Private Debt Fund Returns, Persistence, and Market Conditions

IF 3.4 3区经济学 Q1 BUSINESS, FINANCE Financial Analysts Journal Pub Date : 2022-08-18 DOI:10.1080/0015198X.2022.2092384

Pascal Böni, S. Manigart

引用次数: 1

Abstract

Abstract 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.

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私人债务基金回报、持续性和市场状况

摘要本文考察了私募债务基金的净费用绩效、由同一普通合伙人管理的基金的绩效持续性以及普通合伙人对市场的把握能力。我们证明，私募债务基金在横截面上的表现优于债券和股票市场基准，在策略和业绩四分位数之间具有很高的业绩分散。滞后表现显著影响当前基金的表现。尽管事前和事后信贷市场状况强烈影响基金业绩，但普通合伙人只能部分地把握它们的时间。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Financial Analysts Journal BUSINESS, FINANCE-

CiteScore

5.40

自引率

7.10%

发文量

期刊介绍： The Financial Analysts Journal aims to be the leading practitioner journal in the investment management community by advancing the knowledge and understanding of the practice of investment management through the publication of rigorous, peer-reviewed, practitioner-relevant research from leading academics and practitioners.

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