Risk-Adjusted Performance of Private Funds: What Do We Know?

What if 35 years of data prove venture capital's high returns aren't worth the risk?In Episode 2 of the Private Markets Series, Angelo Calvello interviews Professor Greg Brown from the Institute for Private Capital and the University of North Carolina at Chapel Hill about his comprehensive research on risk-adjusted performance across private markets. Brown analyzes 35 years of MSCI data covering venture capital, buyout, private credit, real estate, and infrastructure funds. The conversation reveals that buyout funds consistently deliver approximately 3% alpha, while venture capital's high returns fail to compensate for systematic risk. Brown demonstrates that non-US funds significantly outperform when properly benchmarked against local indices, and simple risk adjustment models provide comparable insights to complex methodologies for institutional investors.Professor Gregory Brown is the Van Lear and Kay Witherspoon Distinguished Professor of Finance at the University of North Carolina's Kenan-Flagler Business School, where he founded and directs the Institute for Private Capital. He also serves as Faculty Director for the Hodges Scholars Program at UNC. Greg is a leading expert in alternative investments, specializing in private equity, venture capital, hedge funds, and the performance analysis of private markets. His research combines theoretical rigor with practical applications, helping institutional investors make better allocation decisions. Greg's work frequently examines risk-adjusted returns, benchmarking methodologies, and portfolio-level performance across private fund strategies. In This Episode: (00:00) Introduction to Private Markets Series Episode 3, Professor Gregory Brown (03:07) Research framework, data sources, and performance metrics explained (08:29) Benchmarking methodology and findings for equity funds (16:02) Debt funds and real asset performance results (21:53) Overall conclusions and practical guidance for institutional investors (27:29) Future research directions and portfolio-level analysis Like, subscribe, and share this episode with someone who might be interested! Dr. Angelo Calvello is a serial innovator and co-founder of multiple investment firms, including Rosetta Analytics and Blue Diamond Asset Management. He leverages his extensive professional network and reputation for authentic thought leadership to curate conversations with genuinely innovative allocators. As the "Dissident" columnist for Institutional Investor and former "Doctor Is In" columnist for Chief Investment Officer (winner of the 2016 Jesse H. Neal Award), Calvello has become a leading voice challenging conventional investment wisdom. Beyond his professional pursuits, Calvello serves as Chairman of the Maryland State Retirement and Pension System's Climate Advisory Panel, Chairman of the Board of Outreach with Lacrosse and Schools (OWLS Lacrosse), a nonprofit organization creating opportunities for at-risk youths in Chicago, and trustee for a Chicago-area pol... Chapters (00:00:00) - The Institutional Edge: Risk Adjusted Performance of Private Funds(00:02:06) - Private Funds: Risk Adjusted Returns(00:06:00) - Risk Adjusted Returns and Money Multiples(00:08:21) - Private Asset Benchmarking(00:15:49) - Private Credit Funds: The Outperformance(00:18:14) - Private Asset Funds(00:25:07) - Beyond Quantitative Analysis: Best Buyout Funds(00:27:29) - Future Plans for This Paper