Abstract

Ennis and Rasmussen (2025a) analyze performance of private equity funds listed on the London Stock Exchange and find that listed private equity (LPE) “has underperformed the stock market in risk-adjusted terms” over the 17 year period since the global financial crisis (GFC). A newer version of their analysis (Ennis and Rasmussen, 2025b) finds similar results for a broader sample of European LPE over a 20-year horizon. We replicate the analysis in Ennis and Rasmussen (2025a) using best practices in academic empirical finance and document some meaningfully different results. Specifically, we find no statistically reliable evidence of risk-adjusted underperformance of LPE. We find that over the last 5, 10, 15, and 25 years, LPE has outperformed public markets on an unadjusted basis, sometimes by a substantial amount. We only observe substantial underperformance for starting years around the global financial crisis (when just two funds accounted for about 50% of the LPE value-weight index) and for the last three years of the sample period. We estimate CAPM βs that are rarely statistically different from 1.0 (and are close to those documented by another recent large-sample academic study). CAPM αs at various horizons are usually small (sometimes positive and sometimes negative) and none are statistically different from zero at conventional confidence levels. Factor regressions suggest that LPE has significant exposure to both the small stock factor (SMB) and value factor (HML). Correcting for these factor exposures sharpens estimates of α though most estimates remain statistically indistinguishable from zero. Finally, we document that adding a 10% allocation of LPE to a diversified portfolio of public stocks and bonds would have often increased (and never meaningfully decreased) the Sharpe Ratio of the portfolios over the last 10, 17 and 25 years. We offer our statistical code and dataset for others to examine.

Authors

Gregory W. Brown, UNC Kenan-Flagler Business School, Institute for Private Capital
William Volckmann, UNC Kenan-Flagler Business School, Institute for Private Capital