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Private debt fund returns, persistence, and market conditions
Böni, Pascal Manigart, Sophie
Böni, Pascal
Manigart, Sophie
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Publication Type
Journal article with impact factor
Editor
Supervisor
Publication Year
2022
Journal
Financial Analysts Journal
Book
Publication Volume
78
Publication Issue
4
Publication Begin page
121
Publication End page
144
Publication Number of pages
Collections
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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Keywords
Credit Market Conditions, Market Timing, Performance, Performance Persistence, Private Debt, Private Markets, Return, Skill