September 1, 2015
Journal Articles
Complimentary CONTENT
The Components of Private Equity Performance: Implications for Portfolio Choice
By: William Kinlaw, Mark Kritzman, Jason Mao, State Street Associates
September 1, 2015
By: William Kinlaw, Mark Kritzman, Jason Mao, State Street Associates
By Will Kinlaw, Mark Kritzman, and Jason Mao.
Published in the Journal of Alternative Investments, Fall 2015.
We use a proprietary database of private equity returns to measure the excess return of private equity over public equity and to partition this return into two components: an asset class alpha and compensation for illiquidity.
Author Bios
William Kinlaw
William (Will) Kinlaw is executive vice president and head of Data Intelligence at State Street. Will leads a firm-wide initiative that empowers clients to distill actionable insights from proprietary and third-party datasets. Drawing on State Street’s technology and data infrastructure, as well as State Street Associates — our hub for partnerships with academics and fintech data companies — the team develops products that enhance clients’ investment, trading, operations and distribution capabilities.
Mark Kritzman
Mark is a founding partner of State Street Associates and senior lecturer at the MIT Sloan School of Management. As the author of seven books and more than 100 research articles, Mark has pioneered new approaches to asset allocation, investment strategy, and predictive analytics. He received the James R. Vertin award from the CFA Institute recognizing the relevance and value of his research to the investment profession. Mark’s contributions provide State Street clients with novel practical methods to improve the effectiveness of predictions and investment processes.
Jason Mao
State Street Associates
1. Peter L. Bernstein Award for Best Article in an Institutional Investor Journal in 2013; Bernstein-Fabozzi/Jacobs-Levy Award for Outstanding Article in the Journal of Portfolio Management in 2006, 2009, 2011, 2013 (2), 2014, 2015, 2016, 2021; Graham & Dodd Scroll Award for article in the Financial Analysts Journal in 2002 and 2010. Roger F. Murray First Prize for Research Presented at the Q Group Conference in 2012, 2021, 2023. Harry M. Markowitz Award for Best Paper in the Journal of Investment Management in 2022, 2023. Doriot Award for Best Private Equity Research Paper in 2022.