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 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.

"Life all comes down to a few moments. This is one of them."
 

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

"Life all comes down to a few moments. This is one of them."
 
Best Response

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.

 

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