Sharpe Ratios for various PE and VC strategies?
Does anyone know where to find a long term, up to date list of these stats?
Specifically I am looking for the Sharpe ratios of:
-US LBO funds
-US VC funds
-US growth equity funds
I have found all US PE stats from morningstar but it ended in 06.
I am not sure if this specific info exists out there for free....
Thanks!
Edit: Im starting to think that this is because there isnt enough observable data to produce figures up to date???
The problem is that PE/VC funds aren't marked to market, so it's impossible to get a volatility figure, which is an input to the Sharpe ratio.
The way I understand the sharpe ratio is that it uses standard deviation as the risk variable, which does not need an observable market, only observable historic returns so in this case IRR.
S=risk premium/st dev
I may be mistaken but I think this is possible.
Can't tell if srs...
It's standard deviation of returns. In order to calculate that you need observable periodic returns, whether, daily, monthly, quarterly, etc. PE funds don't have that (or are pure BS figures) because the companies don't change hands every month at a price set between two or more independent parties.
Standard deviation is the exact same thing as volatility.
To be clear: Sharpe ratios can not be calculated on PE funds, unless you just make up a std dev for the fund.
I was going to use the quarterly IRR returns to calculate st dev. I have that via Cambridge Associates.
I realize that what they don't change hands so there is no price discovery via a continuous market.... the valuation of the underlying assets is at the discretion of the fund managers which I agree could be BS.
I am simply trying to compare asset classes
That will massively understate the volatility figure, inflate the Sharpe ratio, and make comparisons to other asset classes useless. You would be better off using some vol figure that's higher than the S&P 500. Say it's 1.25 or 1.5 X as volatile as the S&P, people can disagree on what exact figure to use, but PE would clearly be more volatile than most public equities because of the leverage they use.
As a side note, I think the quarterly IRR figure will overstate returns that PE investors experience because PE funds are somewhat able to time the market as they can control when they sell investments. But as an investor with money, you need to be invested in something at all times, even if that something is cash.
Sharpe Ratio for BRIC? (Originally Posted: 12/01/2011)
Hi guys:
I over heard from someone in our school today and he was talking about how he got asked about the Sharpe ratio for BRIC (the 4 countries) during his AM interview. just curious, how do you measure the Sharpe ratio for a country? where do i find the sharpe ratios for BRIC, and what did he mean by that?
thanks!
This could be very very wrong, but I am assuming you could take the return of a portfolio of all the public companies in those countries then subtract out the risk free rate (US Treasuries, I'm assuming). Then divide that by the standard deviation of that portfolio.
Hoping no one rips into me if I'm completely off.
you can compute the sharpe ratio of any index with sufficient history it's just a question of which index you use and how far back you want to go
http://etfdb.com/type/region/emerging-markets/bric/
Quas eveniet praesentium sit. Culpa consectetur voluptate illo fuga maiores excepturi. Nemo occaecati non eaque. Et ea necessitatibus voluptatibus ratione ea labore. Modi officia qui nesciunt nisi minima.
Nemo sit accusantium accusamus voluptatum minus quibusdam id alias. Earum quasi delectus dolorum. Id rerum nihil mollitia dolores praesentium ducimus. Eos quis tempora laborum consequatur deserunt ut. Qui voluptas consequatur dignissimos neque. Veritatis dolore rerum culpa aut ab libero. Quo esse quod pariatur id.
See All Comments - 100% Free
WSO depends on everyone being able to pitch in when they know something. Unlock with your email and get bonus: 6 financial modeling lessons free ($199 value)
or Unlock with your social account...