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Private debt fund returns, persistence and market conditions

Pascal Böni and Sophie Manigart (UGent)
(2022) FINANCIAL ANALYSTS JOURNAL. 78(4). p.121-144
Author
Organization
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.
Keywords
private markets, private debt, performance, return, performance persistence, credit market conditions, market timing, skill, private, debt, CROSS-SECTION, CASH FLOW, CREDIT, PERFORMANCE, LIQUIDITY, RISK, SPREAD, VOLATILITY, TIME, DETERMINANTS

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Citation

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MLA
Böni, Pascal, and Sophie Manigart. “Private Debt Fund Returns, Persistence and Market Conditions.” FINANCIAL ANALYSTS JOURNAL, vol. 78, no. 4, 2022, pp. 121–44, doi:10.1080/0015198X.2022.2092384.
APA
Böni, P., & Manigart, S. (2022). Private debt fund returns, persistence and market conditions. FINANCIAL ANALYSTS JOURNAL, 78(4), 121–144. https://doi.org/10.1080/0015198X.2022.2092384
Chicago author-date
Böni, Pascal, and Sophie Manigart. 2022. “Private Debt Fund Returns, Persistence and Market Conditions.” FINANCIAL ANALYSTS JOURNAL 78 (4): 121–44. https://doi.org/10.1080/0015198X.2022.2092384.
Chicago author-date (all authors)
Böni, Pascal, and Sophie Manigart. 2022. “Private Debt Fund Returns, Persistence and Market Conditions.” FINANCIAL ANALYSTS JOURNAL 78 (4): 121–144. doi:10.1080/0015198X.2022.2092384.
Vancouver
1.
Böni P, Manigart S. Private debt fund returns, persistence and market conditions. FINANCIAL ANALYSTS JOURNAL. 2022;78(4):121–44.
IEEE
[1]
P. Böni and S. Manigart, “Private debt fund returns, persistence and market conditions,” FINANCIAL ANALYSTS JOURNAL, vol. 78, no. 4, pp. 121–144, 2022.
@article{8757209,
  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.}},
  author       = {{Böni, Pascal and Manigart, Sophie}},
  issn         = {{0015-198X}},
  journal      = {{FINANCIAL ANALYSTS JOURNAL}},
  keywords     = {{private markets,private debt,performance,return,performance persistence,credit market conditions,market timing,skill,private,debt,CROSS-SECTION,CASH FLOW,CREDIT,PERFORMANCE,LIQUIDITY,RISK,SPREAD,VOLATILITY,TIME,DETERMINANTS}},
  language     = {{eng}},
  number       = {{4}},
  pages        = {{121--144}},
  title        = {{Private debt fund returns, persistence and market conditions}},
  url          = {{http://doi.org/10.1080/0015198X.2022.2092384}},
  volume       = {{78}},
  year         = {{2022}},
}
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