise! $\endgroup$ Mar 23, 2021 at 19:24


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