Wendy Hu, Ph.D.

Lead Academic Researcher, MSCI

Wendy Hu is responsible for PERC-governed academic research using Burgiss data in the area of Private Capital. She joined PERC and Burgiss in 2013. Prior to this, she was a senior quantitative researcher at Permal Asset Management, where she carried out research of fund of funds performance and risk management. Prior to Permal, she was a co-portfolio manager at Zebra Capital Management. She received her Ph.D. in finance from the University of Florida in 2007 and her MA in finance from Beijing University.

Related Publications

The Private Capital Alpha

The alpha of an investment reflects its ability to increase the Sharpe ratio of a benchmark portfolio allocation based on tradable factors. We argue that, in the context of private capital, the usual approach to estimate alpha is misleading because it ignores the economic realities of investing in private markets.
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The Performance of Small Business Investment Companies

We utilize results of a survey of Small Business Investment Companies (SBICs), along with data from MSCI-Burgiss, to perform a novel analysis of SBIC performance. Overall, we find via the survey that SBIC funds outperform comparable non-SBIC peers by an average of around 4%...

Performance Analysis and Attribution with Alternative Investments

This white paper provides a summary of existing methods and current research on performance analysis and attribution for complex portfolios that include investments such as hedge funds and private investment funds. We summarize the main challenges of analyzing portfolios with illiquid assets and provide updated analysis for several important asset classes.
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Private Investments in Diversified Portfolios

We study the impact of including private investment funds into diversified portfolios that otherwise hold only public stocks and bonds. Our analysis uses a large sample of 3,380 U.S. buyout, venture capital, and real estate funds to simulate portfolios from 1987 to 2018 that substitute part of the public equity allocation with private funds.
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The Evolution of Private Equity Fund Value

This paper provides the first large-sample analysis of buyout and venture capital fund values over their lifetimes. Specifically, we examine interim fund investment multiples (TVPIs), internal rates of return (IRRs), and direct-alphas based on the current reported net asset values (NAVs) at each quarter of a fund’s life.
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Related News

New Analysis Finds SBICs Outperform Peers

In a new IPC study "The Performance of Small Business Investment Companies", we find that Small Business Investment Companies (SBICs) funds perform quite well relative to non-SBIC peers in IRR, MOIC, and PME, yielding both positive average and median peer-adjusted performance.