PitchBook年四季度私人市场中阿尔法有多少？量化私人市场中技能型经理选择的预期阿尔法值

QUANT RESEARCHHow Much Alpha Is There in PrivateMarkets? Quantifying the expected alpha of skilledmanager selection in private markets Contents Key takeaways3 PitchBook Data, Inc. Nizar TarhuniExecutive Vice President of Researchand Market Intelligence Introduction4 Daniel Cook, CFAGlobal Head of Quantitative Research andMarket Intelligence Simulation framework6 Zane Carmean, CFA, CAIADirector of Quantitative Research Quantifying alpha opportunities8 Conclusion12 Institutional Research Group Analysis Andrew Akers, CFALead Quantitative Research Analystandrew.akers@pitchbook.com pbinstitutionalresearch@pitchbook.com Publishing Report designed byAdriana Hansen Published on October 7, 2025 Clickherefor PitchBook’s report methodologies. Key takeaways •We introduced a historical simulation approach withpaired sampling to quantify how much alpha could havebeen generated from private manager selection skillcompared with random selection in 60/40 portfolios witha 20% target allocation to PE buyout, VC, private debt, andreal estate. •The payoff for skilled manager selection was largestfor the PE buyout and VC strategies. It was smallestfor private debt. •These results provide LPs with a reasonable starting pointfor estimating the potential alpha available in privatemarkets, which should be weighed against realistic levelsof skill and the cost of achieving it. •We define manager selection skill by three hypotheticalscenarios—moderate-skill selection, high-skill selection,and underperformer avoidance—that determined theprobability of selecting funds by final performancequartile ranking. •Selection skill in a portfolio with a moderate 20%allocation to private markets would have added 20 to60 basis points to annualized total portfolio returns,on average, depending on the assumed skill scenarioand asset class. This implies 100 to 300 basis points ofannualized alpha within the private market portfolios. Introduction Unlike public markets, private markets lack representativeand investable passive indexes. If allocators want to includeprivate markets in their portfolios, they are forced to takean active approach to portfolio construction. Over the pastseveral decades, passive implementations have gainedsignificant market share across public asset classes at thesame time allocators have increased exposure broadly toprivate markets. Together, these trends have shifted activerisk budgets increasingly toward private markets. outperforming private managers is easier than picking publicones due to the persistence of outperformance from fund tofund within fund families. Ourresearch, however, suggestsperformance persistence is weak when considering the timingof selection decisions and that LPs should look beyond pastperformance when undertakingmanager duediligence. While the hypothesis that alpha opportunities in privatemarkets are attractive is compelling, empirical support forhow much of that value is available to LPs remains limited.The dispersion of IRRs, as shown in the accompanying chart,is often cited as evidence of the wide gap between strongand weak performing managers. However, there are twokey limitations to this data. First, IRRs differ from the time-weighted returns that investors ultimately care about. Inparticular, the reinvestment assumption baked into the IRRcalculation accentuates performance at both tails of thedistribution and artificially increases its variance. Second,long-term portfolio outcomes depend on multiple managerselection decisions, which IRR dispersion across individualfunds fails to capture. Although often a byproduct of more assets flowing into bothpassive public strategies and private markets rather than adeliberate choice, investors have justified this shift by pointingto wider performance dispersion across private market fundscompared with their public counterparts. This dispersionprimarily stems from the absence of a common benchmark,which in public markets provides the same starting pointfor all managers and may limit the investable universe forsome strategies. The logic then follows that skilled managerselection in private markets should have a higher payoff thanin public markets. Some investors also believe that picking In arecently published note, we used historical simulationsto assess the impact of adding a 20% allocation to differentprivate market asset classes. Closed-end private market fundswere randomly selected for each year to capture hypotheticalLP portfolio outcomes. The average difference in performancebetween these simulated portfolios and a policy benchmarkthat remained invested in public markets represents a proxyfor passive private market exposure. The key finding wasthat adding private market exposure to a portfolio is not afoolproof way to increase performance, as shown in Figure 2. Here, we shift focus to alpha, modeling hypothetical scenariosof manager selection skill rather than random fund selection.This framework allows us to isolate an