Can Investors Time Their Exposure to Private Equity?

NBER Working Paper No. 26755

Issued in February 2020

NBER Program(s):Corporate Finance



Private equity performance, both for buyouts and venture capital, has been highly cyclical: periods of high fundraising have been followed by periods of low performance. Despite this seemingly predictable variation, we find modest gains, at best, to pursuing realistic, investable strategies that time capital commitments to private equity. This occurs, in part, because investors can only time their commitments to funds; they cannot time when commitments are called or when investments are exited. There is a high degree of time-series correlation in net cash flows even across commitment strategies that allocate capital in a very different manner over time.

Acknowledgments and Disclosures

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Document Object Identifier (DOI): 10.3386/w26755

Published: Gregory Brown & Robert Harris & Wendy Hu & Tim Jenkinson & Steve Kaplan & David T. Robinson, 2020. "Can investors time their exposure to private equity?∗," Journal of Financial Economics, .