2023-07-04-PitchBook-2022年四季度私人资本指数_24页_4mb

Quarterly Performance Q4 2022: Across asset classes, returns were mixed. PE, Real Assets, Real Estate, and Private Debt performed well, while Venture Capital and VC Fund of Funds underperformed. Secondaries and Funds of Funds showed modest gains.

Five-Year and Annualized Returns: Most private capital strategies delivered strong returns (14.8%–23.8% annually), with volatility increasing due to recent market downturns. Real Assets and Private Equity continued to report high 5-year growth (PE: 19.9%, Real Assets: 9.0%).

Risk Adjustment: Reports highlighted that raw data often understate volatility, leading to adjustments using autocorrelation models. Strategies with higher return smoothing risk (e.g., venture capital) present challenges in evaluating true risk–reward.

Allocation and Diversification: Private capital generally offers low correlation to public markets (e.g., negative correlation with S&P 500 and high volatility). Asset allocation helps mitigate public market risk, with North America dominating (76% of total NAV).

Conclusion: Defined as pseudo time-weighted returns based on tracked NAV and cash flows, private capital offers higher potential returns coupled with increased volatility. Properly adjusted data helps prioritize risk awareness, especially during economic downturns.